Swap spread: Difference between revisions

Revision as of 02:01, 21 October 2014

Revision as of 02:17, 30 April 2015

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In finance, '''swap spread''' is a popular way to indicate the [[credit spread (bond)|credit spread]]s in a market. It is defined as the spread paid by the fixed-rate payer of an [[interest rate swap]] over the rate of the [[On the run (finance)|on the run]] [[United States Treasury security|treasury]] with the same maturity as the swap. For example, if the fixed-rate of a 5-year fixed-for-float [[LIBOR]] swap is 7.26% and the 5-year Treasury is yielding at 6.43%, the swap spread is 7.26% - 6.43% = 83 [[basis point|bps]].