CFAI Vol 4 page 77-78, how does swap spread capture the relative attractiveness between fixed and floating rate market?
swap spread high = floating rate market more attractive? price of swap = fixed rate payer rate fixed rate payer rate - corresponding treasury = swap spread thus higher the swap spread, the higher the fixed rate payer is paying (and receiving floating), which makes floating more attractive only a guess
seems correct to me. Any idea why is it first adopted in US MBS sector?
no idea, i better read these sections haha