This 2-part module introduces the concept of an asset swap, including par and non-par asset swaps, and explains how to package an asset swap and what are the risks and benefits of such a structure. The module also explains what is meant by a bond’s z-spread, how it relates to and differs from yield to maturity as a measure of a bond’s potential return, and why a bond’s asset swap spread and z-spread are different.
target audience:DX1 Traders, risk managers, sales force, financial control and audit
prerequisite required:
– Bond Fundamentals
– Interest Rate Forwards & Swaps
prerequisite recommended:
– None
Please click below pictures to explore the chapters:
