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   Exchangeable Zero-Coupon Swap
   















 

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Exchangeable Zero-Coupon Swap

A specialized swap in which the end-user who is originally scheduled to receive a fixed sum at maturity (the zero-coupon payment) sells the dealer an embedded option to convert the single payment to a series of fixed payments. The end user will benefit from this structure if volatility declines and rates are relatively stable to declining.

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