Re-strike

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Of a swap, to reset the notional based on the present value (in equity derivatives lingo, the Final Price) of the underlier.

A useful little trick if you want to avoid being blown up by a fund like Archegos, because when you restrike, your static margin adjusts to the new notional value of the swap, makloing it a bit like dynamic margin.

Some swaps restrike on every Calculation Period end date; some only restrike if the notional moves more than say 20% from the Initial Price.

See also

• Static margin
• Dynamic margin
• Archegos