Міжнародні розрахунки та валюні операції - Savluk M.І.

12.2.2. Currency swap rink capitals

Currency swap rink capitals are called cross currency interest rate swap. Wongs perebachayut obmin zobov'yannymi for assets in the different currencies.

The interest rate swap can be approximated by interest payments, so і obmіn sumoju the main borgo. Situation on the international market capitals can be folded in such a rank, but the bank is able to quote the lower interest rates for loans in one currency, that is, for loans to the foreign (for example, the American bank is quoted as being close to the interest rates in US dollars charged with rates for loans in British Pounds sterling). Todi for the bank is able to get a pose on the market, de vin moe perevagu, that zdіysniti treasury swap. Such a swap to fake:

  • Obmіn sumami main borgo on the back of the hive;
  • Obmin interest payments the extension of the land;
  • Free money exchange.

It is possible that, banks can not pay interest, without exchanging sums for the main borgo.

Applied: Banks А та Б мають такий access to resources:




Bank A



Bank B



Yak bachimo, bank A vigіdnіshe zaluchati american dolari, and bank B - british pound sterling. Yaksho z banku A neobhimdno mother at his own rozporyadzhennyi british pound, and bank B - dolarovi resource, then vony mozut zdischniti swap.

Yaksho currency exchange rate on the date of settlement of the land is 1,600, bank A is 16 million dollars, bank B is 10 million pounds. (See Figure 12.3), and by the sweep of the day, the service of interest payments is one (in the case of money transfers from banks to foreign banks, it is irretrievably taken by the bank of its own banks for Swap). Naprikіntsі dії іність banks здійснють звонний обмін sumy borgu і кожен із them розраховується зі its creditor.

Currency-interest swap

Fig. 12.3. Currency-interest swap (due to the Sumy Borgu)


Alya obmіn sumami main borgu містить у собі credit rizik, to that on the date of the loan, the currency exchange rate can be valued vіdізнятися від course, scho buv on the date укладення. Prote banks exchanged fisovaniami sumami, і naprikinіі dії swap stubs мають turn one one саме ці суми.

Mozhlive takozh zdіysnennya currency-interest swaps without obminu sumy main borgo. Tobto banks are obliged to exchange interest payments for zobovans in foreign currencies. So, swap zdіysnayutsya, if the bank does not potripno zaluchati resource in the ti chi іnshіy currencies, and deprive zаfіksvаti, you can get that in one currency, then if you can get interest in one asset in one currency, and interest in vitrati - in іншій . Napriklad, the British bank zdіysnyuє vybush borovovyh zobov'azan at US dolary, terminom obigu p'yat rokіv іz schorichnoyu dlitoyu vіdsotkіv. Tse perebachaє, scho prodazhem tsih p'yati rokіv bank moe russechuvati vidsocki for oblagaciyami in US dollars. With the bank, you can get hold of British pounds sterling. Otzhe, bank moe nadokhodzhennya in one currency, that zobov'yazannya for payments in іншій, що perebacha currency risk for the bank. Swap let the money to the bank rozrahovuvati reach that vitrati in one currency. When you can swap with obmin:

  • Interest payments for fisovanimi rates;
  • Interest payments for floating rates;
  • Payment for fisovanimi rates for payment for floating.

Yak rule, so to swap out to be part of the third party - the dealer. Zalizhno vid minds swap currency risk can be brothers on yourself a dealer abo one zi storin.

The mechanism of the currency swap on Swiss francs and US dolaris bases is shown in Fig. 12.4.

Currency-interest swap


Fig. 12.4. Currency-interest swap (without exchange of soums with the main borgo)

Currency swap rink kapitalov swapped the appearance of interest rate swaps, ay syogodnyi stinks mensh poshireni.

The main correlations of interest rate swaps are the Svitoviy Bank, the IMF, the Great Banks and the Transnational Corporations.

Self-control nutrition

1. Datsi klassifikatsyu kapitalnyh svopіv ta navesti їх butts.

2. Rozrauvati kursi swap type "sell / buy 2 mio DEM 1 month" for market maker, spot exchange rate USD / DEM 2.0046 / 51 that interest rate per one month USD = 6,15 / 6,18 DEM = 2.18 / 2.24.

A) 2.0051 and 2.0046;

B) 2.0051 and 1.9984;

C) 2.0046 and 1.9981;

D) 1.9984 and 1.9981.

3. Здійснити котирування операції оппі на суму 200 млн японських єн, якщо on lines 25 днів interest rates for USD and JPY дорівнють 6,05 / 6,11 і 0,12 / 0,15 відповідно, that rate spot USD / JPY = 106 , 25/30.

(A) 106.25 to 105.81;

B) - 44.01 / - 43.37;

C) 43/44;

D) 106.30 to 105.86.

4. The price quotation for the swap transaction is 45 days, the spot exchange rate USD / UAH is 5,4255 / 75 that interest rate on the lines for USD = 10/15 and UAH = 25/35.

(A) 5,4255 / 4941;

B) 5.4275 th 5.4940;

C) 1675/665;

D) 665/1675.

5. Rozrauvati kursi swap tom / next for sell / buy type, the spot exchange rate is USD / DEM = 1,8425 / 28 and that swap points for Denmark are 2.84 / 2.35.

A) 1.8428 to 1.842516;

B) 1.843084 and 1.8428;

C) 1.8428 to 1.8425.

6. What is the difference between the interest rate swap and interest rates?

7. What percentage of interest rates can lie in the basics of a swap with a base rate of nahrauvannya rates?

8. Causes of interest rate swaps.

9. The participants of the market risk such access to resources:


Rinok fixing rates

Rinok floating rates



6m LIBOR + 75 bp



6m LIBOR + 135 bp

The Bid rate is the same as the offer, which is quoted to the dealer's companies when the interest rate swap is equal (the margin to the dealer is 20 bp).

10. Is there a certain percentage of swaps that are collected by the banks of the koshtis in one and the other currencies, and the same in the rubles?

11. In such a rizikom mozut bouti pozhyazany kvalinnyi swap rinku kapitalov.

12. What is the cause of spontaneously engaging participants in the market of interest rate swaps?