Читать книгу The Trade Lifecycle - Baker Robert P. - Страница 28

Not to be confused with currency swaps, a foreign exchange swap is the exchange of one currency for another now (after a short time for settlement) and the reverse exchange at some point in the future. The dates and amounts in each exchange are agreed and fixed at time of transaction. Figure 3.8 shows an example of this.

Figure 3.8 Cashflows on FX swap trade

In this example, we agree to pay USD 1 million and receive JPY 101 million in two days from now and then to receive USD 1 million and pay JPY 103 million in three months from now.

The USD amounts are the same, but the JPY amounts are different to take into account the difference between USD and JPY interest rates over the next three months. It is very common in foreign exchange swaps that one currency has the same amount exchanged at both times.

The FX swap is in essence a spot foreign exchange trade simultaneously transacted with a future foreign exchange trade.