Chapter 11: Currency Swaps

In this section

• The Structure of a Currency Swap
  Discover how currency swaps are structured, including their typical cash flow patterns, principal exchanges, and key regulatory requirements in Canada’s OTC derivatives market.
• Currency Swaps as a Portfolio of Fixed- and/or Floating-Rate Bonds
  Learn how currency swaps resemble a combination of fixed-rate and floating-rate bonds, facilitating cross-border financing and hedging strategies under Canadian regulatory and accounting frameworks.
• Pricing of Currency Swaps
  Discover how to determine the fair value of currency swaps using interest rate differentials, discounting methods, and multi-currency cash flow modeling in this comprehensive guide to pricing currency swaps.
• Reasons for Currency Swaps
  Discover how currency swaps serve as powerful tools for cost savings, hedging, and strategic financing in global markets, helping companies manage currency exposures, optimize borrowing costs, and mitigate potential exchange rate risks.
• Managing FX & Settlement Risks
  Explore the key strategies and mechanisms to mitigate foreign exchange settlement risk, including Herstatt risk, PvP solutions, netting, and collateralization in currency swaps under Canadian and global regulatory frameworks.
• Emerging Markets Currencies (Liquidity, Volatility)
  Explore how liquidity constraints, capital controls, and volatility affect currency swaps in emerging markets, alongside strategies for managing risks.
• Reporting Cross-Currency Swaps to Trade Repositories
  Learn how cross-currency swaps are reported to trade repositories under Canadian and global regulations, including key data fields, timelines, and best practices for operational compliance.