This page has been robot translated, sorry for typos if any. Original content here.

International markets and foreign exchange operations - Savluk M.І.

12.2.2. Currency swap market cap_tal_v

Currency swap markets are called cross-currency interest rate swap. It’s stinky to transfer the swap of goitre in assets in different currencies.

A percentage currency swap can be transferred as a percentage of interest payments, so a percentage of the amount to the main borg. The situation on the international capital market can be reduced by such a rank, which the bank may be quoted lower interest rates for loans in one currency, and higher for loans in foreign countries (for example, the US bank is quoted at a higher rate at a higher rate for the United States at a higher rate) pounds sterling). Todi for the bank, you can get a position on the market, de win the transfer, and that currency swap. Such a swap will be transferred:

  • swapping the sums of the main borg on the cob of dyni;
  • exchange of interest payments by a drawdown;
  • Zvorotny swap sumy borgu prikrintsі dії ugody.

It is also possible that the banks will not need to pay more interest payments, without exchanging the sums of the main borg.

Butt: Banks A and B may have such access to resources:




Bank A



Bank B



Yak bachimo, bank A can easily get American dollars, and bank B - British pounds sterling. As a matter of fact, there is a need for bank A to have her mother's orderly British pounds, and bank B to have dolar resources, then it’s okay to have a good swap.

As a rule, the exchange rate on the date of the concession is more than 1.6000, then bank A posicє 16 million dollars, bank B - 10 million f. Art., banks exchange money for the Borg (Fig. 12.3), and then extend the fee for servicing interest payments one of one (if you have more than one bank; swap). For example, please take care of the banks and give them a good exchange of money to the Borgu and the Leather of them to pay for your creditor.

Currency Interest Rate Swap

Fig. 12.3. Currency interest rate swap (with the sum of borg sums)

Mal. 12.3

Aly obmіn the sums of the main borg to take credit from your own account, so at the closing date, please exchange the exchange rate, you can significantly see the exchange rate, at the date of settling. Prote banks exchanged fixed sums, and for the first time swap the money, let them turn one to the same sum.

It is also possible to exchange currency interest-rate swaps without exchanging sums to the main borg. Tobos banks exchange less interest payments for goiters in different currencies. So swap it, if the bank doesn’t need to recapture resources in your current currency, and if you don’t have to earn more, you must earn money in the same currency, but if the bank earn the most money in the same currency, and the interest in the money . For example, the British Bank of Health, the issue of trade goiters and yazan near the US dollars, terminology obygu p'yat rock_v іz with a generous payment vіdsotkіv. There is a transfer, which, by a stretch of the form of five banks, will pay money for regions in US dollars. If you have a bank, you’ll receive more assets from British pounds sterling. From now on, the bank is required in one currency and the right to pay for payments, transferring currency exchange for the bank. Swap I can help the bank to earn income and vitrate in one currency. When you can swap zmіnom:

  • interest payments for fixed rates;
  • interest payments at floating rates;
  • Payments for fixed rates for payments for floating.

As a rule, such swaps are settled in the fate of the third party - the dealer. Depends on the currency swap currency Rizik can take on a dealer, otherwise one is the same.

The mechanism of a currency swap based on Swiss francs and US dollars is shown in fig. 12.4.

Currency Interest Rate Swap

Mal. 12.4

Fig. 12.4. Currency interest rate swap (without exchanging sums to the main borg)

Currency swaps of the capital market were outstripped by the appearance of interest rate swaps, but the same year the stink is much wider.

The main corridors of interest rate swaps є Svitovy Bank, IMF, large banks and transnational corporations.

Self-control power

1. Date of classification of currency swaps and putting them into stock.

2. Rosrahuvati exchange rates for a “sell / buy 2 mio DEM 1 month” swap for a market maker, most likely a spot rate of USD / DEM 2,0046 / 51 and one interest rate per month USD = 6.15 / 6.18 and 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. Healthy quotation of a transaction swap for a sum of 200 million Japanese ,н, as of 25 day lines interest rates for USD and JPY more than 6.05 / 6.11 and 0.12 / 0.15 times, that spot rate USD / JPY = 106 25/30.

a) 106.25 and 105.81;

b) - 44.01 / - 43.37;

c) 43/44;

d) 106.30 and 105.86.

4. Healthy quotation of an operation swap on lines of 45 days, the spot rate of USD / UAH price is 5.4255 / 75 and the interest rate per line for USD = 10/15 and UAH = 25/35.

a) 5.4255 / 4941;

b) 5.4275 and 5.4940;

c) 1675/665;

d) 665/1675.

5. Rosrahuvati exchange rates for a tom / next swap of the sell / buy type, as a rule the spot rate is USD / DEM = 1.8425 / 28 and the swap point for Denmark per week is 2.84 / 2.35.

a) 1.8428 and 1.842516;

b) 1.843084 and 1.8428;

c) 1.8428 and 1.8425.

6. What is the interest rate swap of a wig when interest rates are raised?

7. What interest rates can lie in the basis of a swap with a constant base of rates?

8. Reasons for interest rate swaps.

9. Participants of the market may have such access to resources:


Rinok fіksovanyh rates

Floating Bets Market



6m LIBOR + 75 bp



6m LIBOR + 135 bp

Visits of the bid and offer rates, which are the preferred companies for the dealer with a healthy percentage swap (margin for the dealer - 20 bp).

10. What is the і percent interest rate swap є transfer received by the banks in the same currency in the same currency, and the same one is used by the other banks?

11. With such a small size, you can get into the currency exchange swap market.

12. What are the reasons for sponcing the participants in the market for interest rate and currency swaps?