An Explanation of Negative Swap Spreads
swap rate (which is the xed-rate in the swap) of a 30-year interest rate swap (IRS) and the yield of a Treasury bond with the same maturity, commonly referred to as swap spread, dropped sharply and became negative.
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the value of the swap at the default date, the event that will trigger the swap default, the relationship between the value of the swap and the event triggering default, and the rule for sharing claims in default.
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