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#asset-swap #finance #gale-using-and-tradning-asset-swaps
The yield/yield asset swap trade is duration weighted so that, to the first order of approximation, the yield/yield asset swapper is exposed only to the spread between the swap rate and the bond yield and not to market direction.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p4

sset swap position or a long s wap spread position refers to owning a bond agains t a hedge in swaps. The simplest way for an investor to achieve such a pos ition is by buying a bo nd and paying fixed on a s wap to the same maturity. <span>The trade must be duration weighted so that, to the first order of approximation, the yield/ yield asset swapper is exposed only to the spread bet ween the swap rate and the bond yield and not to market directio n. This transaction gives rise to a trade on the yi eld/yield spread, which is defined as the yield o f the bond less the swap rate of a matched maturity swap. The investor makes money


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