Eine empirische Analyse der Spreadunterschiede von Festsatzanleihenzu Floatern im Euroraum und deren Zusammenhang zum Preis einesCredit Default Swaps

The paper analyses the factors influencing the credit spread of € denominated bonds andcredit default swaps. The regression shows a significant difference of the credit spread ofcorporate floaters compared to straight bonds. The steepnes of the yield curve leadssurprisingly to lower credit spreads. This is also true for a higher risk free rate. Theliquidity effect matters for straight bonds but is unimportant for floaters. The rating has asignificant influence, but can only partially explain the spread. It can be shown that thesame factors influence the spread of a credit default swap. As predicted by theory thefloater spread has an almost linear relationship to the CDS Spread, but it can only explain50% of its movement, because transaction prices and different liquidity play a substantialrole in pricing these products.