Swap rate

Swap rate is the fixed rate that makes the market value of a given swap at initiation zero. They are the borrowing rates between financial institutions, usually with credit ratings of A/AA equivalent. Swap rates are calculated using the fixed rate leg of interest rate swaps. Swap rates form the basis of the swap curve (also known as the par curve or LIBOR curve). A given swap rate is essentially equal to the risk free rate plus the interest rate risk of the swap.

In most emerging markets with underdeveloped government bond markets, the swap curve is more complete than the treasury yield curve, and is thus used as the benchmark curve.