Swap overlay: Difference between revisions
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imported>Doug Williamson (Classify page.) |
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''Risk management''. | ''Risk management''. | ||
1. | 1. | ||
A method for increasing the duration of fixed income portfolios, usually with a view to matching the duration of the underlying liabilities, by entering into long dated swap agreements (paying floating rates and receiving fixed rates). | A method for increasing the duration of fixed income portfolios, usually with a view to matching the duration of the underlying liabilities, by entering into long dated swap agreements (paying floating rates and receiving fixed rates). | ||
2. | 2. | ||
More generally, the use of a swap in conjunction with an existing underlying position or exposure. | More generally, the use of a swap in conjunction with an existing underlying position or exposure. | ||
== See also == | == See also == | ||
* [[Credit default swap]] | * [[Credit default swap]] | ||
* [[Swap]] | * [[Swap]] | ||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 12:10, 2 July 2022
Risk management.
1.
A method for increasing the duration of fixed income portfolios, usually with a view to matching the duration of the underlying liabilities, by entering into long dated swap agreements (paying floating rates and receiving fixed rates).
2.
More generally, the use of a swap in conjunction with an existing underlying position or exposure.
