Currently a vanilla 4Y EUR vs. 6M Euribor IRS has a negative price e.g. -0.35%.

I do not understand how to interpret the swap when the fixed rate is negative. If I am the fixed rate payer in this swap what does it mean that I pay -0.34%; does this mean the payer actually receives 0.35% and the receiver actually pays 0.35%?

When the swap rates are positive everything makes sense to me but I can't get my head around how to interpret them when they are negative. For example, if I want to be a fixed rate payer in the swap and swap rates are negative does that mean I actually should trade a swap in which I am a fixed rate receiver?

Whats the best way to interpret this intuitively?


1 Answer 1


You have it right. Fixed rate payer pays -0.35% and receives Euribor. This means the fixed rate payer receives 0.35% and receives Euribor. This is not the same as receiving 0.35% and paying Euribor, because the euribor flow is reversed in the latter trade.

  • $\begingroup$ So if Euribor happens to also be negative at the fixing date then fixed rate payer will effectively be paying Euribor? $\endgroup$ Commented May 8, 2021 at 14:51
  • $\begingroup$ Well yes the fixed rate payer will be paying money on the floating leg. $\endgroup$
    – dm63
    Commented May 8, 2021 at 15:20

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