Index Amortizing Rate Swaps - FEDERAL RESERVE BANK of NEW YORK

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Quarterly Review

Index Amortizing Rate Swaps

Winter 1993-94Volume 18, Number 4

Author: Lisa N. Galaif

As short-term interest rates have declined over the past several years, investors have increasingly sought higher yielding investment vehicles. The index amortizing rate (IAR) swap is one of several new instruments that have been developed in response to this investor demand for yield enhancement. This article explains the structure and pricing of IAR swaps, some of the risks associated with the product, and the uses and growth prospects of the market.

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8 pages / 853 kb

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