¿Qué es un cross currency swap?

Cross Currency Swap- CCS Es una operación de cubrimiento contra el riesgo cambiario y el riesgo de tasas de interés que le permite realizar intercambio de flujos de principal e intereses en una divisa, por el principal e intereses en otra moneda.

¿Cómo valorar un cross currency swap?

La valoración de un Cross Currency Swap equivale a la suma del valor presente de sus dos flujos (el de tasa fija y el de tasa variable).

¿Qué es el cross currency basis?

En la práctica, sin embargo, cuando existe una mayor demanda de dólares, la contraparte que presta dólares exigirá una prima de precio. Este margen es el llamado «cross-currency basis» o CCB. En general, el CCB es una medida de la escasez de dólares en el mercado; cuanto más negativo sea, mayor será dicha escasez.

¿Cómo funciona un contrato de swap?

El swap o permuta financiera es un derivado financiero que consiste en el intercambio de flujos monetarios entre dos partes, sujeto a la evolución de los tipos de interés, divisas, materias primas y otros activos financieros.

What is a cross currency basis swap?

A cross-currency basis swap agreement is a contract in which one party borrows one currency from another party and simultaneously lends the same value, at current spot rates, of a second currency to that party. The parties involved in basis swaps tend to be financial institutions, either acting on their own or as agents for non-financial

How are the notional amounts repaid in a cross-currency swap?

The notional amounts will be repaid in 10 years at the same exchange rate they locked the currency-swap in at. The difference in interest rates is due to the economic conditions in each country. In this example, at the time the cross-currency swap is instituted the interest rates in Japan are about 2.5\% lower than in the U.S..

What is an example of cross currency exchange?

In cross-currency, the exchange used at the beginning of the agreement is also typically used to exchange the currencies back at the end of the agreement. For example, if a swap sees company A give company B £10 million in exchange for $13.4 million, this implies a GBP/USD exchange rate of 1.34.

How does cross currency swap work in Japan?

In this example, at the time the cross-currency swap is instituted the interest rates in Japan are about 2.5\% lower than in the U.S.. On the trade date, the two companies will exchange or swap the notional loan amounts.