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#asset-swap #finance #gale-using-and-tradning-asset-swaps
The yield/yield asset swap transaction transaction (buy bond and pay fixed on a swap) gives rise to a trade on the yield/yield spread, which is defined as the yield of the bond less the swap rate of a matched maturity swap.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p4

e same maturity. 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. T <span>his 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 as the spread widens since the bond yield fa lls relative to the swap rate. The advantage of the yield/yield me thodolog y is its simplicity. Yield/yield a



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