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MVA asset swap
#asset-swap #finance #gale-using-and-tradning-asset-swaps
Fee of [Settlement DP] - 100 paid to ASW buyer at expiry.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p3

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] Trade: Bond bought for dirty price, plus a swap. Swap fixed schedule matches bond coupons. <span>Fee of [Settlement DP] -100 paid to ASW buyer at expiry. Floating schedule is [Libor + spread]. Notional is bond dirty price at settlement. For given bond price, the MVA swap spread falls as the swaps curve steepens. MVA spread rises a



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