Question: What is a swap spread? The difference in yield between the fixed rate on a swap and the yield of an equal maturity US Treasury.

  1. What is a swap spread?
  1. The difference in yield between the fixed rate on a swap and the yield of an equal maturity US Treasury.
  2. The difference in yield on LIBOR and the fixed rate on a swap.
  3. The difference in yield on SOFR and LIBOR.
  4. The difference in yield between a BBB rated corporate bond and the payments in a CDS contract on that corporation.
  5. The difference in yield between LIBOR and 90-day T-Bills.

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