An abbreviation for asset swap spread; a spread that is usually paid (when necessary) by the seller of an asset swap, in addition to...

A swap rate is the fixed rate that the fixed rate payer, in a swap agreement, makes to the floating-rate…

It stands for expected credit loss; the long-term average cost that arises from a series of defaults expected to take...

The long-term average cost that arises from a series of defaults expected to take place in a swap (or broadly...

The spread over LIBOR (or generally a floating rate) that is paid on the floating leg of an asset swap...

A synthetic swap spread is a swap spread that is created synthetically by buying (selling) on-the-run Treasuries (cash) and selling...

The swap spread that is fixed using a spreadlock and then added to the prevailing benchmark Treasury bond yield to...

By convention, the floating rate of a swap is quoted flat without basis point adjustments; e.g., LIBOR flat. The fixed...

A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap...

A swap whose maturity matches that of another instrument. This arises when an investor tries to synthetically hedge a bond/...