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#asset-swap #finance #gale-using-and-tradning-asset-swaps
In yield accrete asset swap methodology, because the swap is at market, collateralisation does not complicate the transaction.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p9

Aug-14 $ 100,000,000 ($ 5,625,000) $ 103,386,049 $ 3,353,617 5.175% $ 2,533,690 $ 5,887,307 17-Feb-15 $ 100,000,000 ($ 5,625,000) $ 100,000,000 $ 3,386,049 5.219% $ 2,587,734 $ 5,973,783 ($ 91,327,698) $ 91,327,650 Source: Morgan Stanley <span>Because the swap is at market, collateralisation does not complicate the transaction. The yield accrete spread, S, solves the following equation: [] ∑∑ = + = ⋅−+⋅+⋅=⋅ floatfix n i iiiiii n i i tdfNNNSLatdfC 1 1 1 )()()()( Where the symbols are as for the par/par metho


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