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3

I feel that it depends on who's writing the research, and on their personal idiosyncratic preferences. For example, picking a random credit research piece, we see Asset-swap spreads in the secondary market widened modestly by 1.3bp and another random piece from the same team: Asset-swap spreads widened significantly at the beginning of March across ...


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Let me add a couple of points. Question 1: in my experience, ASW spread always refers to the spread between a particular Bond and the IRS of the same currency. Most commonly, this would be a spread between government bond and the corresponding IRS. In a par-par ASW, you trade a fixed notional (say 500 million USD), whereby you swap the fixed cash-flow on the ...


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I guess by "research desk" you mean a division at e.g. an investment bank and not academic research. To give others an impression of the credit market, practioners do not speak about one individual bond spread, they speak more generally about spreadS, meaning e.g. the EUR IG corporate bond market as a whole. The (credit) spread is a risk ...


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Simple example: euro based investor wants to buy a USTreasury, currency hedged back into Euro. Investor executes the following 2 trades at t=0: purchase Treasuries for next day settle. Assume usd12mm purchase price. execute fx swap with cashflows at t=0 : receive usd12mm/pay €10mm and cashflow at t=1yr : pay usd12.0mm/ Rec €9.9mm. (I used spot =1.20 and ...


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Question 1 I often read by research desk that ASW-spread have widened or tighten without concrete reference to the bond. As said above, the asset swap spread depends on the credit quality of the swapped bond. So is there a market standard for this? If people talk about USD, do they mean swapped Treasuries, in EUR swapped bunds? Which research papers, credit ...


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I believe there's a Bloomberg manual in the help function which explicitly shows these calculations in a spreadsheet, very useful:


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