Interest-Rate Swap Spreads Climb as Europe Debt Crisis Deepens
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Two-year interest-rate swap spreads, a gauge of fear in the debt markets, rose to the highest since July 2010 as the cost to protect European financial and sovereign debt surged.
The difference, or spread, between the two-year swap rate and the comparable-maturity Treasury note yield climbed 3.13 basis points to 34.32 basis points as of 12:02 p.m. in New York. The measure has climbed from 23.37 since the end of July as investor concern has mounted that Europe’s fiscal imbalances will spread and harm bank balance sheets.