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Par/par asset swap
#asset-swap #finance #gale-using-and-tradning-asset-swaps
in par/par asset swap, swap notional is par (of the bond).
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p3

yield curve is steep. Par/Par Spread: Spread applied to floating leg such that Swap PV = 100 – Bond DP Trade: Bond bought for par, plus a swap. Swap fixed schedule matches bond coupons. Floating schedule is [Libor + Spread]. <span>Notional is Par. For given bond price, par/par swap spread falls as the swaps curve steepens. Par/Par spread falls as yields rise. Trade is not duration neutral – hence, trade loses money in a


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