Swap Price

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Swap Price

The return on a swap expressed as the difference in price on the day the swap was issued and the day it matures.
References in periodicals archive ?
As EVEP moves forward into 2016, both the volumes and swap prices of its natural gas and crude oil hedges decline from 2015 levels.
The cost to insure Panasonic's debt against non-payment tumbled 175 basis points this year to 56 basis points as of on Tuesday, according to credit-default swap prices from data provider CMA.
A more formal look at the data confirms the close relationships among inflation swap prices from the various sources (Table 2).
The market is also pricing in a greater risk that the country will not be able to meet its financial obligations, as indicated by a sharp rise in its credit default swap prices.
The cost to insure the emirate's debt against non-payment for five years fell 100 basis points this year to 345, the lowest level since August, according to credit-default swap prices compiled by data provider CMA.
Also, the recent trend in Gulf credit default swap prices is not encouraging for issuers who want to wait; Qatar's five-year CDS have risen by about 30 basis points since the start of this month and at 126 bps, are now back near the two-year high hit in October.
The cost of protecting Saudi Arabian debt is 131 basis points, while contracts for Abu Dhabi hit 123 on September 27, the highest level since March 2010, according to CMA, which is owned by CME Group and compiles swap prices in the privately negotiated market.
Credit default swap prices suggest a 90 percent probability of default in the next five years, according to CDS pricing data provider Markit.
Calculations by Reuters, based on five-year credit default swap prices from Markit show an 81 percent probability of Greece eventually defaulting on its debt based on a 40 percent recovery rate.
Time-spreads for Dubai crude, the difference between swap prices for prompt supplies versus longer-term contracts, widened to a steeper contango, while values of physical cargoes of Oman crude were expected to drop.
The cost of protecting against a default by Dubai fell 53 basis points to 517, extending yesterday's first decline in a week, according to credit-default swap prices from CMA Datavision.
This report discusses (1) differences between the pricing of loan commitments and loans, and assesses data that are available about the trading of loan commitments; (2) the extent to which credit default swaps are used to reduce the credit risk from loan commitments, and what credit default swap prices indicate about the prices of loan commitments; and (3) differences between commercial and investment banks' accounting treatment of loan commitments, and the strengths and weaknesses of fair value accounting.