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Journal Article
Derivative markets and competitiveness
Napoli, Janet (1992-07)
Economic Perspectives , Volume 16 , Issue Jul

Journal Article
Index amortizing rate swaps
Galaif, Lisa N. (1993-01)
As short-term interest rates have declined over the past several years, investors have increasingly sought higher yielding investment vehicles. The index amortizing rate (IAR) swap is one of several new instruments that have been developed in response to this investor demand for yield enhancement. This article explains the structure and pricing of IAR swaps, some of the risks associated with the product, and the uses and growth prospects of the market.
Quarterly Review , Volume 18 , Issue Win , Pages 63-70

Working Paper
What did the credit market expect of Argentina default? Evidence from default swap data
Zhang, Frank X. (2003)
This article explores the expectations of the credit market by developing a parsimonious default swap model, which is versatile enough to disentangle default probability from the expected recovery rate, accommodate counterparty default risk, and allow flexible correlation between state variables. We implements the model to a unique sample of default swaps on Argentine sovereign debt, and found that the risk-neutral default probability was always higher than its physical counterpart, and the wedge between the two was affected by changes in the business cycle, the U.S. and Argentine credit ...
Finance and Economics Discussion Series , Paper 2003-25

Journal Article
Establishment of temporary swap facility with Mexico
anonymous (1994-05)
Federal Reserve Bulletin , Issue May , Pages 394

Journal Article
The Federal Reserve's foreign exchange swap lines
Klagge, Nicholas; Fleming, Michael J. (2010-04)
The financial crisis that began in August 2007 disrupted U.S. dollar funding markets not only in the United States but also overseas. To address funding pressures internationally, the Federal Reserve introduced a system of reciprocal currency arrangements, or "swap lines," with other central banks. The swap line program, which ended early this year, enhanced the ability of these central banks to provide U.S. dollar funding to financial institutions in their jurisdictions.
Current Issues in Economics and Finance , Volume 16 , Issue Apr

Working Paper
Monetary policy and the yield curve
Bomfim, Antúlio N. (2003)
This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve.
Finance and Economics Discussion Series , Paper 2003-15

Report
The implications of monetary versus bond financing of debt-peso swaps
Mullin, John J. (1990)
Research Paper , Paper 9005

Journal Article
The global financial crisis and offshore dollar markets
Sarkar, Asani; Coffey, Niall; Hrung, Warren B.; Nguyen, Hoai-Luu (2009-10)
Facing a shortage of U.S. dollars and a growing need to support their dollar-denominated assets during the financial crisis, international firms increasingly turned to the foreign exchange swap market and other secured funding sources. An analysis of the ensuing strains in the swap market shows that the dollar "basis"--the premium international institutions pay for dollar funding--became persistently large and positive, chiefly as a result of the higher funding costs paid by smaller firms and non-U.S. banks. The widening of the basis underscores the severity and breadth of the crisis as ...
Current Issues in Economics and Finance , Volume 15 , Issue Oct

Report
Trading risk and volatility in interest rate swap spreads
Kambhu, John (2004)
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which speculators take positions on a bet that asset prices will converge to normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback that can amplify shocks in asset prices. In our analysis, we see empirical evidence of both stabilizing and ...
Staff Reports , Paper 178

Working Paper
Valuation of default-risky interest-rate swaps
Abken, Peter A. (1991)
FRB Atlanta Working Paper , Paper 91-4

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