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

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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 us-ing 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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Bibliographic Info

Article provided by Bank of Canada in its journal Bank of Canada Review.

Volume (Year): 2000-2001 (2001)
Issue (Month): Winter ()
Pages: 23-34

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Handle: RePEc:bca:bcarev:v:2000-2001:y:2001:i:winter00-01:p:23-34

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