Interest rate swap spreads
also exhibited an unusually high level of volatility during the quarter, with the 10-year swap spread
Investors are understandably concerned about the impact of the civil unrest on Egypt's already fragile economy," the report read, noting that the country's 5-year credit default swap spread
had widened to 782 bps, up from less than 700 bps only a month ago.
3 billion--the highest of the year--and the 10-year AAA swap spread
tightened by 30 basis points since the Fed's announcement.
The swap spread
was at 8 basis points on October 17 and is expected to increase to 17 basis points, according to Bank of America predictions.
The one-year euro/dollar currency basis swap spread
, which expands when banks become unwilling to supply dollars to each other, narrowed to 25 basis points from 34 bps Thursday, its widest in three months.
The country had been close to appointing banks for a $1 billion bond issue earlier this year, but dropped those plans as a result of the ratings downgrade and a sharp rise in the country's credit default swap spread
, a measure of cost of insuring debt against default.
The country's five-year credit default swap spread
rose Friday to its widest level since August 2009, according to data-provider Markit.
It used to be that a lender would quote us 100 basis points over the ten-year treasury, and 50 basis points over the swap spread
, and we could reasonably rely on that," says David Eliason, Principal of Eliason 1031 Properties, a TIC sponsor that specializes in multi-family TIC offerings.
The asset swap spread
compensates the bondholder for the credit risk; for this reason, the asset swap spread
should be related by arbitrage to the credit default swap spread
The study considers how convergence trading risk affects market liquidity and asset price volatility by examining the interest rate swap spread
and the volume of repo contracts.
Oman will be calculated by adding the market-based Oman/Dubai swap spread
- instead of the monthly official selling price (OSP) premium - and the spot market differential applied to Dubai swaps (see Asia.
This article considers factors that may influence variations in the swap spread