Create a Cross-Currency Swap

A cross-currency swap in Fairways Debt is an agreement between two parties providing for the exchange of principal and interest payments in loans denominated in two different currencies: one counterparty makes payments in one currency, the other makes payments in a different currency. In a cross-currency swap, the principal and interest payments of a loan can be exchanged for an equally valued loan and interest payments in a different currency.

A cross-currency swap can be used to hedge a debt in a foreign currency.

 

Navigate to the Debt & Derivatives Application
  1. Log in to your Fairways Debt account, e.g. https://login.financeactive.com/eu.
  2. Select a customer account.
  3. Navigate to Applications Applications.png > Debt & Derivatives.

 

Create a Cross-Currency Swap
  1. Click Add Transaction > Derivative > Cross-Currency Swap.

Portfolio_AddTransaction_Derivative_EN.png

  1. Complete the form with all relevant details.

Note: Fields marked with an asterisk * are mandatory.

Field

Description

Reference Code

Unique reference of the transaction. Identifies the transaction in the portfolio. The reference must be unique among all the entities managed in the account.

External Reference Code

Used by external systems to identify the transaction. Used when transactions are imported from or exported to another system.

Party

Entity in the system involved in the transaction.

Counterparty

Can be either internal (an entity in the system) or external (a commercial bank).

Premium

Premium paid at the start date of the cross-currency swap.

Premium (Currency)

Note: Must be in the same currency as one of the swap legs.

Capitalized Interest (Paying Leg)

Defines whether the interest amount should be paid at the payment date, or added to the principal (and included into the outstanding balance for the following periods).

Capitalized Interest (Receiving Leg)

CrossCurrencySwap_Transaction_EN.png

Field

Description

Trade Date

Date at which the transaction has been traded. From that date, the system takes the transaction into account as an item of the portfolio.

Start Date

Unadjusted start date of the transaction, initial date of the first payment period.

Maturity Date

Unadjusted maturity date of the transaction.

CrossCurrencySwap_TimeFrame_EN.png

Field

Description

Amortization Type

Notional depreciation over the life of the transaction.

DebtDerivatives_Transaction_Loan_Standard_Amortization_EN.png

Field

Description

Notional Amount

Notional amount used to calculate the payments of the leg.

Currency

Currency of the paying leg.

Index

Name of the index used to calculate the rate value.

Note: The field beside displays depending on the index selected.

Interest Rate

Fixed rate value in percentage.

Note: This field displays depending on the index selected.

Initial Interest Rate

Initial rate of the custom index.

Note: This field displays depending on the index selected.

Spread

Spread (or margin) value in percentage.

Note: This field displays depending on the index selected.

Day Count Convention

Used to compute the day fraction of an interest accrual period.

Frequency

Frequency of the payments.

Interest Calculation Adjustment

Adjustment mode for the interest calculation. The nominal start and end dates of the accrual period will be adjusted accordingly before computing the interest amount.

CrossCurrencySwap_Leg_Paying_EN.png

Field

Description

Notional Amount

Note: This field displays depending on the input mode selected.

Notional amount used to calculate the payments of the leg.

Forex Rate

Note: This field displays depending on the input mode selected.

Forex rate of the receiving leg.

Currency

Currency of the receiving leg.

Input Mode

  • As Amount displays the Notional Amount field.
  • As Forex Rate displays the Forex Rate field.

Index

Name of the index used to calculate the rate value.

Note: The field beside displays depending on the index selected.

Interest Rate

Fixed rate value in percentage.

Note: This field displays depending on the index selected.

Initial Interest Rate

Initial rate of the custom index.

Note: This field displays depending on the index selected.

Spread

Spread (or margin) value in percentage.

Note: This field displays depending on the index selected.

Day Count Convention

Used to compute the day fraction of an interest accrual period.

Frequency

Frequency of the payments.

Interest Calculation Adjustment

Adjustment mode for the interest calculation. The nominal start and end dates of the accrual period will be adjusted accordingly before computing the interest amount.

CrossCurrencySwap_Leg_Receiving_EN.png

Field

Description

Payment Date Adjustment

Adjustment mode for the payment date, applicable to both legs.

DebtDerivatives_Transaction_Derivative_InterestRateSwap_Payment_EN.png

  1. Click Apply to create the cross-currency swap.

CrossCurrencySwap_Create_EN.png

The new cross-currency swap displays in the draft portfolio.

CrossCurrencySwap_Created_EN.png

 

Amortization

Mode

Description

Bullet

No depreciation during the lifetime of the transaction. Cumulative depreciations are counted at the end of the transaction term.

Linear

Constant depreciation.

 

Adjustment

Adjustment modes define how the system rolls dates in case of holidays in the calendar.

Field Description
Unadjusted Not rolled.
Preceding Rolled to the previous business day.
Following Rolled to the next business day.
Modified Preceding Rolled to the previous business day, only if that day occurs in the same month. Otherwise, rolled to the next business day.
Modified Following Rolled to the next business day, only if that day occurs in the same month. Otherwise, rolled to the previous business day.
End of Month (unadjusted) Rolled to the last day of the month.
End of Month (preceding) Rolled to the last day of the month, then adjusted to the previous business day.
Modified Following (year)

Rolled to the next business day, only if that day occurs in the same year. Otherwise, rolled to the previous business day.

 

 

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