A two-year fixed-for-floating MRR swap is 1.00%, and the two-year US Treasury bond is yielding 0.63%. The

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A two-year fixed-for-floating MRR swap is 1.00%, and the two-year US Treasury bond is yielding 0.63%. The swap spread is closest to:

A. 37 bps.

B. 100 bps.

C. 163 bps.

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Fixed Income Analysis

ISBN: 9781119627289

4th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 12:31 AM

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A two-year fixed-for-floating MRR swap is 1.00%, and the two-year US Treasury bond is yielding 0.63%. The

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The swap spread is the difference between the fixed rate in a swap and the yield on a so...View the full answer

Fixed Income Analysis

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