Asset Swap
2020-07-28 17:13
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资产互换
在一个典型的资产互换中，庄家向客户以市场价向客户购买一个债券，并且以浮动票据的牌价卖给客户。然后庄家再与另一个交易伙伴定下固定换浮动互换中，来抵消浮动率的义务和债券现金流。
Asset Swap
In a typical asset swap, a dealer buys a bond from a customer at the market price and sells to the customer a floating rate note at par. The dealer then enters into a fixed-for-floating swap with another counterparty to offset the floating rate obligation and the bond cash flows.
Similar in structure to a plain vanilla swap, the key difference is the underlying of the swap contract. Rather than regular fixed and floating loan interest rates being swapped, fixed and floating investments are being exchanged.
In a plain vanilla swap, a fixed libor is swapped for a floating libor. In an asset swap, a fixed investment such as a bond with guaranteed coupon payments is being swapped for a floating investment such as an index.
