by a floating interest rate. Although the instrument only first appeared in 1982,1 U.S. dollar interest rate swaps have grown into a market with 1987 volume estimated at $542 billion.2 With such growth has come concern about the risks in this market. Indeed, in their capital adequacy proposal, the Federal Reserve and the Bank of England suggest, "The credit risks inherent in such contracts now constitute a significant element of the risk profiles of some banking organizations, notably the large multinational banking organizations that act as intermediaries between end-users of these contracts."3 The Bank for International Settlements as-