abhishreshthaa
Abhijeet S
SWAPS
Single Currency Swaps
Multi Currency 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
Overnight Index Swaps (OIS)
A Typical OIS deal :
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
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