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- April 2024
- Article
Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads
By: Samuel G. Hanson, Aytek Malkhozov and Gyuri Venter
We develop and test a model in which swap spreads are determined by end users' demand for
and constrained intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect
compensation both for using scarce intermediary capital and for bearing convergence... View Details
Keywords: Swap Spreads; Credit Derivatives and Swaps; Interest Rates; Risk and Uncertainty; Volatility
Hanson, Samuel G., Aytek Malkhozov, and Gyuri Venter. "Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads." Art. 103814. Journal of Financial Economics 154 (April 2024).
- February 1986 (Revised January 1996)
- Background Note
Currency Swaps
Describes uses of foreign currency swaps and development of both interest rate and foreign currency swaps market. Emphasis on calculation of all-in costs using foreign currency swaps and conversion of basis points in one currency to basis points in a different... View Details
Mason, Scott P. "Currency Swaps." Harvard Business School Background Note 286-073, February 1986. (Revised January 1996.)
- March 1984 (Revised August 1996)
- Case
B.F. Goodrich-Rabobank Interest Rate Swap
By: Jay O. Light
A U.S. manufacturing organization and a Eurobank swap fixed and floating rate obligations to reduce their financing costs. View Details
Keywords: Financing and Loans; Cost Management; Production; Interest Rates; Credit Derivatives and Swaps; Auto Industry; Financial Services Industry; United States
Light, Jay O. "B.F. Goodrich-Rabobank Interest Rate Swap." Harvard Business School Case 284-080, March 1984. (Revised August 1996.)
- November 1991 (Revised April 2002)
- Background Note
Note on Foreign Currency Swaps
By: W. Carl Kester
Provides descriptive background about the development of an international market for currency swaps and, by means of a detailed example, instructs readers in the determination of swap flows and all-in costs of financing using market swap rates. A rewritten version of... View Details
Keywords: Currency
Kester, W. Carl. "Note on Foreign Currency Swaps." Harvard Business School Background Note 292-043, November 1991. (Revised April 2002.)
- May 2005 (Revised January 2006)
- Background Note
Note on Forward Contracts and Swaps
Introduces forward contracts and derives graphically through basic arbitrage principles the spot-forward parity. Introduces swap contracts as simply a portfolio of forward contracts. Also covers briefly the mathematics behind swaps as an extension of spot-forward... View Details
Keywords: Financial Instruments
Chacko, George C., Peter A. Hecht, Vincent Dessain, and Anders Sjoman. "Note on Forward Contracts and Swaps." Harvard Business School Background Note 205-118, May 2005. (Revised January 2006.)
- May 1991 (Revised December 1994)
- Case
State of Connecticut Municipal Swap
By: Andre F. Perold
The state of Connecticut wants to raise $325 million of long-term fixed-rate debt. One alternative is to do this synthetically--issue long-term variable rate debt and enter into an interest rate swap. The case is a vehicle for analyzing various floating rate structures... View Details
Keywords: Borrowing and Debt; Credit Derivatives and Swaps; Interest Rates; Taxation; Management Analysis, Tools, and Techniques; Risk and Uncertainty; New England
Perold, Andre F. "State of Connecticut Municipal Swap." Harvard Business School Case 291-024, May 1991. (Revised December 1994.)
- Fast Answer
Credit default swaps
Where can I get information on credit default swaps (CDS)? Capital IQ: Search for equity or country in search bar. Credit Default Swaps are available in left hand menu under Fixed Income. The Capital IQ... View Details
- Article
International Pension Swaps
By: Zvi Bodie and Robert C. Merton
Bodie, Zvi, and Robert C. Merton. "International Pension Swaps." Journal of Pension Economics & Finance 1, no. 1 (March 2002): 77–83.
- January 2008 (Revised July 2010)
- Case
Wal-Mart's Use of Interest Rate Swaps
"Wal-Mart's Use of Interest Rate Swaps" recounts Wal-Mart's use of interest rate swaps to hedge the fair value of its fixed-rate debt against changing interest rates. This case provides students with a foundation for understanding the use of and accounting for more... View Details
Keywords: Fair Value Accounting; Financial Statements; Credit Derivatives and Swaps; Financial Strategy; Interest Rates; Corporate Disclosure
Kimbrough, Michael D., Michael Faulkender, Nicole Thorne Jenkins, and Rachel Gordon. "Wal-Mart's Use of Interest Rate Swaps." Harvard Business School Case 108-038, January 2008. (Revised July 2010.)
- 31 Mar 2011
- News
Building an Online Swap Shop
Reinhart: Deriving success in derivative markets. thredUP, a children’s clothing swap Web site cofounded by HBS classmates James Reinhart and Chris Homer (MBA ’09), expanded into toys last fall, just in time for the holidays. Shoppers had... View Details
- August 2023 (Revised January 2025)
- Case
The Gift Card Swap
By: David G. Fubini, William Fubini, Patrick Sanguineti and Amy Chambers
In this short vignette on ethics in consulting, Brenda Thompson, a new Associate at a prestigious consulting firm, learns that a fellow Associate is using the firm's meal expense benefits to pocket the difference between the maximum daily allowance and his actual... View Details
Fubini, David G., William Fubini, Patrick Sanguineti, and Amy Chambers. "The Gift Card Swap." Harvard Business School Case 424-010, August 2023. (Revised January 2025.)
- February 2005
- Article
Swapping Your Country's Risks
By: Robert C. Merton
Keywords: Risk and Uncertainty
Merton, Robert C. "Swapping Your Country's Risks." Breakthrough Ideas for 2005. Harvard Business Review 83, no. 2 (February 2005): 34–36. (HBS Reprint #RO502A.)
- July 2002
- Case
First American Bank: Credit Default Swaps
This case examines a bank's ability to manage its credit exposure to a particular client using credit default swaps. View Details
Chacko, George C., and Eli Strick. "First American Bank: Credit Default Swaps." Harvard Business School Case 203-033, July 2002.
- June 1995 (Revised May 1996)
- Teaching Note
State of Connecticut Municipal Swap TN
By: Andre F. Perold and Wai Lee
Teaching Note for (9-291-024). View Details
- December 2012
- Background Note
Jefferson County: Specific Swap Detail
Jefferson County, Alabama, faces an EPA mandate requiring sewer system upgrades. How will they finance the upgrades? What consequences will follow? View Details
Keywords: Local Government; Political Process; Bankruptcy; Debt Management; Financial Planning; Financial Management; Urban Development; City; Infrastructure; Government and Politics; Alabama
Bergstresser, Daniel, Randolph Cohen, and Jeff Klein. "Jefferson County: Specific Swap Detail." Harvard Business School Background Note 213-061, December 2012.
- February 1988
- Case
Chase Manhattan Bank: Commodity Swaps
By: Ray A. Goldberg
Goldberg, Ray A. "Chase Manhattan Bank: Commodity Swaps." Harvard Business School Case 588-056, February 1988.
- March 1993
- Teaching Note
Note on Foreign Currency Swaps (TN)
By: W. Carl Kester
Teaching Note for (9-292-043). View Details
- 01 Mar 2011
- News
Swap ’Em If You Got ’Em
Hall (right): An online market for military personnel. Blake Hall (MBA ’10) grew up in a military family, became an Army Ranger, and was a platoon leader in Iraq for fifteen months. A conversation with a fellow veteran about the difficulty of buying and selling... View Details
- February 2010
- Case
Saginaw Parts Co. and the General Motors Corp. Credit Default Swap
This two-page case demonstrates how to unbundle the cost of credit extensions from product prices by observing the price of a credit default swap. It also explores how credit default swaps work, and how trade creditors are treated under U.S. bankruptcy law. Finally it... View Details
Keywords: Trade; Credit; Insolvency and Bankruptcy; Credit Derivatives and Swaps; Laws and Statutes; Risk Management; Auto Industry; United States
Fruhan, William E. "Saginaw Parts Co. and the General Motors Corp. Credit Default Swap." Harvard Business School Case 210-056, February 2010.
- August 1988
- Case
J.P. Morgan's Mexican Bank Debt: Bond Swap
Meerschwam, David M. "J.P. Morgan's Mexican Bank Debt: Bond Swap." Harvard Business School Case 289-013, August 1988.