{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/10964"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/10964","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market","abstract":"The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading government stock, default risk, the general level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate borrowing and the level of government bond issuance playing a significant role as well.","abstract_html":"The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading government stock, default risk, the general level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate borrowing and the level of government bond issuance playing a significant role as well.","abstract_has_math":false,"creators":["Henshall-Howard, James"],"institution":"School of Economics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011","date_published":"2011","updated_at":"2026-07-22T22:22:54Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/10964","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Henshall-Howard, James"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-01-02T09:05:47Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-01-02T09:05:47Z"]},{"key":"dc:date.issued","label":"Date","values":["2011"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["School of Economics"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MCom"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/10964"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading government stock, default risk, the general level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate borrowing and the level of government bond issuance playing a significant role as well."]},{"key":"dc:title","label":"Title","values":["Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market"]}]}],"canonical_facts":{"dc:creator":["Henshall-Howard, James"],"dc:date.accessioned":["2015-01-02T09:05:47Z"],"dc:date.available":["2015-01-02T09:05:47Z"],"dc:date.issued":["2011"],"dc:description.abstract":["The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading government stock, default risk, the general level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate borrowing and the level of government bond issuance playing a significant role as well."],"dc:identifier.uri":["http://hdl.handle.net/11427/10964"],"dc:language.iso":["eng"],"dc:publisher.department":["School of Economics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-22T22:22:54Z"}