Swap spread
In finance, swap spread is a popular way to indicate the credit spreads 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 treasury with the same maturity as the swap. For example, if the fixed-rate of a 5-year swap is 7.26% and the 5-year Treasury is yielding at 6.43%, the swap spread is 7.26% - 6.43% = 83 bps.
Swap spread became a popular indication of credit spread in Europe during the 1990s.
 | This article has not been added to any content categories. Please help out by adding categories to it so that it can be listed with similar articles, in addition to a stub category. (August 2008) |
 | This finance-related article is a stub. You can help Wikipedia by expanding it. |