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#asset-swap #finance #gale-using-and-tradning-asset-swaps
The yield accrete methodology for asset swaps arises from an attempt to overcome the problems of ad vance and dela yed payments i n par/par and MVA transactions. It is in some sense a hybrid of the two techniques.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p9

MORGAN STANLEY FIXED INCOME RESEARCH See additional important disclosures at the end of this report. 9 May 11, 2006 Using and Trading Asset Swaps Interest Rate Strategy Yield Accrete or Constant Bond Yield The yield accrete methodology arises from an attempt to overcome the problems of advance and delayed payments in par/par and MVA transactions. It is in some sense a hybrid of the two techniques. Imagine a high coupon bond whose yield does not change. The money we make in each period is equal to the coupon received minus the capital loss on the decline in the price of the bon



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