Decomposing swap spreads

• 成果类型: Article
• 署名作者: Feldhutter, Peter; Lando, David
• 署名单位: Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.07.004
• 发表日期: 2008
• 页码: 375-405
• 关键词: swap rates; term structure; Credit risk; liquidity

摘要

We analyze a six-factor model for Treasury bonds, corporate bonds, and swap rates and decompose swap spreads into three components: a convenience yield from holding Treasuries, a credit risk element from the underlying LIBOR rate, and a factor specific to the swap market. The convenience yield is by far the largest component of spreads. There is a discernible contribution from credit risk as well as from a swap-specific factor with higher variability which in certain periods is related to hedging activity in the mortgage-backed security market. The model also sheds light on the relation between AA hazard rates and the spread between LIBOR rates and General Collateral repo rates and on the level of the riskless rate compared to swap and Treasury rates. (C) 2008 Elsevier B.V. All rights reserved.