Publications and Research
Periodicals
Bank of Canada Review
Winter 2000-2001
Index of Working Papers | Index of Technical Reports| Title | The Federal Government's Use of Interest Rate Swaps and Currency Swaps |
| Author(s) | John Kiff, Uri Ron, and Shafiq Ebrahim |
| Type | Bank of Canada Review article |
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Date of publication |
Winter 2000-2001 |
| Language | English |
| Abstract |
Interest rate swaps and currency swaps are contracts in which counterparties agree to exchange cash flows according to a pre-arranged formula over a period of time. Since 1985, the federal government has been using such swaps to manage its liabilities in a cost-effective and flexible manner.
The authors outline the characteristics of swap agreements and the ways in which the government uses them. They show that the swap program has been cost-effective, estimating that past and projected savings exceed $500 million. The authors also discuss the methods that the government uses to monitor the counterparty credit risk associated with these transactions. |
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Bank topic index |
Interest rates |
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JEL classification |
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