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Journal Article
Derivative securities use grows as banks strive to hedge risks
anonymous (1999-01)
Financial Update , Volume 12 , Issue Jan , Pages 8-9

Working Paper
A proposal for efficiently resolving out-of-the-money swap positions at large insolvent banks
Kaufman, George G. (2003)
Recent evidence suggests that bank regulators appear to be able to resolve insolvent large banks efficiently without either protecting uninsured deposits through invoking "too-big-to-fail" or causing serious harm to other banks or financial markets. But resolving swap positions at insolvent banks, particularly a bank's out-of-the-money positions, has received less attention. The FDIC can now either repudiate these contracts and treat the in-the-money counterparties as at-risk general creditors or transfer the contracts to a solvent bank. Both options have major drawbacks. Terminating ...
Working Paper Series , Paper WP-03-01

Report
An analysis of OTC interest rate derivatives transactions: implications for public reporting
Sarkar, Asani; Li, Ada; Fleming, Michael J.; Jackson, John; Zobel, Patricia (2012)
This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product standardization, and market-making behavior. We find that trading activity in the IRD market is dispersed across a broad array of product types, currency denominations, and maturities, leading to more than 10,500 observed unique product combinations. While a select group of standard instruments trade with ...
Staff Reports , Paper 557

Speech
Factors affecting efforts to limit payments to AIG counterparties
Baxter, Thomas C. (2010)
Testimony before the Committee on Government Oversight and Reform, U.S. House of Representatives.
Speech , Paper 13

Report
When is there a strong transfer risk from the sovereigns to the corporates? Property rights gaps and CDS spreads
Bai, Jennie; Wei, Shang-Jin (2012)
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and increasing their risk of default may be mitigated by legal institutions that provide strong property rights protection. Using a novel credit default swaps (CDS) data set covering government and corporate entities across thirty countries, we study both the average strength of the transfer risks and the role of ...
Staff Reports , Paper 579

Journal Article
Dollar problems
Keran, Michael W. (1973)
FRBSF Economic Letter

Conference Paper
Regulation of asset sales, futures and interest rate swaps
Lenchner, Joseph S. (1986)
Proceedings , Paper 123

Working Paper
Debt maturity and the use of interest rate derivatives by non-financial firms
Fenn, George W.; Post, Mitchell A.; Sharpe, Steven A. (1996)
We develop and test a simple model of a firm's optimal debt maturity and its demand for interest rate swaps using 1994 data of over 4000 nonfinancial corporations. As in other models of derivative use, ours predicts a systematic relationship between a firm's swap position and the interest-sensitivity of its cash flow. We test this by estimating the cross-sectional relationship between a firm's swap position and: (1) the amount of short-term and floating-rate debt in its capital structure; and (2) the interest-sensitivity of its EBITD. We find strong evidence that firms use swaps to hedge ...
Finance and Economics Discussion Series , Paper 96-36

Report
Capital constraints, counterparty risk, and deviations from covered interest rate parity
Sarkar, Asani; Coffey, Niall; Hrung, Warren B. (2009)
We provide robust evidence of a deviation in the covered interest rate parity (CIP) relation since the onset of the financial crisis in August 2007. The CIP deviation exists with respect to several different dollar-denominated interest rates and exchange rate pairings of the dollar vis-a-vis other currencies. The results show that our proxies for margin conditions and for the cost of capital are significant determinants of the CIP deviations, especially during the crisis period. The supply of dollars by the Federal Reserve to foreign central banks via reciprocal currency arrangements (swap ...
Staff Reports , Paper 393

Journal Article
Interest rate swaps: a new tool for managing risk
Loeys, Jan (1985-05)
Business Review , Issue May/Jun , Pages 17-25

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