Content deleted Content added
m Reverted edits by 192.26.212.203 (talk) to last version by BeachComber1972 |
Magioladitis (talk | contribs) m clean up using AWB (10003) |
||
Line 3:
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]] [[US Treasury|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]].
Often, fixed income prices will be quoted in "SWAPS +", wherein the swap rate is added to a given number of basis points. The swap rate here is simply the yield on an equal maturity Treasury plus the swap spread.
Swap spread became a popular indication of credit spread in Europe during the 1990s.
| |||