Asset Swap Spread
Asset swap spread is the difference, in basis points, between the yield on a fixed-rate bond and the prevailing currency interest-rate swap rate for the same maturity; it captures the bond's credit and liquidity premium relative to the swap curve.
Example: Example: A 10-year corporate bond trades at a yield of 4.20% while the 10-year USD swap rate is 3.00%; the ASW spread would be 120 basis points.
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