Pricing a new bond with asset swap rate

ada · January 27th, 2006, 12:39 pm

I am interesting to compute a new bond price with calculated asset swap spread and given cpn. Read a tread here about converting asset swap spread to yield spread by dividing duration. Is this the correct way to do? Thank you in advance for any hint here. Rgs

anfieldred · January 28th, 2006, 12:44 pm

generally a new issue will be quoted as a spread over (under) mid swaps. this will allow the syndicate manager to build the book prior to pricing. while this may not be exactly the y/y asw level, it is close enough. on the day of the pricing the reference swap rate will usually be decided on a pricing call with the issuer, lead manager's swaps desk and in relation to a broker screen. once the swap rate is agreed upon the bond yield = swap rate + spread leading to the issue price.