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imported>Doug Williamson
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Latest revision as of 12:10, 2 July 2022

Risk management.

1.

A method for increasing the duration of fixed income portfolios, usually with a view to matching the duration of the underlying liabilities, by entering into long dated swap agreements (paying floating rates and receiving fixed rates).


2.

More generally, the use of a swap in conjunction with an existing underlying position or exposure.


See also