The difference between the yield of a bond and the LIBOR curve, expressed in basis points. The asset-swap spread is designed to show the credit risk associated with the bond. Analysts will typically look at both the Z-spread and the asset-swap spread to see if there are discrepancies in a bond's price. Unlike the Z-spread, the asset-swap spread is calculated using the bond's yield to maturity.
Related information about asset-swap spread:
- What is asset-swap spread? - InvestorWords.com
Definition of asset-swap spread: The difference between the yield of a bond and the LIBOR curve, expressed in basis points. The asset-swap spread is designed ...
- Asset Swaps and Asset Swap Spread Valuation, Resources | FINCAD
Asset swaps are generally used to transform the character of an investor's asset. Learn more about asset swaps and how to value an asset swap spread.
- What is asset-swap spread? - BusinessDictionary.com
Definition of asset-swap spread: A way of showing a bond's credit risk by highlighting the difference between that bond's yield and the LIBOR curve.
- Understanding the Z-Spread - YieldCurve.com
In practice traders use the asset-swap spread and the Z- spread as the main measures of relative value. The government bond spread is also considered.
- How to Calculate Asset Swap Spread | eHow.com
How to Calculate Asset Swap Spread. Asset swaps are a method of hedging and cash flow management in which one entity exchanges payments with another.
- Understanding the Negative Basis
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- Determinanten von Banken-Spreads während der Finanzmarktkrise
Key words: CDS, Credit-Default-Swap-Spread, Asset-Swap-Spread, Liquiditätsprämie, CDS-. Bond-Basis. JEL classification: G21. ISSN: 14369753. Contact: ...
- Jean-Marc Fossorier - effas-ebc
Valuing less liquid bonds. Asset swap-spread vs Z-spread. Jean-Marc Fossorier. EBC Frankfurt February 6th/7th 2012. Page 2. CNO :THE FRENCH BOND ...