The swap spread that is fixed using a spreadlock and then added to the prevailing benchmark Treasury bond yield to arrive at the fixed swap rate. More specifically, the fixed rate on a swap consists of two components: the underlying benchmark Treasury bond yield and the swap spread. A spreadlock is an over-the-counter agreement to fix the swap spread component of a future transaction that involves an interest rate swap at a specific time or within a specified period of time. At that time or within that period of time, the fixed swap rate is set at the prevailing benchmark Treasury bond yield plus the spreadlock rate.
August 20, 2024
