A 2020 paper from the Policy Research Institute, Ministry of Finance, calls the government bond yield minus the swap rate alpha. The swap rate minus the government bond yield is also called the swap spread, which has the opposite sign. A note in the same paper says that this difference can differ from the asset swap spread, for example in a par-par asset swap.
Asset swap spread
- Japanese
- アセットスワップ・スプレッド
- Last reviewed
- October 22, 2026
The asset swap spread is the margin added to the floating rate that the asset swap buyer receives. In a par asset swap, it is set so that the bond purchase and the interest rate swap together have a value of zero at the start.