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Derivatives




ICE Swap


An abbreviation for inverted curve enhancement swap; an interest rate swap that places a minimum level (floor) under the floating rate in consideration for a larger fixed rate. In other words, the floating-rate receiver seeks to guarantee a minimum level of floating rate payments (downside protection) and thus pays in return for this downside protection a higher fixed rate.

Such a swap is particularly of use in markets characterized by an inverted yield curve.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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