QuoteOriginally posted by: dkorsunskyUnless it's some really obscure point and the dv01 mismatch is tiny, I am pretty sure that in practice it's safe to assume you have to match dv01s on the swap and the bond... Depending on what type of asset swap you actually trade, the exact dynamics of your dv01 mismatch and its implications can vary. For examples, yield/yield asset swap, the simplest, is duration neutral, but not convexity-neutral and not curve-neutral. Par/par asset swap would, by definition, be not duration-neutral. I think the cleanest type of asset swap in terms of residual risks is a Z-spread one.Anyways, I can help if you need more info...I am asking about yield/yield.I thought convexity and curve issues are pretty much priced into the asset swap, and shouldnt have any bearing on the weightings. Am I wrong about this? I am seeing trades where there are matched amounts on matched maturity, and others where there is as much as a 2% size discrepancy on a 10 year trade. This is throwing me for a loop.If I need to account for convexity issues when weighting, what can I do when incorporating this into a spreadsheet? Any help would be appreciated beacuse this really is uncharted territory for me. Much appreciated.