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Tags

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

Question

What's the relation between par-par asset swap spread and MVA asset swap spread? Which is smaller (if the bond is at premium) and why? Give the formula.

Answer

\(S_{MVA}=S_{par/par}\frac{100}{P}\)

MVA is smaller because it has smaller collateral requirements (smaller present value of the "loan").

MVA is smaller because it has smaller collateral requirements (smaller present value of the "loan").

Tags

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

Question

What's the relation between par-par asset swap spread and MVA asset swap spread? Which is smaller (if the bond is at premium) and why? Give the formula.

Answer

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Tags

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

Question

What's the relation between par-par asset swap spread and MVA asset swap spread? Which is smaller (if the bond is at premium) and why? Give the formula.

Answer

\(S_{MVA}=S_{par/par}\frac{100}{P}\)

MVA is smaller because it has smaller collateral requirements (smaller present value of the "loan").

MVA is smaller because it has smaller collateral requirements (smaller present value of the "loan").

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#### pdf

owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p8

e final payment. The right hand side contai ns the present value of the fixed payments received (equal to t he coupon rate) and the present value of the floating payments of Libor less the spread bas ed on a notional of P. Notice the <span>similarity with the equation for the par asset swap. It can be shown that: P S S par par MVA 100 / ⋅ = Where S MVA is the MVA swap spread, S par/par is the par/par swap spread and P is the dirt y price of the bond. A simple de

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