Swaps Here is market data for a set of forward prices on U.S. dollar LIBOR interest rates from the Chicago Mercantile Exchange: Maturity Price Spot 97.2000 t+3 months 97.0000 t+6 months 96.7500 11. What is the annualized forward rate six months ahead: (a) 3.25%; (b) 3.00%; (c) 2.80%; (d) 96.75%; 12. What is the swap rate 3 months ahead (t+3): (a) can't be determined; (b) it is equal to the annualized spot forward rate; (c) 2.80%; (d) 3.25%; 13. What is the swap rate 6 months ahead (t+6): (a) 2.42%; (b) 1.95%; (c) 2.90%; (d) 3.25%; 14. If the implied default probability on a 5-year credit default swap is 60.66%, and the swap spread is 1,250 bps, what is the recovery rate: (a) 1,250 bps; (b) 40%; (c) 33%; (d) 25%.
