Inflation Derivatives and LDI Solutions - Euromoney Conferences
Inflation Derivatives and LDI Solutions - Euromoney Conferences
Inflation Derivatives and LDI Solutions - Euromoney Conferences
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uttonma [printed: February 1, 2007 1:46 PM] [saved: February 5, 2007 1:06 PM] C:\Documents <strong>and</strong> Settings\buttonma\Local Settings\Temporary Internet Files\OLK1C4\Risk_Feb07_slides.ppt<br />
Combining IRS with <strong>Inflation</strong> Swaps<br />
Combinations translates inflation risk to a floating rate<br />
Pensioners<br />
<strong>Inflation</strong><br />
linked<br />
pensions<br />
Cash<br />
£100m<br />
Fixed<br />
interest<br />
rate [3%]<br />
UBS<br />
Fixed interest<br />
rate<br />
[5%]<br />
Fund UBS<br />
Deposit Account<br />
<strong>Inflation</strong> over<br />
the period<br />
Variable<br />
interest rate<br />
Variable<br />
interest rate<br />
27
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