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#asset-swap #finance #gale-using-and-tradning-asset-swaps

In MVA asset swap, the coupons received by the buyer are cancelled by matching fixed payments to the seller on a swap for the life of the bond
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p8

al ue ($ 33,526, 168) $ 33,526, 164 ($ 3) Source: Morgan St anley Calculation of the MVA Asset S wap Spread We can think of the MVA asset swap as constructed in the fo llo wi ng way: • The bond is sold at the market value, P. • <span>The coupons receiv ed by the buyer are cancelle d by matching fixed payments to the seller on a s wap for the life of the bond. • The buyer’s receipts on the floating le g of the swap, which is based on a notional amount equal to the dirty price of the bond, are adjusted by a fixed spread such th at the f


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