What Inverted Swap Spreads?
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Date: 11-16-2009
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Eric Liverance, RBS
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
In October 2008, the 30y swap spread, the spread between 30y swap rate and 30y on-the-run Treasury yields, went negative. Theoretically, this should not have happenend as the credit grade of US Treasuries is higher than the credit grade of USD swaps. We look at general drivers of swap spreads and technical factors that pushed spreads negative ranging from liquidity to hedging of long-maturity exotics products tied to the strength of the yen versus the dollar.