Swap Spread

(redirected from Swap Spreads)

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 ?
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.
EBRD decided to take advantage of the supportive market backdrop for issuance, exploiting a constructive window in between volatile conditions and following the widening in 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.
Examining swap spreads and the implications for funding the government".
Posteriormente, desde el inicio de la crisis financiera, en agosto de 2007 hasta la quiebra de Lehman Brothers en septiembre de 2008, el Money Market Spread aumento considerablemente en mayor proporcion que los Swap Spreads hasta estar alrededor de 11 y 50 pb por encima para los vencimientos de uno y cinco anos, respectivamente.
Despite a slight uptick in credit default swap spreads in the Philippines due to pre-election jitters, the equity market climbed the most-with a 10.
Caption: Figure 2 Asset Swap Spreads (in basis points) Asset Swap Spreads Source: Bloomberg
2005) found evidence for a difference between default swap spreads and corporate bond yield spreads, using various risk-free benchmarks.
To a lesser extent, five-year basis swap spreads (in essence the cost of hedging against dollar movements over five years) have recently risen against the British pound, the euro and the Swiss franc, although they remain well below the highs during the euro crisis of 2011-12.
They examine the impact of statements by Federal Reserve officials on emerging-market stock prices, exchange rates, and credit default swap spreads.
Swap spreads (the spread between an interest-rate swap and the equivalent government bond).
To provide an accurate reflection of the borrowing costs of major European banks, the Bloomberg European Banks Funding Margin Index measures a six month moving average of asset swap spreads of the bonds from 20 highly-rated European banks.