PT  - JOURNAL ARTICLE
AU  - Antti Ilmanen
TI  - Euro Swap Spreads
AID  - 10.3905/jpm.2004.216
DP  - 2004 Jul 31
TA  - The Journal of Portfolio Management
PG  - 216--225
VI  - 30
IP  - 4
4099  - https://pm-research.com/content/30/4/216.short
4100  - https://pm-research.com/content/30/4/216.full
AB  - The Euro swaps market is among the largest financial markets in the world. In Europe, the swap curve is arguably the benchmark. Euro swap-government spreads are highly liquid trading vehicles even as they have become increasingly stable in the past three years. Drivers of the most actively traded spread, between the ten-year euro swap and German government bond (Bund), are not expected financing spreads (LIBOR–repo spreads) but rather the state of public finances and the yield curve shape. This article also describes simple fair value models and forecasting models for swap-Bund spreads and briefly reviews relative swap spreads across maturities and across euroland issuers.