Swap overlay

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Revision as of 08:08, 20 August 2013 by imported>Doug Williamson (Spacing 20/8/13)
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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