Swap Spread

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Swap Spread

The difference between the expected return on a swap and the expected return on a government bond. A swap spread is used to measure the riskiness of a swap. Calculating the swap spread is determined by the current LIBOR rate, the credit of the counterparties to the swap, and other macroeconomic factors that might affect interest rates.
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Interest rate swap spreads also exhibited an unusually high level of volatility during the quarter, with the 10-year swap spread to U.
To a lesser extent, five-year basis swap spreads (in essence the cost of hedging against USD movements over five years) have recently risen against the British pound, the euro and the Swiss franc, although they remain well below the highs during the euro crisis of 2011-12.
To a lesser extent, five-year basis swap spreads (in essence the cost of hedging against dollar movements over five years) have recently risen against the British pound, the euro and the Swiss franc, although they remain well below the highs during the euro crisis of 2011-12.
The new Euro-Swap Futures give market participants efficient and cost-effective instruments that have the economic market risk of an OTC interest rate swap and can be used both individually for hedging and in combination with Eurex's European government bond futures contracts for cost-effective representation of asset swap spreads.
By 2011, Dubai's sovereign credit default swap spreads had fallen 600 basis points since their peak after the Nakheel standstill agreement in 2009.
Domestic uncertainty and global market turbulence in recent weeks have not had a significant market impact on Bulgaria," the statement reads, "with bond yields and credit-default swap spreads remaining in line with other strong performers in Eastern Europe.
She added, "If investors still perceived large bank holding companies as too big to fail, we would expect to see low credit default swap spreads with little variation between the largest companies.
65%, raising concerns about the impact of higher mortgage rates on any potential recovery in the housing market, while 30-year swap spreads were the least negative for four months.
did not properly advise UBS financial advisors of the potential effect of the widening of credit default swap spreads on Lehman's financial strength, or provide them with proper guidance on the use of that information with clients;
USD Spot Starting Benchmark Swap Spreads (versus US Treasuries): 2, 3, 5, 7, 10, 30 years
European corporate credit default swap spreads widened on Wednesday on mounting fears that U.
European Central Bank and US Federal Reserve Overnight Index Swap Spreads Keep track of trading ideas for the US dollar and other currencies on our Forex Buy/Sell Signals on DailyFX+ and be sure to monitor any updates, as our automated forex signals can and do change on a daily and intraday basis.