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MVA asset swap
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Spread: Spread applied to floating leg such that Swap FV = 100 – Bond DP
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p3

ith this spread in the market. P&L can be easily approximated as changes in spread. The spread is highly dependent on the dirty price of the bond. We, therefore, dislike this spread for RV. It is nevertheless widely used. MVA <span>Spread: Spread applied to floating leg such that Swap FV = 100 – Bond DP MVA = [Par/Par]*100 / [bond DP] Trade: Bond bought for dirty price, plus a swap. Swap fixed schedule matches bond coupons. Fee of [Settlement DP] -100 paid to ASW buyer at expiry.



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