@article {Ilmanen216, author = {Antti Ilmanen}, title = {Euro Swap Spreads}, volume = {30}, number = {4}, pages = {216--225}, year = {2004}, doi = {10.3905/jpm.2004.216}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textendash}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.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/30/4/216}, eprint = {https://jpm.pm-research.com/content/30/4/216.full.pdf}, journal = {The Journal of Portfolio Management} }