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International Rose and Currency Operations - Savluk M.І.

12.1.4. Swap currency dates forwards forward / forward

In practice, the forward / forward swaps do not have to be laid off by two forward and complicated operations, but two simple swap transactions, for which a two-spot spot operation is carried out.

For example: operation swap forward / forward 3/8 swap type buy / sell:

  • purchase of a three-month swap (sales with the date of the currency spot, purchase with the date of the currency forward);
  • sales of an eight-month swap (purchase date of the currency spot, sales date of the currency forward).

Cotiruvannya operation swap forward / forward zdіsnyuєya swap for another swap-point, and so on for such a rule:

  • the bid side quoting the swap forward / forward road exchange is the same as the bid side quoting the standard swap of the swap line and the side offering quoting the standard swap of the short line:

bid (forward / forward swap) = bid (long term) - offer (short term);

  • the offer side quoting the swap forward / forward road exchange is the opposite side the offer side quoting the standard swap of the completed line and the bid side quoting the standard swap of the short line:

offer (forward / forward swap) = offer (long term) - bid (short term).

Butt. XXX Bank robbed the right to quote a forward / forward swap from YYY Bank by buying EUR for two months and selling through Chotiri months ( XXX Bank selling swap 2/4). The spot EUR / USD rate is 0.8940, swap points for two months: –13 / –11, for three months: –46 / –43.

Stow up for this, including:

  • Quoted at YYY Bank: “SWAP 2/4 EUR / USD”;
  • YYY bank rozrahovova and nada kotiruvannya swap 2/4 EUR / USD: “–35 / –30”;
  • bank XXX pіdtverdzhuє, schob to swap type buy / sell EUR.
  • YYY bank rozrahovu exchange rate swap for forward ugoda: rate, for yakin vin sell in two months EUR - 0.8940, that rate, for yakim in chotyri miniski win buy EUR - 0.8905. (Pleased to be worried on the side bid bid swap).