Swap Spread


DEFINITION of 'Swap Spread'

1. The difference between the negotiated and fixed rate of a swap. The spread is determined by characteristics of market supply and creditor worthiness.

2. The difference between the swap rate and the lending rate offered through other investment vehicles with comparable characteristics.


Similar to equity spreads, the swap spread adjusts for every contract and the different participating parties.

  1. Swap

    A derivative contract through which two parties exchange financial ...
  2. Spread

    1. The difference between the bid and the ask price of a security ...
  3. Swap Dealer

    An individual who acts as the counterparty in a swap agreement ...
  4. Quality Spread Differential - QSD

    In an interest rate swap, the difference between the interest ...
  5. Hedge

    Making an investment to reduce the risk of adverse price movements ...
  6. Convergence

    The movement of the price of a futures contract towards the spot ...
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