By and large, one would expect that in more stable times, counterparty concerns would be reasonably absent over shorter horizons and so not much of a risk premium should be present in the pricing. But when counterparty concerns are rising, they tend to be rapidly incorporated into this spread.
Graph 4  Multi-factor Productivity 1996/97 = 100; non-farm economy  Index  Index 1.9 % p.a. 100  100  95  95  90  90  1.1 % p.a. 85  85 1.0 % p.a.