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FINANCIAL MARKET COURSES

Swaps - Asset Swaps - Pricing

An asset swap is a package consisting of an interest-bearing security and an interest rate swap. Through an asset swap, a fixed rate security is transformed into a variable rate instrument without affecting the underlying fixed interest position. Any spread above or below the floating rate reflects the credit spread difference between the bond in question and the swap rate.

 

This course focuses on pricing the initial spread and examines the price sensitivity of an asset swap. It also demonstrates how the mark-to-market value is determined and outlines the process of unwinding an asset swap.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Calculate the spread over the floating rate for an asset swap

    Determine asset swap price sensitivity

    Unwind an asset swap

  • COURSE OUTLINE

    Topic 1: Pricing an Asset Swap

    Establishing the Swap Rate

    Measuring the Excess Coupon Value

    Determining the Dirty Price Premium

    Calculating the Spread

    Topic 2: Price Sensitivities of an Asset Swap

    PV01 of the Asset Swap

    PV101 of the Credit Swap

    Factor Sensitivity

    Non-parallel Yield Curve Shift

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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