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  • August 24, 2021
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Synthetic Swap Spread

A swap spread that is created synthetically by buying (selling) on-the-run Treasuries (cash) and selling (buying) the DV01 equivalent of swap futures (Treasury futures contracts). This spread captures the differential yield between an underlying swap yield and a treasury yield. The counterparties can negotiate a bilateral agreement, similar to over-the-counter (OTC) market using off-exchange facilities such as exchange for physicals (EFP), exchange for swaps, and wholesale trades.

For more, see: synthetic swap spread- an example.


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