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#asset-swap #finance #gale-using-and-tradning-asset-swaps
Daily changes of MVA asset swap spread (because dirty price of a bond changes) means that unlike the par/par transaction, the MVA spread on one day is not an indication of the spread at which an investor can unwind a previous MVA transaction.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p8

r spreads and MVA spreads. Monitoring an MVA Swap The performance of an MVA transaction is difficult to monito r because the notional of the swap on which the transaction is based changes daily as the dir ty price of the bond changes. <span>This means that unlike the par/par transaction, the MVA spread on one day is not an in dication of the spread at which an investor can unwind a previ ous MVA transaction. As a consequence we recommend tracki ng the carry on the bond and the swap separately. T he MVA method, however, does make it easier to approximate the net carr y. Unlike the par/pa



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