Chart 1 (page 2) shows that, historically, the ten-year interest rate swap spread
has been positive except for brief episodes.
The consistent widening of the Libor-overnight index swap spread
all suggests that liquidity is declining in global financial markets even as systemic credit risk rises.
The so-called swap spread
is the difference between the U.S.
One part of this is the basis swap spread
. A wider basis swap spread
reduces the all-in cost for issuers (they are paid the spread when swapping out of New Zealand dollars), making the Kauri market a more attractive option.
"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.
"Commercial mortgage-backed securities [CMBS] issuance in September registered at $7.3 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 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.
2-year swap spread
. In an interest rate swap, one party agrees to pay another party a stream of fixed-rate payments in return for a stream of floating-rate payments.