Asset Swap

An asset swap is the combination of a defaultable bond with a fixed for floating interest rate swap.
The fixed bond coupon is swapped for a floating rate based on LIBOR plus a spread
An asset swap enables an investor to buy a fixed rate bond and then hedge out the interest rate risk by swapping the fixed payments to floating.


This type of swap is a flow of payments from the asset for a different set of cash flows
An asset swap enables the investor to buy a fixed rate bond and then hedge out the interest rate risk by swapping the fixed payments for floating.
The investor keeps the credit risk


Par Asset Swap

The buyer purchases a bond for the full par price
The maturity of the swap is the same as the maturity of the asset



Market Asset Swap



Cross-Currency Asset Swap





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