Browse CFA Level 2

Chapter 5: Interest Rate Volatility and Benchmarks

In this section

  • Maturity Structure of Yield Volatilities
    Explore how interest rate volatility differs across short-term and long-term maturities, and learn to interpret the volatility term structure in practical investment contexts.
  • Swap Curves and Swap Spreads
    Learn how swap curves function as critical benchmarks for institutional investors, how swap rates are determined and interpreted, and how swap spreads reflect market perceptions of credit, liquidity, and policy risk.
  • LIBOR/SOFR Transition and Market Impacts
    Explore the global shift from LIBOR to SOFR, its rationale, key differences, and the wide-ranging implications for floating-rate notes, syndicated loans, and derivatives markets in the CFA® 2025 Level II context.
  • Vignette Drill: Interpreting Benchmark Shifts
    Explore how to transition from LIBOR to SOFR in practical portfolio scenarios with advanced calculations, real-world volatility considerations, and a full vignette drill for CFA Level II candidates.
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Chapter 4: The Term Structure of Interest Rates
Chapter 6: Active Bond Portfolio Management