CPI fixing swap: Difference between revisions
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imported>Doug Williamson (Remove surplus links.) |
imported>Doug Williamson (Remove surplus link.) |
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== See also == | == See also == | ||
* [[Capital market swap]] | * [[Capital market swap]] | ||
* [[Consumer Price Index]] (CPI - US) | * [[Consumer Price Index]] (CPI - US) | ||
* [[Consumer Prices Index]] (CPI - UK) | * [[Consumer Prices Index]] (CPI - UK) | ||
Revision as of 08:07, 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.
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.
