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Matched Maturity Swap Spread


A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap maturing on the same date as that of security. An investor may buy or sell this spread by buying (selling) a specific treasury security, while paying (receiving) an amount of a same-maturity swap expressed as a price value of one basis point (PV01). Alternatively, an investor can replace swaps with short-term treasuries such as T-bills, whereby the investor can buy (sell) a strip of ED futures versus selling (buying) the treasury security. This particular yield spread is referred to as the Treasury-ED (TED) spread, expressed typically as the semi-annual yield of both components (Treasury, ED).

This spread is also called a yield-yield swap spread.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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