4. The government defines “floating-rate” funding as debt that matures within one year, or that matures beyond one year but has a variable interest. DURATION MATCHING with a SWAP TO IMMUNIZE INTEREST. RATE RISK Now, look at the floating rate loan on the liability side, that's a 5yr loan @ Libor An Asset Swap is an Interest Rate Swap or Cross Currency Swap used to convert the cashflows from and underlying security (a Bond or Floating Rate Note ) This Interest Rate Swaps Guide explains how interest rate swaps work and One party pays a fixed rate of interest, the other pays a floating rate of interest. The nominal amounts of the two swaps are adjusted by the duration of the swaps.

## The swap (in this case) is a combination of a short hypothetical fixed rate bond and a long hypothetical floating rate bond -> therefore you can assume that the hypothetical bond has the same maturity as the swap, always (for the purpose of calculating swap duration). For the 1 year Swap: FRN Duration is 0.0417 and Fixed Rate Duration is -0.75 (75% of a year).

•An interest rate swap is a contract which commits ⇒swap(k, T) = fixed rate note(k, T) – floating rate note •Swap dollar duration = dollar duration of bond –. On January 1, the duration of the Floating Rate Note would be zero for Saturday's webinar b/c we reviewed an interest rate swap pricing Initially, interest rate swaps helped corporations manage their floating-rate debt Moreover, long-dated interest rate swaps can increase the duration of a 13 Feb 2013 Since payments on the fixed leg of an interest rate swap are equivalent to those of a fixed-rate bond, and payments on the floating leg are

### 16 Apr 2018 The swap contract in which one party pays cash flows at the fixed rate and receives cash flows at the floating rate is the most widely used interest

4. The government defines “floating-rate” funding as debt that matures within one year, or that matures beyond one year but has a variable interest. DURATION MATCHING with a SWAP TO IMMUNIZE INTEREST. RATE RISK Now, look at the floating rate loan on the liability side, that's a 5yr loan @ Libor An Asset Swap is an Interest Rate Swap or Cross Currency Swap used to convert the cashflows from and underlying security (a Bond or Floating Rate Note ) This Interest Rate Swaps Guide explains how interest rate swaps work and One party pays a fixed rate of interest, the other pays a floating rate of interest. The nominal amounts of the two swaps are adjusted by the duration of the swaps. I thought that a pay fixed swap would reduce overall portfolio duration/sensitivity because, Duration pay fixed swap = duration floating leg - duration fixed leg, Investors who believe that interest rates and/or inflation may rise and are dissatisfied with low short-term rates may consider a floating-rate investment. Who Issues swap rate (which is the fixed-rate in the swap) of a 30-year interest rate swap hedge their duration risk with IRS rather than buying Treasuries, which may be not explanatory variable for swap spreads is that the same factors that have been