Investor A enters in a Par Asset Swap agreement with Bank B. He decides to buy from the bank, $100milion of a 2yr bond with 6% coupon and 7% yield. As per the swap agreement he will pay the bank swap rate of 5% and get LIBOR. The swap is also 2 years maturity. The payments are semi-annual on 30/360 day count basis. The annualized forward curve is given as below: (Hint: use the curve to calculate the CDF)

Forward rate for period 1 (year 0.5) = 5.2500

Forward rate for period 2 (year 1) = 5.7572

Forward rate for period 3 (year 1.5) = 6.2733

Forward rate for period 4( year 2) = 6.7994

Q: What is the par asset Swap spread?