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Advanced Fixed Income Analysis, 2nd Edition by Michele Lizzio, Moorad Choudhry

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Chapter 1

Asset-Swap Spreads and Relative Value Analysis

Abstract

The Interest-Rate Swap have become an important reference for the bond market. This type of derivate contract typically exchanges a fixed rate interest payment to the floating one, and represents a fundamental tool in terms of hedging, speculation and managing risk. This chapter illustrates the concept of asset-spread analysis for trading issue, including the comparison with the Z-spread measure. Moreover the chapter provides an industry bond analysis using Bloomberg’s screen.

Keywords

Asset-swap spread

Z-spread

Relative value analysis

Industry bond analysis

Credit-default swap

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