Financial Times FT.com

Swap spreads turn negative

By Michael Mackenzie in New York

Published: October 23 2008 23:52 | Last updated: October 23 2008 23:52

The turmoil in the financial markets has taken hold of the strategically important trade in long-term interest rate derivatives, pushing rates to levels once thought to be a “mathematical impossibility”.

Such interest rate swaps are the most widely traded over-the-counter derivative and are crucially important for insurers, pension funds and other companies that need to fund liabilities decades into the future.

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