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 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. | |||
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. | ||
Revision as of 08:01, 22 June 2023
Risk management - inflation risk - Consumer Price Index (CPI) - derivative instruments - swaps - inflation swap.
A CPI fixing swap is an agreement 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.
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
- Accreting swap
- Amortising swap
- Asset-based swap
- Basis swap
- Capital market swap
- Collateral swap
- Constant maturity credit default swap
- Consumer Price Index (CPI - US)
- Consumer Prices Index (CPI - UK)
- Contract for differences
- Counterparty
- CPI swap
- Credit default swap
- Currency swap
- Debt for equity swap
- Derivative instrument
- Equity swap
- Expectations theory
- Fixing instrument
- Inflation
- Inflation risk
- Inflation swap
- Interest rate swap
- International Swaps and Derivatives Association (ISDA)
- Longevity swap
- Overnight indexed swap
- Notional principal
- Risk management
- Swap
- Swap Break Clauses
- Swap overlay
- Swap rate
- Swaption
- Total return swap
- Zero-coupon swap
