Swap Curve

A yield curve for a swap. The swap curve states the possible return for a swap on different maturity dates. See also: Bond yield curve.

References in periodicals archive ?

73, an interest rate equivalent to the zero coupon rate based on the swap curve of 29 December 2017, future annual volatility of 22%, a pattern of exercise similar to Topdanmark's previous allocations of share options and otherwise in accordance with IFRS 2 on share-based payments.

Topdanmark reports on issuance of options to executive board and executives

With the swap curve dropping to an historic low, associations with stand-alone interest derivatives were required to put additional cash and security in place.

United Kingdom : Social housing sector reports continued strong financial performance

Expression (3) shows that if the intensity of mortality is uncorrelated with bond market returns (a reasonable first-order approximation), the longevity swap curve just involves the survival probabilities [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] relative to the different maturities {[T.

The cost of counterparty risk and collateralization in longevity swaps

The rise in long-term rates has been so pronounced that it has pulled the front end of the yield and swap curve higher with it, and forward interest rates for late 2014 have risen sharply, to the extent that they are more or less pricing-in a policy move.

Volatility is testing investors' patience; SHARE WATCH

Nevertheless, the 1Y rate on the FX swap curve has eased to the flat 4.

ING: Romania bond yields set record low

The latter trend may also foster normalisation (dis-inversion) of the x-ccy swap curve.

Rosbank- Focus Russia: Non-government bonds now on our radar, Feb 7, 2013

India's overnight indexed swap curve stayed inverted on Tuesday, reflecting expectations for tighter liquidity and more policy tightening, along with doubts over the pace of long-term economic growth.

India's economy grows slowest in five quarters

Reserve Bank Governor Alan Bollard is expected to boost the OCR 132 basis points over the coming year, according to the Overnight Index Swap curve.

New Zealand : NZ dollar jumps to six-month high after strong US housing data

The aggregate deficit of the FTSE 100 pension schemes has almost doubled to pounds 245billion in the year to the end of March on an "economic" basis - measuring pension liabilities against the interest rate swap curve as opposed to against AA-rated corporate bonds, consultant Redington said.

Timing of reviews leaves companies facing new worries over pension pots; Company pension schemes are being squeezed by weak share prices and the Bank of England's high-risk "Quantitative Easing" policy. Dominic Lau explains what's at stake

The first few securitizations of 2007 priced at 22 basis points over the swap curve for AAA bonds.

CMBS hits a wall: the subprime-induced meltdown in the capital markets last year changed the rules of the road in the commercial real estate market

The top panel shows the effect on five-year Treasury rates and the bottom panel shows the effect on five-year swap rates, where the explanatory variables in both cases are forward Eurodollar rates from the swap curve.

The effect of interest rate options hedging on term-structure dynamics

However, in the new issue market, dealers increasingly give preliminary pricing indications relative to one of the several alternative benchmarks, typically either the swap curve or agencies.

Diminishing Treasury Supply: Implications and Benchmark Alternatives

CITE

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