an arrangement whereby two organizations contractually agree to exchange payments on different terms, for example, in different currencies, or one at a fixed rate and the other at a floating rate
This paper argues that liquidity differences between government securities and short-term Eurodollar borrowings account for interest rate swap spreads. It then models the convenience of liquidity as a linear function of two mean-reverting state variables and values it. The interest rate swap spread for a swap of particular maturity is...
This paper investigates the pricing of Japanese yen interest rate swaps during the period 1990-96. The paper obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds JGBs for different maturities and analyze the relationship between the swap spreads and credit risk variables. Our empirical results...
This article develops models for valuing credit default swaps and European credit default swap options. The model for valuing European credit default swap options is very similar to the standard market model for valuing European swap options. Once default probabilities and expected recovery rates have been estimated, it enables traders...
This paper studies the market price of credit risk incorporated into the most important credit spreads in the financial markets: interest rate swap spreads. The approach consists of jointly modeling the swap and Treasury term structures using a four-factor affine credit framework and estimating the parameters by maximum likelihood. It...
CHARLOTTE, N.C. -- FairPoint Communications, Inc. (NYSE:FRP) ("FairPoint") announced today that it has entered into two additional interest rate swap agreements. These swap agreements, together with FairPoint's three existing interest rate swap agreements, will fix the interest rate on approximately 83% of FairPoint's floating rate debt at a blended rate...
Seagate Technology Inc., the world's largest drive maker announced it has agreed to acquire its number one competitor, Conner Peripherals Inc. in a stock swap deal valued at about $1.04 billion, thus combining two of the four biggest manufacturers of disk drives and other computer-memory components. According to terms of...
Noted author-journalist Robert Wagman is developing a new book, "America's Swap Meets," on America's seller-buyer craze. From driveway yard sales to huge venues drawing tens of thousands, this unique form of commerce is repeated countless times a week. Here, in an excerpt from the forthcoming book, is the story of...
A company's credit default swap spread is the cost per annum for protection against a default by the company. This paper analyzes data on credit default swap spreads collected by a credit derivatives broker. It then examines the relationship between credit default spreads and bond yields and reach conclusions on...
Modelling firms default is becoming important, especially in recent times where the market is experiencing a large development in credit derivatives trading. This paper develops a tractable structural model with analytical default probabilities depending on some dynamics parameters, and shows how to calibrate the model using a chosen number of...
NEW YORK -- Merrill Lynch & Co., Inc. (NYSE: MER) today launched a new swap index series designed to tracked the performance of interest rate swaps in several currencies.
NEW YORK -- Merrill Lynch & Co., Inc. (NYSE: MER) today announced the development of a new inflation-linked swap index series designed to track the performance of sterling and euro inflation-linked interest rate swaps. The new indices, which are an extension of Merrill Lynch's swap index line-up, cover key points...
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 counter party default risk, and allow flexible correlation between state variables. It also shows that major rating agencies had assigned...
This article examines the pricing of credit protection in the rapidly growing creditdefault swap market using an extensive data set provided by Citigroup. It fit a reduced-form model to corporate bond yields and solves for the credit-default swap premia they imply and compare this implied creditdefault swap premia to actual...
CHICAGO--BUSINESS WIRE--Dec. 8, 1995--Prime Residential, Inc. (NASDAQ:PRES) today announced that it has extended the term of its interest rate swap on a substantial portion of its tax exempt bonds from five years to ten years. The swap, originally executed in May of this year, carried a term of five...
SANTA CLARA, Calif. -- Tharas Systems, Inc., a leading provider of high-performance, hardware-assisted verification solutions, today announced T-SWAP, Tharas Switch from Axis Products program. T-SWAP is being offered immediately to address the significant concern about the fate of the SpeXtreme / Axis product family, due to the recently announced acquisition...
The Deal: US Office Products has agreed to acquire Mail Boxes Etc. in a stock-swap valued at $267 million. The move is designed to give the acquiring company access to hundreds of thousands of small business customers. The deal calls for US Office Products to swap one of its shares...
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