What is a 2 year swap rate?

2-Year Swap Rate (DISCONTINUED)-2-Year Treasury Constant Maturity Rate. Rates are for a Fixed Rate Payer in return for receiving three month LIBOR, and are based on rates collected at 11:00 a.m. Eastern time by Garban Intercapital plc and published on Reuters Page ISDAFIX®1.

What is a 30 year swap?

30-Year Swap Rate (DISCONTINUED)-30-Year Treasury Constant Maturity Rate. Rate paid by fixed-rate payer on an interest rate swap with maturity of thirty years. International Swaps and Derivatives Association (ISDA®) mid-market par swap rates.

How is swap duration calculated?

The Modified Duration and Interest Rate Swaps The modified duration is calculated by dividing the dollar value of a one basis point change of an interest rate swap leg, or series of cash flows, by the present value of the series of cash flows. The value is then multiplied by 10,000.

How is swap rate determined?

A swap rate is the rate of the fixed leg of a swap as determined by its particular market and the parties involved. When the swap is entered, the fixed rate will be equal to the value of floating-rate payments, calculated from the agreed counter-value.

Which is an example of a swap spread?

The swap spread is the difference between the swap rate (the rate of the fixed leg of a swap) and the yield on the government bond with a similar maturity. Since government bonds (e.g., US Treasury securities

What is the swap spread on a 10 year note?

If a 10-year swap has a fixed rate of 4% and a 10-year Treasury note (T-note) with the same maturity date has a fixed rate of 3%, the swap spread would be 1% or 100 basis points: 4% – 3% = 1%.

How is the swap rate related to the interest rate?

Specifically, the swap spread equals the swap rate of the fixed leg minus the Treasury rate for comparable maturities. For example, if the current market rate for a 5-year swap is 1.35 percent and the current yield on the 5-year Treasury note is 1.33 percent, the 5-year swap spread would be 2 basis points.

What does it mean when swap spreads widen?

Therefore, larger swap spreads means there is a higher general level of risk aversion in the marketplace. It is also a gauge of systemic risk. When there is a swell of desire to reduce risk, spreads widen excessively. It is also a sign that liquidity is greatly reduced as was the case during the financial crisis of 2008.