A yield curve that displays the fixed-rate leg of a plain vanilla swap against the floating-rate leg of a six-month LIBOR (or any floating benchmark index). A yield curve for the swap rate can be plotted using the yields of swaps outstanding on various maturities or swap tenors. The swap rate curve has become particularly popular as a reference index, thanks to the dual nature of the risk characterizing the inner modus operandi of the legs involved.

The swaps, per se, are not risky assets as there is no principal to default on, and swapped payments are collateralized, in many swap agreements, by bonds or other securities. However, these derivative instruments are linked to a risky rate (LIBOR); a rate that changes over time. This peculiarity makes swaps especially effective as a hedge tool.