Swap Spread

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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The so-called swap spread is the difference between the U.
Another banker added that the Credit Default Swap spread dropped to 525 basis points from 580.
En el panel superior se muestra el Money Market Spread junto con el Swap Spread con plazo a 1 ano.
Furthermore, a theoretical tradable swap, where there is an exchange of fixed rates for floating rates (the asset swap spread ASW), can be made and it is the best spread to be used in any case, according to Felsenheimer (2004).
Ericsson, Jacobs, and Oviedo (2009) examined the determinants of CDS spreads and concluded that, whereas a substantial amount of variation in default swap spread cannot be explained by changes in leverage, volatility, or the risk-free rate, these variables suggested by economic theory are clearly important determinants of the spread.
Kauris are often issued at a margin to the swap rate and a wider swap spread provides greater yield pick-up over comparable government bonds.
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 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.
The second reason the swap spread is positive is that the claim to the fixed-rate payments is considerably less liquid than a Treasury security of the same maturity, which can always be sold on short notice on secondary markets.