Interest Rate Swap

<body onLoad="MM_checkPlugin('Shockwave Flash','','http://www.riskglossary.com/default_nofl.htm',false);return document.MM_returnValue" stylesrc="../_private/template.htm" bgcolor="#FFFFFF" link="#669933" vlink="#000000" alink="#000000"> <div align="left"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table1"> <tr> <td width="740"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" height="37" id="table2"> <tr> <td height="35" width="100%"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table3"> <tr> <td width="100%" align="left" valign="top"> <p class="header_gold">Interest Rate Swap</td> <td width="45" align="right" valign="bottom"> <map name="FPMap6"> <area href="http://www.contingencyanalysis.com" shape="rect" coords="1, 0, 44, 11" target="_top"> </map> <img border="0" src="../images/home.gif" usemap="#FPMap6" width="45" height="12"></td> </tr> </table> </td> </tr> <tr> <td width="100%" bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td width="0%" valign="top" bgcolor="#FFFFCC"> <table border="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" cellspacing="1" id="table4"> <tr> <td width="5%" align="left" valign="top"> <p class="header2_black">Explained:<br> <img border="0" src="../images/blank_1x100.gif" width="100" height="1"></td> <td width="95%" align="left" valign="top"><p class="word_list"> <a href="#fixed-for-floating swaps">fixed-for-floating swap</a><p class="word_list"> <a href="#interest rate swap">interest rate swap</a><p class="word_list"> <a href="#swap curve">swap curve</a><p class="word_list"> <a href="#swap rates">swap rate</a><p class="word_list"> <a href="#vanilla interest rate swaps">vanilla interest rate swap</a><br> <img border="0" src="../images/blank_1x160.gif" width="160" height="1"></td> </tr> </table> </td> </tr> </table> <p class="body">A <a href="../articles/swap.htm">swap</a> is a <a href="../articles/physical%20settlement.htm">cash-settled</a> <a href="../articles/exchange_traded.htm">OTC</a> <a href="../articles/derivative_instrument.htm">derivative</a> under which two counterparties exchange two streams of cash flows. It is called an <b> <a name="interest rate swap">interest rate swap</a></b> if both cash flow streams are in the same currency and are defined as cash flow streams that might be associated with some fixed income obligations. </p> <table border="0" cellpadding="0" style="border-collapse: collapse" bordercolor="#111111" width="310" align="left" id="table5"> <tr> <td width="300"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script>  </td> <td width="9"> </td> </tr> </table><p class="body">The most popular interest rate swaps are <b> <a name="fixed-for-floating swaps">fixed-for-floating swaps</a></b> under which cash flows of a fixed rate loan are exchanged for those of a <a href="../articles/floater.htm">floating</a> rate loan. Among these, the most common use a 3-month or 6-month Libor rate (or Euribor, if the currency is the Euro) as their floating rate. These are called <b><a name="vanilla interest rate swaps">vanilla interest rate swaps</a></b>. There is also a liquid market for floating-floating interest rate swaps—what are known as <a href="../articles/basis_swap.htm">basis swaps</a>.</p> <p class="body">To keep things simple (and minimize <a href="../articles/settlement_risk.htm"> settlement risk</a>), concurrent cash flows are <a href="../articles/netting.htm"> netted</a>. In a typical arrangement. both loans have an initial payment (loan) of <a href="../articles/par_value.htm">principal</a>, but those net to 0. Both loans have a final return of the same principal, but those also net to 0. Also, the periodic interest payments are generally scheduled to occur on concurrent dates, so they too can be netted. The principal amount is called the <a href="../articles/notional_amount.htm">notional amount</a> of the swap.</p> <p class="body">Consider an example. Two banks enter into a vanilla interest rate swap. The term is four years. They agree to swap fixed rate <a href="../articles/currency_codes.htm">USD</a> payments at 4.6% in exchange for 6-month USD <a href="../articles/libor.htm">Libor</a> payments. At the outset, the fixed rate payments are known. The first floating rate payment is also known, but the ret will depend on future values of Libor. Exhibit 1 calculates the swap payments under a hypothetical scenario for Libor rates over the life of the swap. These are illustrated graphically in Exhibit 2.</p> <div align="center"> <center> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="400" cellpadding="0" id="table6"> <tr> <td> <p class="exhibit_header"><span class="exhibit_header">Cash Flows During the Life of a Hypothetical USD 100MM 4.6% Four-Year Swap</span><br> <span class="exhibit_subheader">Exhibit 1</span></td> </tr> <tr> <td bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table7"> <tr> <td width="20%" align="center" class="explanatory_text"> <p style="margin-top: 3; margin-bottom: 3"><b>Time<br> (years)</b></td> <td width="20%" align="center" class="explanatory_text"> <p style="margin-top: 3; margin-bottom: 3"><b>6-Month<br> Libor</b></td> <td width="20%" align="center" class="explanatory_text"> <p style="margin-top: 3; margin-bottom: 3"><b>Fixed Rate Cash Flows</b></td> <td width="20%" align="center" class="explanatory_text"> <p style="margin-top: 3; margin-bottom: 3"><b>Floating Rate Cash Flows</b></td> <td width="20%" align="center" class="explanatory_text"> <p style="margin-top: 3; margin-bottom: 3"><b>Swap<br> Net Cash Flows </b></td> </tr> <tr> <td width="20%" class="explanatory_text" align="center" style="border-bottom: 1px solid #669933"> <p style="margin-bottom: 6">[1]</td> <td width="20%" class="explanatory_text" align="center" style="border-bottom: 1px solid #669933"> <p style="margin-bottom: 6">[2]</td> <td width="20%" class="explanatory_text" align="center" style="border-bottom: 1px solid #669933"> <p style="margin-bottom: 6">[3]</td> <td width="20%" class="explanatory_text" align="center" style="border-bottom: 1px solid #669933"> <p style="margin-bottom: 6">[4]</td> <td width="20%" class="explanatory_text" align="center" style="border-bottom: 1px solid #669933"> <p style="margin-bottom: 6">[3] – [4]</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">0.0</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">2.8 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">–100.0</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">–100.0</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">0.0</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">0.5</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">3.4 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">1.4</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">0.9</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">1.0</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">4.4 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">1.7</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">0.6</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">1.5</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">4.2 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.2</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">0.1</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">2.0</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">5.0 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.1</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">0.2</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">2.5</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">5.6 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.5</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">–0.2</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">3.0</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">5.2 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.8</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">–0.5</td> </tr> <tr> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">3.5</td> <td width="20%" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">4.4 %</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.3</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">2.6</td> <td width="20%" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">–0.3</td> </tr> <tr> <td width="20%" style="border-bottom: 2px solid #669933" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">4.0</td> <td width="20%" style="border-bottom: 2px solid #669933" class="explanatory_text" align="center"> <p style="margin-top: 2; margin-bottom: 2">3.8 %</td> <td width="20%" style="border-bottom: 2px solid #669933" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">102.3</td> <td width="20%" style="border-bottom: 2px solid #669933" class="explanatory_text" align="center"> <p align="right" style="margin-right: 18; margin-top:2; margin-bottom:2">102.2</td> <td width="20%" style="border-bottom: 2px solid #669933" class="explanatory_text" align="center"> <p align="right" style="margin-right: 20; margin-top:2; margin-bottom:2">0.1</td> </tr> </table> </td> </tr> <tr> <td> <p class="exhibit_legend">Cash flows under a hypothetical four-year vanilla swap. Fixed payments are based on a 4.6% semi-annual rate. Floating payments are based on 6-month Libor. The initial Libor rate is known to be 2.8% at the outset, so the swap's first payment is certain. Subsequent Libor rates are not known at the outset. The last column indicates cash flows to the receive-fixed party. Cash flows to the receive-floating party are the negatives of these. All cash flows are in millions of dollars. Note that the final Libor rate at 4.0 years is not used to calculate any of the swap's cash flows. Note also how all USD 100MM principal payments net to zero.</td> </tr> </table> </center> </div> <p class="body"> </p> <! c o p y r i g h t ( c ) C o n t i n g e n c y A n a l y s i s , 2005 > <div align="center"> <center> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="350" cellpadding="0" id="table8"> <tr> <td> <p class="exhibit_header"><span class="exhibit_header">Illustrative Swap Cash Flows</span><br> <span class="exhibit_subheader">Exhibit 2</span></td> </tr> <tr> <td bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td> <img border="0" src="../images/ex2_interest_rate_swap.gif" width="350" height="629"></td> </tr> <tr> <td> <p class="exhibit_legend">Graphical presentation of the results in Exhibit 1. Swap cash flows are indicated as those received by the receive-fixed party.</td> </tr> </table> </center> </div> <p class="body">In addition to being the financial equivalent of an exchange of loans, a vanilla fixed income swap is also mathematically equivalent to a strip of <a href="../articles/forward_rate_agreement.htm"> FRA's</a>.</p> <p class="body">Interest rate swaps are used for many purposes. If a <a href="../articles/corporation.htm">corporation</a> has borrowed money at a floating rate of interest but would prefer to lock in a fixed rate, it can swap its floating rate payments into fixed rate payments. This is illustrated in Exhibit 3.</p> <div align="center"> <center> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="350" cellpadding="0" id="table9"> <tr> <td> <p class="exhibit_header"><span class="exhibit_header">Swapping Floating Debt into Fixed</span><br> <span class="exhibit_subheader">Exhibit 3</span></td> </tr> <tr> <td bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td> <img border="0" src="../images/ex3_interest_rate_swap.gif" width="350" height="250"></td> </tr> <tr> <td> <p class="exhibit_legend">By entering into a swap with a third party, a corporation can convert floating rate payments into fixed rate payments.</td> </tr> </table> </center> </div> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="345" align="right" id="table10"> <tr> <td align="right" width="9" height="10"></td> <td width="336" height="10"> <font size="2"> </font></td> </tr> <tr> <td align="right" width="9"> </td> <td width="336"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script>  </td> </tr> </table> <p class="body">Interest rate swaps can also be used to speculate on interest rates. A trader who believes that interest rates will rise could incur the expenses of <a href="../articles/securities_lending.htm">borrowing</a> and then <a href="../articles/short_sale.htm">shorting</a> <a href="../articles/coupon_bond.htm">bonds</a>. A simpler and less expensive solution would be to put on a pay-fixed swap.</p> <p class="body">Vanilla interest rate swaps are quoted in terms of the fixed rate to be paid against the floating index. The fixed rate is usually quoted as an absolute rate, so a quote of 4.3% against 3-month Libor would indicate that the fixed rate would be 4.3% paid quarterly. The floating rate is always "flat"—that is, any spreads are added or subtracted from the fixed rate only. In USD markets, vanilla swaps are often quoted, not as an absolute rate, but as the fixed rate's spread over the corresponding <a href="../articles/treasury_securities.htm">Treasury</a> <a href="../articles/yield.htm">yield</a>. In the interdealer market, <a href="../articles/spreads.htm">bid-ask spreads</a> on vanilla interest rate swaps are typically one or two <a href="../articles/basis_point.htm">basis points</a>. </p> <p class="body">The fixed rates on vanilla swaps are called <b><a name="swap rates">swap rates</a></b>. The <b> <a name="swap curve">swap curve</a></b> is a <a href="../articles/fixed_income_term_structure.htm">yield curve</a> comprising swap rates for different maturities of swap. Due to high <a href="../articles/liquidity.htm">liquidity</a> in the USD swap market, the swap curve has emerged as an alternative to Treasuries as a benchmark for USD interest rates at maturities exceeding a year.</p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table11"> <tr> <td height="30" valign="bottom" colspan="2"> <p class="header2_black">Related Internal Links</td> </tr> <tr> <td colspan="2" bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td bgcolor="#FFFFCC" colspan="2"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="6" id="table12"> <tr> <td width="100%"> <p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/basis_swap.htm">basis swap</a> A floating-for-floating interest rate or currency swap.</p> <p align="left" class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/coupon_bond.htm">bond</a> Securitized debt.</p> <p align="left" class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><strong style="font-weight: 400"><a href="../articles/corporate_bond.htm">corporate bond</a> A bond issued by a corporation.</strong></p> <p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/currency_swap.htm">currency swap</a> A swap for the exchange of cash flow streams in two different currencies.<p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/derivative_instrument.htm"><strong style="font-weight: 400">derivative instrument</strong></a><strong style="font-weight: 400"> An instrument that derives value from the value of some commodity, energy, or other financial instrument.</strong><p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/fixed_income_term_structure.htm">fixed income term structure</a> Refers collectively to a spot curve, forward curve, discount curve, yield curve or any other curve that describes the time value of money.<p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/floater.htm">floater</a> A fixed income instrument whose coupon fluctuates with some designated reference rate.</p> <p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/forward_rate_agreement.htm">forward rate agreement</a> A cash-settled forward contract on a short-term loan.<p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/cap.htm"><strong style="font-weight: 400">interest rate cap</strong></a><strong style="font-weight: 400"> A derivative instrument which is linked to interest rates.</strong><p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><strong style="font-weight: 400"><a href="../articles/interest_rate_spreads.htm">interest rate spreads</a> Spreads between interest rates.</strong><p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/international_bonds.htm">international bond</a> Any bond issued or invested in across national boarders.<p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/swap.htm">swap</a> An OTC derivative under which two counterparties exchange two cash flow streams.<p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><strong style="font-weight: 400"><a href="../articles/swaption.htm">swaption</a> An option on a swap.</strong><p class="explanatory_text"> <img border="0" src="../images/bullet_link_glossary.gif" width="26" height="15"><a href="../articles/treasury_securities.htm">Treasury security</a> US Federal Government debt obligation issued by the Department of Treasury.</td> </tr> </table> </td> </tr> <tr> <td height="30" valign="bottom" colspan="2"> <p class="header2_black">Sponsored Links</td> </tr> <tr> <td colspan="2" bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td bgcolor="#FFFFCC" width="75"> <img border="0" src="../images/ad_side_banner_1.jpg" width="103" height="285"></td> <td bgcolor="#FFFFCC" width="99%"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script>  </td> </tr> <tr> <td height="30" valign="bottom" colspan="2"> <p class="header2_black">Related Books</td> </tr> <tr> <td colspan="2" bgcolor="#CC9966" height="2"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> </tr> <tr> <td bgcolor="#FFFFCC" colspan="2"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="6" id="table13"> <tr> <td width="100%"> <p class="explanatory_text">Kolb (<a target="_blank" href="http://www.riskbook.com/link/kolb_r_(2002).htm">2002</a>) is a practical introduction to swaps and other derivatives. Fabozzi,  Mann and Choudhry (<a target="_blank" href="http://www.riskbook.com/link/fabozzi_mann_choudhry_(2002).htm">2002</a>) and Walmsley (<a target="_blank" href="http://www.riskbook.com/link/walmsley_j_(2000).htm">2000</a>) discuss interest rate swaps in the context of the money markets. James and Webber (<a target="_blank" href="http://www.riskbook.com/link/james_and_webber_(2000).htm">1998</a>) provide a practical financial engineering perspective. 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border="0" cellpadding="4" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table22"> <tr> <td width="100" align="left" valign="top"> <map name="FPMap591"> <area target="_blank" href="http://www.riskbook.com/link/das_satyajit_(2003).htm" shape="rect" coords="0, 0, 84, 124"> </map> <img border="0" src="../images/book_das_satyajit_(2003)_125.gif" usemap="#FPMap591" width="85" height="125"></td> <td align="left" valign="top"> <table border="0" cellpadding="1" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table23"> <tr> <td width="90%" colspan="3"> <p class="title"> <a target="_blank" href="http://www.riskbook.com/link/das_satyajit_(2003).htm"> Swaps/Financial Derivatives</a></td> </tr> <tr> <td colspan="3"> <p class="author"><b>Satyajit Das</b></td> </tr> <tr> <td width="10%"> <p class="author"> <map name="FPMap592"> <area target="_blank" href="http://www.riskbook.com/main/ratings.htm" shape="rect" 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