Swap overlay: Difference between revisions
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imported>Doug Williamson m (Spacing 20/8/13) |
imported>Doug Williamson (Classify page.) |
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* [[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.
