Answer: 55 bps

## Explanation The swap spread is calculated as: \[ \text{Swap Spread} = \text{Swap Rate} - \text{Treasury Yield} \] Where: - Swap Rate = 3.20% - Treasury Yield (Bund yield) = 2.65% **Calculation:** \[ \text{Swap Spread} = 3.20\% - 2.65\% = 0.55\% = 55 \text{ bps} \] Note that the company's bond YTM (3.90%) is not used in calculating the swap spread. The swap spread represents the additional yield investors require to accept credit risk in the swap market compared to risk-free government bonds. **Answer: A**

Author: LeetQuiz Editorial Team