As a result of the intervention
by the Federal Reserve and the U.S. Treasury, even the
bondholders of Bear Stearns stand to
receive 100 % repayment of both interest and principal on their bond investments.
The asset swap spread (also called the gross spread) is the aggregate price that
bondholders would
receive by exchanging fixed rate bonds for floating rate bonds using the swaps market, mainly used to reduce interest rate risk.