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Journal Article
The recent growth of financial derivative markets
Remolona, Eli M. (1992-01)
This article examines the reasons for the phenomenal growth of financial derivative markets in recent years. The author shows how specific demand forces have largely determined the direction and speed of the derivatives' spread.
Quarterly Review , Volume 17 , Issue Win

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

Journal Article
The pricing and hedging of index amortizing rate swaps
Fernald, Julia D. (1993-01)
Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap.
Quarterly Review , Volume 18 , Issue Win

Journal Article
The international monetary system--retrospect and prospect
Hayes, Alfred (1989)
During Hayes' tenure as president, the dollar-centered Bretton Woods system of fixed exchange rates matured, then collapsed, prompting a transition to floating exchange rates. In this address, Hayes discusses the development of international cooperation in foreign exchange market intervention and the prospects for reform of the international monetary system. He recommends that countries work together to ensure exchange rate stability, orderly balance-of-payments adjustment, and the financing of imbalances resulting from the first energy crisis.
Quarterly Review , Issue Special

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

Report
Loan swaps and the LDC debt problem
Roberts, David L.; Remolona, Eli M. (1986)
Research Paper , Paper 8615

Report
Interest rate swaps: an alternative explanation
Arak, Marcelle V.; Estrella, Arturo; Goodman, Laurie; Silver, Andrew (1988)
Research Paper , Paper 8811

Report
Interbank interest rates as term structure indicators
Malz, Allan M. (1998)
Interbank fixed income claims are a rich but neglected source of information on the term structure of interest rates and interest rate expectations. The first half of this paper describes the information content of two types of over-the-counter interest rate derivatives, forward rate agreements and interest rate swaps. Interbank interest rates and derivatives lend themselves well to a particular technique for fitting zero-coupon curves. The second half of this paper present this technique, along with some examples of how it can be used to gain insights into market views on interest rates and ...
Research Paper , Paper 9803

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
An analysis of CDS transactions: implications for public reporting
Chen, Kathryn; Fleming, Michael J.; Jackson, John; Li, Ada; Sarkar, Asani (2011)
Ongoing regulatory reform efforts aim to make the over-the-counter derivatives market more transparent by introducing public reporting of transaction-level information, including price and volume of trades. However, to date there has been a scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find that trading activity in the CDS market is relatively low, with a majority of reference entities for ...
Staff Reports , Paper 517

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