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1、WhatMattersinGlobalMarketsPricingofU.S.InterestRateSwapsMarketpricingforanyassetissubjecttotheforcesofsupplyanddemand.Thispaperanalyzesafewkeydriversoftoday’ssupplyanddemandintheinterestrateswapmarket,whosepricinglevelsinthewakeoftheglobalfinancialcrisisha
2、veattractedmuchattentionamonginstitutionalinvestors.Inshort,webelievethatthecurrentnegativespreadonU.S.interestrateswapsislikelytodissipateoverthemediumterm(i.e.,anumberofyears)butnotnecessarilyovertheshortterm.BackgroundTraditionally,theswapspread,whichis
3、definedasthedifferencebetweentheyieldofafixed-rateswapminustheequivalentmaturityTreasurybondyield,hasalwaysbeenpositive.Thisyieldrelationshipreflectedrisksbornebytheswapholder,relativetotheTreasurybondinvestor,suchascounterpartyrisk(amongothersthatweoutlin
4、einthisarticle)whichcalledforcompensationtotheswapholderintheformofayieldoverandaboveTreasuryyields.However,sincelate2008,attheheightoftheliquidityandfinancialcrisis(andfollowingthecollapseofLehmanBrothers),thisspread(atthelongendoftheTreasuryyieldcurve)ha
5、sturnedandremainednegative,asillustratedinFigure1.Figure1.U.S.30-yearswapspread21.510.5030-yearswapspread(%)-0.5-16/30/19926/30/19936/30/19946/30/19956/30/19966/30/19976/30/19986/30/19996/30/20006/30/20016/30/20026/30/20036/30/20046/30/20056/30/20066/30/20
6、076/30/20086/30/20096/30/201012/30/199212/30/199312/30/199412/30/199512/30/199612/30/199712/30/199812/30/199912/30/200012/30/200112/30/200212/30/200312/30/200412/30/200512/30/200612/30/200712/30/200812/30/2009Copyright©2011TowersWatson.Allrightsreserved.WT
7、-2010-17716towerswatson.comThis“negativespread”canbecommonlyinterpretedasmeaningthatU.S.payLIBOR/receive*fixedinterestrateswaps(backedbycash)are“expensive”(i.e.,relativetoTreasurybonds)withtheimplicationthatthisisnotnecessarilytherighttimetoenterintothesec
8、ontracts,iftheseinstrumentsarebackedbycash.However,asU.S.interestrateswapsexistinaliquidtwo-waymarket,outtofairlylongmaturities,clearlysomemarketparticipantscontinuetofindthecurrentrisk/rewardpropositionoffer
