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Negative Swap Spreads and Limited Arbitrage

Negative Swap Spreads and Limited ArbitrageUrban J. Jermann Wharton School of the University of Pennsylvania and NBERD ecember 21, 2018 AbstractSince October 2008fixed rates for interest rate swaps with a thirty year maturityhave been mostly below treasury rates with the same maturity. Under standard as-sumptions this implies the existence of Arbitrage opportunities. This paper presents amodel for pricing interest rate swaps where frictions for holding bonds limit show analytically that Negative swap Spreads should not be surprising.

Negative Swap Spreads and Limited Arbitrage Urban J. Jermann ∗ Wharton School of the University of Pennsylvania and NBER July 11, 2018 Abstract Since October 2008 fixed rates for interest rate swaps with a thirty year maturity

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