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.
References in periodicals archive ?
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.
Para plazos mayores a 6 meses (para los cuales la Libor no existe), la tasa de referencia de operaciones no colateralizadas son los Interes Rate Swap IRS (3); el spread resultante (Swap Spread) son las expectativas de mercado del riesgo interbancario para distintos plazos.
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).
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.