Derivatives · glossary

Hedge ratio

How much of the loan is hedged, as a share of the principal outstanding. After Atlas prepaid part of its loan, the swap and the cap covered 140% of it, above the policy's limit of 100%. Unwinding part of the swap brought it back. Hedge Sheet 4 · Chapter 9

Explained in Chapter 9, What the Swap Is Worth, of Derivatives.

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