Uri Ron

Author

Staff working papers

A Practical Guide to Swap Curve Construction

Staff Working Paper 2000-17 Uri Ron
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International financial markets JEL Code(s): G, G1, G12, G15

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Bank publications

Bank of Canada Review articles

December 15, 2000

The Federal Government's Use of Interest Rate Swaps and Currency Swaps

Bank of Canada Review - Winter 2000-2001 John Kiff, Uri Ron, Shafiq K. Ebrahim
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.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates

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