Securitisation swap

Interest rate risk management.

A securitisation swap is an interest rate swap or a cross-currency interest rate swap undertaken in a securitisation.

It is designed to hedge the interest rate risk or currency risk arising from any mismatches between the securities issued and the assets in the securitisation portfolio.

See also

• Cross-currency interest rate swap
• Interest rate swap
• Securitisation
• Securitisation special purpose vehicle
• Security
• Swap