Par Asset Swap Package

The combination of a fixed-rate bond and an interest rate swap (IRS), structured such that the total cost to the investor is par. The investor in an asset swap package pays par and receives the underlying bond, and also enters into an interest rate swap paying fixed coupons  with specific frequency and receiving floating rate payments of LIBOR plus the par asset swap spread. The par asset swap spread is the value that sets the value of the package equal to zero at initiation.