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Swap Spread
(redirected from Swap Spreads)

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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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European corporate credit default swap spreads widened on Wednesday on mounting fears that U.
Since the announcement of the restructuring agreement, Dubai's sovereign credit default swap spreads have narrowed from 465 basis points (bps) to 428 bps, but remain above the average for emerging economies.
Looking at credit default swap spreads on the debt of some troubled nations (such swaps are generally understood as a form of insurance against a sovereign debt default), one can see a dramatic rise in the market stresses.
 
 
 
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