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#asset-swap #finance #gale-using-and-tradning-asset-swaps
In the yield accrete construction, we are really swapping cash flows including the expected mark-to-market loss/ gain due to the pull-to-par on the bond (often loosely called ‘the yield’) for income tied to Libor.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p9

the accretion/amortisation schedule. This leads to a payment schedule like the one stylistically represented in Exhibit 6 for the T11.25% Feb ’15. The swap spread is calculated as the spread equating the present values of the two legs. <span>In this construction, we are really swapping cash flows including the expected mark-to-market loss/gain due to the pull-to-par on the bond (often loosely called ‘the yield’) for income tied to Libor. Exhibit 6 Indicative Cash Flows for a Yield Accrete Asset Swap of the 11¼% 15 Feb 2015 Treasury T 11.25% 15 Feb 2015 Price 155-28 Accrued $ 2,392,956 Settlement 03-May-05 PV Fixed ($



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