Financial Times FT.com

Investment banking

Negative 30-year rate swap spread linger

By Michael Mackenzie in New York

Published: September 9 2009 17:45 | Last updated: September 9 2009 17:45

A year after the collapse of Lehman Brothers, which sparked chaos across derivatives markets, one striking dislocation persists; a negative 30-year interest rate swap spread.

Before the demise of Lehman, the idea of a negative relationship between swaps and government bonds was considered unfathomable.

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