Swap Spread

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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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The impact of this mix effect has now largely run its course, assuming current mortgage pricing, cost of funds and swap spreads continue," Golding explained.
Qatar's sovereign five-year credit default swap spreads (CDS spreads) remained stable at around 75 bps, QIBOR three-month interest rates remained stable while Libor three-month interest rates stabilised (as of March 27) after declining in recent months.
The IIF said as a result of this, Lebanese Eurobond prices fell, and credit default swap spreads rose sharply.
interest rate swap rates relative to Treasury yields of equal maturity over the past two years, with interest rate swap spreads becoming negative for many maturities.
The Order finds that BNP Paribas, through its traders, bid, offered, and executed transactions in interest rate swap spreads in a manner deliberately designedin timing, price, and other respectsto influence the published USD ISDAFIX in order to benefit the Bank in its derivatives positions.
Wider US Treasury - overnight indexed swap spreads resulted in a higher than expected risk management loss after allocations of CHF169 million, compared to the expected CHF100 million quarterly average loss.
These data sets include interest rate yield curves, interest rate and FX option volatility surfaces, as well as credit default swap spreads.
The unforeseen embargo of Qatar was followed by the equally unexpected and heavily publicised anti-corruption measures in Saudi Arabia, both of which caused shockwaves, leading to widening of the credit default swap spreads. Oil on the other hand, which had shown negative price momentum in the first part of the year, reversed the trend to finish 2017 trading at a two-year high.
The unforeseen embargo of Qatar was followed by the equally unexpected and heavily publicised anti- corruption measures in Saudi Arabia, both of which caused shockwaves, leading to widening of the credit default swap spreads. Oil on the other hand, which had shown negative price momentum in the first part of the year, reversed the trend to finish 2017 trading at a two-year high.
"Examining swap spreads and the implications for funding the government".