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freddiemac
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Posts: 7
Joined: July 17th, 2006, 8:29 am

ASW BOX

April 28th, 2011, 6:50 pm

What is the meaning of an asset swap box? Fo example JGB 10-7yr ASW box. How do you put on that trade? Does it mean that you go long the 7Y bond and pay the 7Y swap rate (and receive floating) and short the 10Y bond and receive the 10Y swap rate (and pay floating, presumably using the 7Y floating rates to pay the 10Y floating). Any help appreciated!
 
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PlasticSaber
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Joined: April 28th, 2007, 8:17 am

ASW BOX

April 28th, 2011, 8:07 pm

ASW Box is an asset-swap and a reverse asset-swap pair. Not quite sure if those google books links work well. It is in "The new generation of risk management for hedge funds and private equity" ...By Lars Jaeger p129-130By any chance, you are also reading the JP Morgan end of Mar Fixed Income piece
 
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freddiemac
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Joined: July 17th, 2006, 8:29 am

ASW BOX

April 29th, 2011, 4:22 pm

Can you please send me the JPM piece? Thanks!
 
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miltenpoint
Posts: 9
Joined: February 23rd, 2006, 1:40 pm

ASW BOX

April 29th, 2011, 6:55 pm

Can buy-side traders do reverse asw as easily as asw or are there liquidity/repo considerations?Would also appreciate a copy of the JPM research if there's something material on asw boxes.
 
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PlasticSaber
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Joined: April 28th, 2007, 8:17 am

ASW BOX

April 30th, 2011, 8:02 pm

The JPM piece does not really provide much detailed explanation. It is just a trade recommendation.Buy side can do whatever. Reverse ASW (or repo) is not a problem when entering the trade (esp if that's one of the top trade recommendations). Usually the problem arises when trying to close out that trade
 
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miltenpoint
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Joined: February 23rd, 2006, 1:40 pm

ASW BOX

May 3rd, 2011, 6:00 am

Thanks!
 
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Martinghoul
Posts: 188
Joined: July 18th, 2006, 5:49 am

ASW BOX

May 3rd, 2011, 12:41 pm

Asset swap box is where I buy/sell 7y JGBs on asset swap (buy/sell bond, pay/recv fixed on a matched-maturity swap) vs selling the DV01-weighted amount of 10y JGB on asset swap (sell/buy bond, recv/pay on a matched-maturity swap). Sometimes you can do this using bond futures (e.g. bobl/bund asw box; obv, not smth applicable to JGBs) and it still would be called an asw box. And yes, these trades can and are done by the buyside (Endeavour comes to mind).