New answers tagged swaps
0
votes
Is there a name a CCIRS structure where the notional amount changes halfway through the accrual period?
I'm not sure if intra-period amortizations (as described in the question) are economically meaningful because they're equivalent to an adjusted "vanilla" amortization profile i.e. the period ...
- 1,021
0
votes
Accepted
EM currency bond pricing and swaps
As you state, these instruments are term structure versions of the currency basis risk i.e. longer dated (usually up to 10y) versions of FX swaps (which usually only trade out to 1yr). As they are a ...
- 1,021
0
votes
How is an equity TRS reflected on a balance sheet?
I believe that AUM and NAV is the same thing for hedge funds, although the term AUM is more commonly used. In any case, they represent the "liquidation" value of the firm assuming all assets ...
- 41
1
vote
How is an equity TRS reflected on a balance sheet?
In general derivatives accounting would dictate that the MTM of the swap be on the B/S.
Assuming P1 = P0 shortly after trading, the B/S would show as \$25mm cash asset, \$25mm IA (on the swap ...
Top 50 recent answers are included