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Published May 10, 2022 | Version v1
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Collateralized Swap Structure Analytics

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Description

The Collateralized swap structure is an option where the client, rather than making an upfront cash payment, puts up collateral instead–in this case in the form of a basket of hedge fund investments. For the most part the option acts as an equity swap, with the client paying the returns on a basket of hedge funds and receiving a spread over Libor, with the notional amount resetting periodically.

Notes

https://osf.io/preprints/socarxiv/zr7hp/download

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zenodo-CollateralizedSwap.pdf

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