In par/par asset swap, the bond is sold for par. The swap dealer (often the same person as the bond seller) ‘lends’ the buyer by P-100, where P is the full market price of the bond.
If you want to change selection, open document below and click on "Move attachment"

#### pdf

owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p6

ue ($32,044, 238)$ 34, 421, 661 Source: Morgan St anley Calculating the Par/Par Swap Spread To arrive at a mathematical expression for the par/par s wap spread, we think of the asset swap as constructed in the fo llo wi ng way: • <span>The bond is sol d for par. The swap dealer (often the seller) ‘lends’ the buyer by P-100, where P is the full market price of the bond. • The coupons r eceived by the buyer are nette d off against matching fixed payments to the seller on a s wap for the life of the bond. • The bu yer’s receipts on the floating leg o