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#asset-swap #finance #gale-using-and-tradning-asset-swaps
Quoted MVA spread involves a swap of notional equal to bond dirty price.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p3

ead]. Notional is bond dirty price at settlement. For given bond price, the MVA swap spread falls as the swaps curve steepens. MVA spread rises as yields rise. Trade is not duration neutral. P&L is not easily approximated. <span>Quoted MVA spread involves a swap of notional equal to bond dirty price. Quoted spread, therefore, does not indicate unwind terms. MVA is not frequently traded. The spread is dependent on the dirty price of the bond, although this dependency is much l



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