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Basic Question 12 of 12
The swap curve plots maturity (or length) of the swap against the fixed rate you will have to pay/receive if you enter into the swap. The swap spread primarily reflects:
B. credit risk.
C. interest rate risk.
A. liquidity risk.
B. credit risk.
C. interest rate risk.
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Barnes
Learning Outcome Statements
explain the swap rate curve and why and how market participants use it in valuation;
calculate and interpret the swap spread for a given maturity;
describe short-term interest rate spreads used to gauge economy-wide credit risk and liquidity risk;
CFA® 2025 Level II Curriculum, Volume 4, Module 26.