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Journal Article
Synthetic asset swaps
1990
Overview
Interest rate swaps represent a contractual agreement between 2 parties to exchange cash flows at periodic intervals based on a notional amount. Such interest rate swaps can be used to create synthetic fixed-rate or synthetic floating-rate assets for non-amortizing assets. The synthetic fixed (floating) assets are produced by purchasing floating- (fixed-) rate assets and then entering into interest rate swaps to transform the asset cash flows to a fixed- (floating-) rate basis. The interest rate swap dynamics of these conversions are essentially the same, except that the swap cash flows are reversed. Several innovative bond structures have been developed to meet specific investor needs. In the world of mortgage-backed securities, the technology has been in the form of collateralized mortgage obligations. Accreting swaps have been mainly used to fix the interest cost of liabilities in liability management applications in which the liability schedule is expected to increase over time. Options on swaps, or swaptions, are relatively new developments in the swap market.
Publisher
Pageant Media
