A par asset swap is really two separate trades:
- The asset swap buyer purchases a bond from the asset swap seller in return for a full price of par.
- The asset swap buyer and the asset swap seller enter into a swap, so:
- the buyer receives fixed coupons from the bond so on her side of the swap she wants to pay fixed and receive LIBOR plus minus agreed spread.
If you want to change selection, open document below and click on "Move attachment"
Asset swap - Wikipedia, the free encyclopediahe asset swap structure with the most widely traded being the par asset swap. Other types include the market asset swap and the cross-currency asset swap. The most common and standard one is par asset swap.
Mechanics of a Par Asset Swap
<span>A par asset swap is really two separate trades:
The asset swap buyer purchases a bond from the asset swap seller in return for a full price of par. ("Full price" is also known as "dirty price", including the accrued interest in contrast to the term "clean price" which refers to quote net of accrued interest. )The asset swap buyer enters into a swap to pay fixed coupons to the asset swap seller equal to the fixed rate coupons received from the bond. In return the asset swap buyer receives regular payments of Libor plus (or minus) an agreed fixed spread. The maturity of this swap is the same as the maturity of the asset.
Figure 1：Describe the basic structure of Asset Swap
This transactions is shown in Figure 1. The fixed spread to Libor paid by the asset swap seller is known as the asset swap spread an
|status||not read|| ||reprioritisations|
|last reprioritisation on|| ||suggested re-reading day|
|started reading on|| ||finished reading on|