Explanation:
This is an off-market swap because the fixed rate of 4.0% is not the market-par swap rate implied by the flat 3.0% curve. A swap entered at a fixed rate above or below par is off-market.
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Q-178.2. If the LIBOR/swap zero rate curve is flat at 3.0% and a bank enters into a swap where the bank pays floating LIBOR in exchange for receiving a fixed rate of 4.0%, what type of swap is this?
A
Off-market swap
B
Forward swap
C
Basis swap
D
Accreting swap
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