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The Journal of Fixed Income

The Journal of Fixed Income

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Primary Article

Swaps as a Synthetic Asset Class

Terrence M. Belton and Pavan Wadhwa
The Journal of Fixed Income Winter 2002, 12 (3) 32-39; DOI: https://doi.org/10.3905/jfi.2002.319330
Terrence M. Belton
A managing director at JPMorgan Chase in Chicago, IL. terry.belton@jpmorgan.com
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Pavan Wadhwa
A vice president at JPMorgan Futures Inc. in New York, NY. pavan.wadhwa@jpmorgan.com
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Abstract

As an alternative to investing in fixed-rate assets such as corporate bonds, investors may create synthetic fixed-rate assets by receiving fixed in a swap and investing cash in short-duration floating-rate assets. The interest rate swaps market has grown exponentially in the last decade, and is currently one of the most liquid markets in the world. Synthetic assets offer superior liquidity and diversification from issuer-specific risk, and have outperformed most other asset classes over the last two years.

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The Journal of Fixed Income
Vol. 12, Issue 3
Winter 2002
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Swaps as a Synthetic Asset Class
Terrence M. Belton, Pavan Wadhwa
The Journal of Fixed Income Dec 2002, 12 (3) 32-39; DOI: 10.3905/jfi.2002.319330

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Swaps as a Synthetic Asset Class
Terrence M. Belton, Pavan Wadhwa
The Journal of Fixed Income Dec 2002, 12 (3) 32-39; DOI: 10.3905/jfi.2002.319330
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More in this TOC Section

  • Annual Default Rates are Probably Less Than Long-Run Average Annual Default Rates
  • Crisis-Robust Bond Portfolios
  • An Empirical Analysis of Factors Driving the Swap Spread
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