Question: Information relation to question 16-29: A one year zero coupon bond yields 4.0%. The two and three year zero coupon bonds yield 5% and 6%

Information relation to question 16-29: A one year zero coupon bond yields 4.0%. The two and three year zero coupon bonds yield 5% and 6% respectively.

A two year fixed for floating Libor swap is 1.00% and the two year US Treasury bond is yielding .63%. The swap rate is closest to

A. 37 bps

B. 100 bps

C: 163 bps

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