CPI fixing swap: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Remove surplus links.) |
imported>Doug Williamson (Layout.) |
||
| (4 intermediate revisions by the same user not shown) | |||
| Line 10: | Line 10: | ||
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. | 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. | ||
| Line 19: | Line 19: | ||
== 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 32: | 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
