1. For a discussion of this point, see Andrew R. Young, A Morgan Stanley Guide to Fixed-Income Analysis (New York: Morgan Stanley, 1997).

2. See Ellen L. Evans and Gioia Parente Bales, “What Drives Interest-Rate Swap Spreads,” Chapter 13 in Carl R. Beidleman (ed.), Interest-Rate Swaps (Burr Ridge, IL: Irwin Professional Publishing, 1991).