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MVA asset swap
#asset-swap #finance #gale-using-and-tradning-asset-swaps
MVA asset swap; trade: Bond bought for dirty price, plus a swap.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p3

hly dependent on the dirty price of the bond. We, therefore, dislike this spread for RV. It is nevertheless widely used. MVA Spread: Spread applied to floating leg such that Swap FV = 100 – Bond DP MVA = [Par/Par]*100 / [bond DP] <span>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. Floating schedule is [Libor + spread]. Notional is bond dirty price at settlem



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