Cross-currency interest rate swap: Difference between revisions
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A longer term derivative contract which is used to transform longer term interest rate-related obligations or assets in one currency, into another currency. | A longer term derivative contract which is used to transform longer term interest rate-related obligations or assets in one currency, into another currency. | ||
For example, a GBP-based firm with a USD borrowing might use a CCIRS to transform | For example, a GBP-based firm with a USD borrowing might use a CCIRS to transform its USD borrowing into a synthetic GBP borrowing. | ||
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Same currency interest rate swaps exchange interest flows in the same currency (but calculated on different bases). | Same currency interest rate swaps exchange interest flows in the same currency (but calculated on different bases). | ||
A CCIRS exchanges interest flows denominated in different currencies. | |||
CCIRSs usually exchange currency principal amounts at their maturity (unlike same-currency interest rate swaps). | |||
Cross currency interest rate swaps are also known as Cross currency swaps, Currency interest rate swaps or Foreign currency swaps. | |||
They should not be confused with short-dated FX swaps, which are different. | |||
== See also == | == See also == | ||
* [[Cross currency swap]] | * [[Cross currency swap]] | ||
* [[Currency risk]] | * [[Currency risk]] | ||
* [[Currency swap]] | * [[Currency swap]] | ||
* [[ | * [[Foreign exchange swap]] | ||
* [[GBP]] | * [[GBP]] | ||
* [[Interest rate swap]] | * [[Interest rate swap]] | ||
Latest revision as of 13:35, 6 December 2016
(CCIRS).
A longer term derivative contract which is used to transform longer term interest rate-related obligations or assets in one currency, into another currency.
For example, a GBP-based firm with a USD borrowing might use a CCIRS to transform its USD borrowing into a synthetic GBP borrowing.
The concept of a CCIRS was developed from the (same-currency) interest rate swap market, which most commonly swaps fixed and floating interest rate streams in the same currency.
Same currency interest rate swaps exchange interest flows in the same currency (but calculated on different bases).
A CCIRS exchanges interest flows denominated in different currencies.
CCIRSs usually exchange currency principal amounts at their maturity (unlike same-currency interest rate swaps).
Cross currency interest rate swaps are also known as Cross currency swaps, Currency interest rate swaps or Foreign currency swaps.
They should not be confused with short-dated FX swaps, which are different.
