Swap Spread

(Difference between revisions)

Clear Results

Current revision

The difference between the swap rate, which is normally the interest rate on the fixed leg of an interest rate swap, and the underlying benchmark government bond yield at any given maturity. The swap spread is seen as a barometer of risk appetite, and represents the premium for investors' exposure to future interest rate fluctuations. The narrower the spread, the greater the appetite for risk.

Retrieved from "http://glossary.reuters.com/index.php?title=Swap_Spread"

Full Name:
Email:
Comments:	1000 characters maximum

Revision as of 15:43, 8 June 2009 (edit) Ian.Jones (Talk \| contribs) ← Previous diff		Current revision (20:42, 15 April 2010) (edit) (undo) Ian.Jones (Talk \| contribs)
(5 intermediate revisions not shown.)
Line 1:		Line 1:
-	The difference between the swap [[Interest Rate\|interest rate]] and the underlying [[Benchmark\|benchmark]] government [[Bond\|bond]] [[Yield\|yield]] at any given [[Maturity\|maturity]]. The swap spread is seen as a barometer of [[Risk\|risk]] appetite, and represents the premium investors' [[Exposure\|exposure]] to future interest rate fluctuations. The narrower the spread the greater the appetite for risk.	+	The difference between the [[Swap Rate\|swap rate]], which is normally the [[Interest Rate\|interest rate]] on the fixed leg of an [[Interest Rate Swap\|interest rate swap]], and the underlying [[Benchmark\|benchmark]] government [[Bond\|bond]] [[Yield\|yield]] at any given [[Maturity\|maturity]]. The swap spread is seen as a barometer of [[Risk\|risk]] appetite, and represents the [[Premium\|premium]] for investors' [[Exposure\|exposure]] to future [[Interest Rate\|interest rate]] fluctuations. The narrower the spread, the greater the appetite for risk.