CPI fixing swap: Difference between revisions
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''Risk management - inflation risk - Consumer Price Index (CPI) - derivative instruments - swaps - inflation swap.'' | ''Risk management - inflation risk - Consumer Price Index (CPI) - derivative instruments - swaps - inflation swap.'' | ||
A CPI fixing swap is an agreement to exchange a series of payments referenced to the Consumer Price (or Prices) Index for a fixed rate of interest. | A CPI fixing swap is an agreement between two parties to exchange: | ||
:(1) a series of payments referenced to the Consumer Price (or Prices) Index; for | |||
:(2) a fixed rate of interest. | |||
CPI fixing swaps are used to manage CPI inflation risk. | CPI fixing swaps are used to manage CPI inflation risk. | ||
Like other capital market swaps, they are settled net, and subject to risks including their relative technical complexity, collateral calls, volatile market prices, and reporting requirements. | |||
Their current market prices also indicate the swap market's current average expectations about future rates of CPI inflation. | Their current market prices also indicate the swap market's current average expectations about future rates of CPI inflation. | ||
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== See also == | == See also == | ||
* [[ | * [[Call]] | ||
* [[Capital market swap]] | * [[Capital market swap]] | ||
* [[Collateral | * [[Collateral]] | ||
* [[Consumer Price Index]] (CPI - US) | * [[Consumer Price Index]] (CPI - US) | ||
* [[Consumer Prices Index]] (CPI - UK) | * [[Consumer Prices Index]] (CPI - UK) | ||
* [[Counterparty]] | * [[Counterparty]] | ||
* [[Derivative instrument]] | * [[Derivative instrument]] | ||
* [[ | * [[EMIR]] | ||
* [[Expectations theory]] | * [[Expectations theory]] | ||
* [[Financial reporting]] | |||
* [[Fixing instrument]] | * [[Fixing instrument]] | ||
* [[Inflation]] | * [[Inflation]] | ||
| Line 36: | Line 35: | ||
* [[Interest rate swap]] | * [[Interest rate swap]] | ||
* [[International Swaps and Derivatives Association]] (ISDA) | * [[International Swaps and Derivatives Association]] (ISDA) | ||
* [[ | * [[Regulation]] | ||
* [[Risk management]] | * [[Risk management]] | ||
* [[Swap]] | * [[Swap]] | ||
* [[ | * [[UK EMIR]] | ||
* [[ | * [[Volatility]] | ||
[[Category:The_business_context]] | [[Category:The_business_context]] | ||
Latest revision as of 08:20, 22 June 2023
Risk management - inflation risk - Consumer Price Index (CPI) - derivative instruments - swaps - inflation swap.
A CPI fixing swap is an agreement between two parties to exchange:
- (1) a series of payments referenced to the Consumer Price (or Prices) Index; for
- (2) a fixed rate of interest.
CPI fixing swaps are used to manage CPI inflation risk.
Like other capital market swaps, they are settled net, and subject to risks including their relative technical complexity, collateral calls, volatile market prices, and reporting requirements.
Their current market prices also indicate the swap market's current average expectations about future rates of CPI inflation.
This is a dimension of expectations theory.
See also
- Call
- Capital market swap
- Collateral
- Consumer Price Index (CPI - US)
- Consumer Prices Index (CPI - UK)
- Counterparty
- Derivative instrument
- EMIR
- Expectations theory
- Financial reporting
- Fixing instrument
- Inflation
- Inflation risk
- Inflation swap
- Interest rate swap
- International Swaps and Derivatives Association (ISDA)
- Regulation
- Risk management
- Swap
- UK EMIR
- Volatility
