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FX > Cross Currency Swap

Cross Currency Swap, non-rebalancing (float EUR/float USD)

Trade Type: Swap
Trade Components: Leg Data with Leg Type Floating
Schedule Data

A cross-currency swap has two legs in two different supported currencies. The legs can be Floating vs. Floating (XCCY Basis Swap), Fixed vs. Floating, or Fixed vs. Fixed.
A XCCY swap typically has notional exchanges at the beginning and the end of the swap, set to reflect the prevailing FX spot rate.
It can be rebalancing, and have “FX resets”, i.e. notional adjustments on one of the legs at each fixing date to compensate the FX rate move since last fixing.

A XCCY swap is set up using the standard swap trade type, but with different currencies in the two legs, and commonly uses the notional exchange and fx reset xml elements.

This example is a XCCY swap that pays 6M EUR Euribor and receives 3M USD Libor, with exchanges of notional at the start and end, but without FX rebalancing.

Cross Currency Swap, rebalancing (float EUR/float USD)

Trade Type: Swap
Trade Components: Leg Data with Leg Type Floating
Schedule Data

A cross-currency swap has two legs in two different supported currencies. The legs can be Floating vs. Floating (XCCY Basis Swap), Fixed vs. Floating, or Fixed vs. Fixed.
A XCCY swap typically has notional exchanges at the beginning and the end of the swap, set to reflect the prevailing FX spot rate.
It can be rebalancing, and have “FX resets”, i.e. notional adjustments on one of the legs at each fixing date to compensate the FX rate move since last fixing.

A XCCY swap is set up using the standard swap trade type, but with different currencies in the two legs, and commonly uses the notional exchange and FX reset xml elements.

This example is a XCCY swap that pays 6M EUR Euribor and receives 3M USD Libor, with exchanges of notional at the start and end, and with FX resets on the EUR leg.