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Definition of Swap
An arrangement whereby two companies lend to each other on different terms, e.g. in different
An exchange of cash flows between two counterparties. The
A contract between two parties to exchange cash flows in the future
Arrangement by two counterparties to exchange one stream of cash flows for another.
swap in which the principal or national amount rises (falls) as interest rates
Creditors exchange the debt of one defaulting borrower for the debt of another
An interest rate swap used to alter the cash flow characteristics of an institution's assets so as to
A swaption in which the buyer has the right to enter into a swap as a fixed-rate payer. The
A fixed rate currency swap against floating U.S. dollar LIBOR payments.
An agreement to swap a series of specified payment obligations denominated in one currency
A set of transactions (also called a debt-equity swap) in which a firm buys a country's dollar bank
swap between two LIBO rates of interest, e.g. yen LIBOR for dollar LIBOR. Payments are
A swap in which the cash flows that are exchanged are based on the total return on some stock
Extending maturity through a swap, e.g. selling a 2-year note and buying one with a slightly
An agreement to exchange stipulated amounts of one currency for another currency
A binding agreement between counterparties to exchange periodic interest payments on
An exchange of one bond for another based on the manager's projection of a
An interest rate swap used to alter the cash flow characteristics of an institution's liabilities so
Moving to higher yield bonds.
A financial tool in which the buyer has the right, or option, to enter into a swap as a floatingrate
See: differential swap.
Rate anticipation swaps
An exchange of bonds in a portfolio for new bonds that will achieve the target
A swap in which a money manager exchanges one bond for another bond that is similar in
Related: swap sale.
The sale of an interest rate swap by one counterparty to the other, effectively ending the swap.
The difference between spot and forward rates expressed in points, e.g., $0.0001 per pound sterling.
An interest rate swap designed to end a counterparty's role in another interest rate swap,
Also called a swap assignment, a transaction that ends one counterparty's role in an interest rate
Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate
swapping two similar bonds to receive a tax benefit.
A swap option; an option on an interest-rate swap. The option gives
1) When bond yields and prices fall, the market is said to back-up.
The parties to an interest rate swap.
In an interest rate swap, the date the swap begins accruing interest.
In an interest rate swap the counterparty who pays a fixed rate, usually in exchange for a
In an interest rate swap, the counterparty who pays a rate based on a reference rate,
The loss in yield that occurs when a block of bonds is swapped for another block of lower-coupon
International swap Dealers Association. Formed in 1985 to promote uniform practices in the writing,
For a bond, the date on which the principal is required to be repaid. In an interest rate swap, the
Notional principal amount
In an interest rate swap, the predetermined dollar principal on which the
The loss of cash resulting from a swap into higher price bonds or the need/willingness of a bank or
The gain in yield that occurs when a block of bonds is swapped for another block of higher-coupon bonds.
A term that refers to a relatively simple derivative financial instrument, usually a swap or other
Also called the swap option, the seller's choice of deliverables in Treasury Bond and Treasury
A benchmark 'interest rate (such as LIBOR), used to specify conditions of an interest rate
Stock replacement strategy
A strategy for enhancing a portfolio's return, employed when the futures
In an interest rate swap, the date that the counterparties commit to the swap. Also, the date on
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