ASSET SWAP

 

  • A package of a cash credit instrument and a corresponding swap that transforms the cash lows of the non-par instrument (bond or loan), into a par (floating interest rate) structure.

    Asset swaps typically transform fixed-rate bonds into par floaters, bearing a net coupon of Libor plus a spread, although cross-currency asset swaps, transforming cashflows from one currency to another are also common.

 

 

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