Cross-currency interest rate swap: Difference between revisions
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(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. | (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 the USD borrowing into a synthetic GBP borrowing. | For example, a GBP-based firm with a USD borrowing might use a CCIRS to transform the 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). | ||
Cross currency interest rate swaps exchange interest flows denominated in different currencies. | Cross currency interest rate swaps exchange interest flows denominated in different currencies. | ||
Cross currency interest rate swaps usually exchange currency principal amounts at their maturity (unlike same-currency interest rate swaps). | Cross currency interest rate swaps usually exchange currency principal amounts at their maturity (unlike same-currency interest rate swaps). | ||
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* [[Synthetic]] | * [[Synthetic]] | ||
* [[USD]] | * [[USD]] | ||
Revision as of 12:43, 5 August 2013
(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 the 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).
Cross currency interest rate swaps exchange interest flows denominated in different currencies.
Cross currency interest rate swaps usually exchange currency principal amounts at their maturity (unlike same-currency interest rate swaps).
Also known as Currency interest rate swap or Foreign currency swap.
