Grundlegende Frage zu Swap/Swap-Spreads

What would cause swap spreads to widen?

Swap Spreads as an Economic Indicator

Therefore, larger swap spreads means there is a higher general level of risk aversion in the marketplace. It is also a gauge of systemic risk. When there is a swell of desire to reduce risk, spreads widen excessively.

What is the spread on an interest rate swap?

Interest rate swap spreads are the difference between the fixed rate in a swap and the yield of a Treasury security of the same maturity. Historically, most swap spreads have been positive (Chart 1).

How do you calculate swap spread?

The swap spread is the difference between the swap rate (the rate of the fixed leg of a swap) and the yield on the government bond with a similar maturity.

What causes swap spreads to tighten?

The more positive the budget balance expectations, the smaller the expected government bond issuance, and hence the wider the swap spreads. Empirically, swap spreads tend to tighten when the yield curve steepens, and widen when the curve flattens (see Chart 5).

How do you interpret Z spread?

The Zero-volatility spread (Z-spread) is the constant spread that makes the price of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where cash flow is received.