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Swap spread
In finance, swap spread is a popular way to indicate the credit spreads in a market. It is defined as the spread paid by the fixed-rate payer of an interest rate swap over the rate of the on the run treasury with the same maturity as the swap. For example, if the fixed-rate of a 5-year fixed-for-float LIBOR swap is 7.26% and the 5-year Treasury is yielding at 6.43%, the swap spread is 7.26% - 6.43% = 83 bps. Often, fixed income prices will be quoted in "SWAPS +", wherein the swap rate is added to a given number of basis points. The swap rate here is simply the yield on an equal maturity Treasury plus the swap spread. Swap spread became a popular indication of credit spread in Europe during the 1990s.
抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「Swap spread」の詳細全文を読む
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