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SWAPS and IRS

Discuss SWAPS and IRS within the Financial Management forums, part of the PUBLISH / UPLOAD PROJECT OR DOWNLOAD REFERENCE PROJECT category; SWAPS Single Currency Swaps INR Swaps USD Swaps Multi Currency Swaps USD/INR Swaps EUR/USD Swaps IRS IRS is an agreement ...

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Abhijeet S
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SWAPS and IRS - September 3rd, 2010

SWAPS

Single Currency Swaps
  • INR Swaps
  • USD Swaps

Multi Currency Swaps
  • USD/INR Swaps
  • EUR/USD Swaps


IRS

IRS is an agreement between two counterparties to exchange interest
payments on specified dates over a specified period

Typically there are 2 variations in Single Currency Swaps

  • Fixed to Floating (From Market Maker’s Perspective)
  • Floating to Fixed (From Market Maker’s Perspective)


Overnight Index Swaps (OIS)

A Typical OIS deal :
  • Bank A wants to pay fixed rates and receive floating overnight rates

  • Bank B wants to pay floating rate overnight rate and receive fixed rates

  • A notional principal is agreed upon

  • Start dates and maturity dates are fixed

  • The fixed rate (to be paid by Bank A to Bank B) is agreed upon

  • The two cash flows (fixed and floating) are netted and settled at maturity / settlement date


Currency Swap

Currency Swap is a contract between two parties to exchange a set of Interest and Principal cash flows in two different currencies on pre set dates.

Three types
  • Principal + Interest Swap

  • Principal Only Swap (POS)

  • Interest Only Swap
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