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Quantitative Finance · Glossário

O que é Equity swap and funding spread?

Também chamado de: equity swap · funding spread

Definition 17.3 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 17 — Delta-One Instruments

An equity swap is a total return swap (Definition 6.14) on a share, a basket or an index, with periodic resets at which the accrued performance is paid and the notional is reset to the current price. Its funding spread is the margin over the benchmark rate in the financing leg: the price of the dealer’s balance sheet, and the number on which swaps compete.

An equity swap. The dealer is flat: it owns what it owes. Its profit is the funding spread less its own cost of financing the shares, plus whatever the shares earn in its hands (lending fees, a better dividend tax position) that it does not pass on.
Figure 17.1. An equity swap. The dealer is flat: it owns what it owes. Its profit is the funding spread less its own cost of financing the shares, plus whatever the shares earn in its hands (lending fees, a better dividend tax position) that it does not pass on.
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