interest-rate swap

  1. Interest Rate Swaps
  2. Swap Credit Risks
  3. Basis Swaps and Currency Swaps
  4. Swaptions
  5. Interest rate swaps — definitions, examples and applications
  6. Characteristics of interest rate swaps
  7. Nominal or principal amount
  8. Fixed rate
  9. Floating rate
  10. Duration
  11. Schedule
  12. Currency
  13. Master agreement
  14. Cost of a swap transaction
  15. Cancellation of a swap
  16. Typology of interest swaps
  17. Basis swap
  18. Currency swap
  19. Forward swap
  20. Amortizing swap
  21. Accreting principal swap
  22. Zero-coupon swap
  23. Asset swap
  24. Quanto swap
  25. Constant Maturity Swap (CMS)
  26. Interest Rate Swap — Learn How Interest Rate Swaps Work
  27. Fixed Interest Rate vs. Floating Interest Rate
  28. How Does an Interest Rate Swap Work?
  29. Example – An Interest Rate Swap Contract in Action
  30. Risks of Interest Rate Swaps
  31. Related Readings
  32. Процентный своп — что это, пример, формулы расчета
  33. Что это такое простыми словами
  34. Пример
  35. Виды процентных свопов
  36. Как используется
  37. Хеджирование
  38. Спекуляции
  39. Ценообразование процентного свопа
  40. Преимущества и недостатки
  41. Риски
  42. Заключение
  43. Interest Rate Swap
  44. Interest Rate Swaps Example
  45. Scenario 1: LIBOR standing at 0.25%
  46. Scenario 1: LIBOR standing at 1.00%
  47. The trading perspective of interest rate Swap
  48. Uses of interest rate swap
  49. What is the swap rate?
  50. What is a swap curve?
  51. Who are the market makers in Swaps?
  52. What are the risks involved in Swaps?
  53. What is in it for an investor in the swap?
  54. Related Articles –

Interest Rate Swaps

interest-rate swap

Interest rates are unpredictable, especially over the long run. Issuers of bonds could issue short-term bonds to minimize the interest rate risk, but issuing bonds costs money, and the prices, and therefore their yields, will often depend on the bond market when they are sold.

Hence, issuers of bonds generally want to issue long-term bonds; so does the United States government. Banks also are subject to interest rate risk when they make long-term fixed rate loans, such as mortgages or business loans.

Interest rate swaps allow institutions to synthetically match the duration of their assets with their liabilities as a means of managing interest rate risk.

An interest rate swap can help protect the issuer of bonds, Treasuries, or loans against interest rate risk by transferring the risk to another party in exchange for a variable payment. A swap contract is an agreement to exchange future cash flows.

Swaps can remove market risk but not credit risk.

The most common type of swap agreement is the fixed-floating interest rate swap, otherwise known as a plain-vanilla swap, and is the most common type of interest rate derivative (aka fixed-income derivatives).

An interest rate swap, in its simplest form, is a private agreement between 2 counterparties to exchange a fixed interest obligation for a floating rate obligation over a specified duration.

The payment is calculated by multiplying the interest rate times a notional principal (aka notational principal), which is not exchanged, but is simply a number used to calculate both interest payments.

The counterparty paying the fixed amount is the fixed-rate payer and the counterparty paying the floating rate is the floating rate payer. The fixed payment of a swap is called the fixed leg while the floating payment is the floating leg.

However, only the net difference between these obligations is paid, and who pays whom depends on whom the change in interest rates favors.

For instance, if the float rate rises above the fixed rate, then the floating rate payer pays the fixed-rate payer the difference between the floating rate and the fixed rate, but if the floating rate falls below the fixed rate, then the fixed-rate payer pays the floating rate payer the difference in interest rates. It is possible for 1 counterparty to receive all the payments without paying anything, or it could go back and forth, depending on how interest rates fluctuate.

The frequency of the payment is the tenor or coupon frequency. Common tenors are 1 month, 3 months, 6 months, and annually. Sometimes, the 2 legs of a swap have different tenors.

The fixed rate is usually determined by a benchmark such as a Treasury with a maturity equal to the time period of the swap plus an additional risk premium, which equals the swap rate.

The size of the swap rate is called the swap spread, which is sometimes used as an indicator of the systemic risk in the economy.

The floating rate is usually determined by the London Interbank Offered Rate (LIBOR), which is the rate that large banks lend to each other, plus an additional risk premium.

Although there are other types of swaps, such as currency swaps and equity swaps, interest rate swaps are far more prevalent.

According to the Bank for International Settlements, the notional principal for interest rate swaps was almost 347 trillion dollars (USD) in June, 2007, while the total for equity-linked and commodity derivatives was 9.2 trillion dollars for the same time period.

Because swaps are private agreements, there is no organized exchange that lists them, and because they are tailored specifically for the counterparties, they are difficult to resell.

Swap Credit Risks

With any derivative, there is always the chance that the counterparty will default on its obligation. To minimize this risk, the contract generally specifies that collateral must be posted.

When a swap agreement is reached, the net present value of both sides is zero, because no money changes hands at first. This must be so, because no one would agree to an arrangement where one party immediately benefits from the other without compensation.

How does that transfer risk? So, if one party withdraws from the agreement before any liability is incurred, there is no loss, for another counterparty can usually be found. Only when interest rates change will there be a payment obligation.

However, it is only the difference between the liabilities that is actually paid, which is considerably less than what would be suggested by the notional principal.

For example, consider an interest rate swap for a 5-year period with a fixed payment of 5% on the notional principal of $1,000,000 and the LIBOR rate, which was also at 5% when the contract was created.

If the LIBOR rate rises to 6% during the swap period and stays there, then the floating rate payer must pay only the 1% difference or $10,000 for each of the 5 years. However, the present value of those payments is less than their sum.

Hence, the credit risk is significantly less than if the principal were at stake.

Basis Swaps and Currency Swaps

Other interest rate derivatives include the basis swap, which has 2 floating legs but no fixed leg.

Thus, it is exchanging payments a floating interest rate on one index to that of another, such as the prime interest rate and the LIBOR.

Basis, as used here, is the difference between 2 rates, such as the difference between spot prices and futures prices of a given commodity, so risk can arise when basis changes.

Another type of interest rate derivative is the cross-currency interest rate swap, or just currency swap, in which both legs of the swap are denominated in different currencies. Most of the swaps are set up to exchange a fixed interest rate in one currency with a floating rate in the other currency.

To remove exchange rate risk, the notional amount of the swaps is generally exchanged. So if the exchange rate at the signing of the swap agreement is $1.25 to €1, and a company wants to exchange a fixed rate €1,000,000 for a floating rate in USD, then the euro party will give €1,000,000 to the other party and receive $1.

25 million in United States dollars. This removes the exchange rate risk and the swap agreement itself removes interest-rate risk, which was its purpose.

If a company wanted to remove foreign exchange risk without exchanging currencies, then that risk can be hedged with a forward agreement — specifically, an FX forward — or with interest rate futures or options to mitigate its risk.


A swaption is an option for a swap at a specified rate before a specified time, the expiration date.

The buyer of the swaption has the right, but not the obligation, to enter a swap and the swaption seller is obliged to be the counterparty. Swaptions can be American or European style.

American style swaptions give the holder the right to enter a swap at any time before the expiration date, while the European style gives the holder the right only at expiry.

A payer swaption (aka put swaption) gives the buyer the right, but not the obligation, to pay a fixed rate and receive a floating rate.

The buyer pays the premium to the seller for this right, which, all options, may expire worthless.

A receiver swaption (aka call swaption) gives the option holder the right to receive a fixed interest rate and pay a floating rate a specified benchmark.

Some swaps can be canceled or extended. A cancelable swap gives 1 party the right to cancel the swap on a specified day before the final maturity date without an additional cost.

A cancelable swap can be created by combining a vanilla interest-rate swap with a swaption.

An alternative to the cancelable swap is the extendable swap, where the buyer has the right to extend the option for a set period.


Interest rate swaps — definitions, examples and applications

interest-rate swap

An interest rate swap in its most basic form, often called a plain vanilla swap, is a financial contract in which two parties agree to simultaneously lend from, and borrow to, each other a certain amount of money in the same currency for the same duration but using different interest rates, generally a fixed rate and a floating rate. The nominal amount for each of these two parts to the swap, called legs, are not exchanged in that basic form as this would result in both parties paying and receiving an identical amount of money at the start and the end of the swap. The only cash flows which actually take place during the normal life of a vanilla swap are interest payments which are due periodically. If the interest payments on both legs occur at the same dates, they are often netted. That means that both due payments are compared and only the difference is paid by the party which owes the higher amount.

At swap initiation, the fixed rate is typically chosen in such a way as to make the present value of cash flows equal between the two counterparties. This fixed rate is referred to as the swap rate.

Characteristics of interest rate swaps

Interest rate swaps being financial over-the-counter instruments, the characteristics for each contract are subject to negotiation between the two counterparties.

Nominal or principal amount

This is the amount on which the interest is calculated. This amount generally remains the same over the entire lifetime of the swap, with the exceptions of amortizing or accreting swaps, which are described below.

The majority of types of interest rate swaps are single currency, which means that there is only one nominal amount and thus there is no exchange of nominal between the two counterparties as the payments would cancel each other out.

In the case of currency swaps, however, where there are two nominals, one for each leg, in different currencies, exchange of nominals usually takes place at the beginning and the end of the swap.

Fixed rate

The fixed rate is negotiated at the conclusion of the swap trade, and depends on market conditions at the time of the transaction and potentially the characteristics of an underlying to be hedged. The counterparties agree on the rate itself, as well as the day-count convention to be applied.

Floating rate

A floating rate is an interest rate which is calculated using a reference interest rate, for example a LIBOR or EURIBOR.


The lifetime of the swap. It can go from as short as one week to as long as 30 years or more.


The scheduling of all of the events that occur during the life of the swap are determined at the moment the swap transaction is concluded: start date, maturity date, periodicity of payments for each leg, fixing dates for the variable interest rate.

Sometimes, a swap can have a long or short first and/or last payment period, called a stub. This can happen when one of the counterparties needs to align the payment dates with those of another transaction. A frequent example is that of an asset swap, where one of the swap legs needs to match the payments generated by the asset.


The currency in which the swap is denominated and in which payments are made. As mentionned before, most interest rate swap types are single currency, but there are also types of interest rate swaps which are using more than one currency, currency swaps or quanto swaps.

Master agreement

Master agreements are contracts that are signed between two counterparties who frequently do over-the-counter derivatives trades with each other and sets out standard terms that apply to each transaction entered into between those two entities.

The most commonly used master agreement is the ISDA master agreement, published by the International Swaps and Derivatives Association (ISDA).

The advantage of signing a master agreement is that the terms agreed upon in that document do not need to be renegotiated for each individual transaction and apply automatically.

Cost of a swap transaction

Entering into a swap itself does not generate any particular cost, with the exception of fees due to brokers or electronic trading platforms, or the administrative cost of handling the confirmations, payments etc.

Cancellation of a swap

In case one of the counterparties would to get the swap transaction before its maturity, both parties can reach a mutual consent to terminate the swap early.

The party seeking termination has to pay the other party a lump-sum amount equal to the net present value of the swap at the time of termination.

The amount to be paid depends on how interest rates and spreads have evolved since the conclusion of the swap.

Typology of interest swaps

The basic plain vanilla swap described in the introduction is still the most common form of swaps, but with time many more forms of interest rate swaps have developed. Those most frequently encountered are briefly described below.

Basis swap

A basis swap is a variation of the standard interest rate swap with the particularity that the two interest rate flows which are exchanged are both variable rates, indexed on two different interest rate indexes. An example would be a 3-month LIBOR against a 6-month LIBOR.

Indexes in a basis swap may have different payment frequencies, as in a 3-month LIBOR for 6-month LIBOR swap. One solution is to have respective sides of the swap make payments according to their own schedules.

The 3-month LIBOR side would make quarterly payments and the 6-month LIBOR side would make half-yearly payments. Another alternative is to accumulate the more frequent payments with compound interest.

In this case, 3-month LIBOR payments would be accumulated and paid half-yearly to match the half-yearly payments of the 6-month LIBOR side.

Basis swaps are quoted with a spread over one of the two indexes with the other index being paid «flat».

A basis swap is used for example when a bank pays interest indexed on one rate but refinances itself on a different rate and wants to protect itself against the risk of the spread between the two indexes moving in an unfavorable direction.

Currency swap

Also called cross currency swap, this type of swap is an interest rate swap where both legs are denominated in different currencies. In most cases, currency swaps are traded with an exchange of nominal at both the start and the end of the swaps lifetime.

Also, cash flows occurring during the lifetime of the swap cannot be netted, as they are denominated in different currencies.

Currency swaps can be used for example to convert a loan in one currency into a loan in a different currency where better conditions can be obtained.

Forward swap

A forward swap agreement, also referred to as a “forward start swap”, “delayed start swap”, and a “deferred start swap”. It can be created through the combination of two swaps with different durations and opposite interest rate references.

Forward swaps can provide the solution for a bank or corporation that needs protection against interest rate risk for a three-year duration beginning one year from now. By entering into both a one-year and four-year swap, it would create the forward swap that meets its needs.

Amortizing swap

An amortizing swap is a swap in which the principal amount decreases with time. Typically, amortizing swaps are entered into when hedging an underlying financial instrument or transaction which itself has a declining principal, such as a mortgage.

The decrease in the principal amount can be either regular or irregular.

A bank or investor will, for example, enter into an amortizing swap with irregular amortization when the swap is concluded as a hedge for a portfolio of mortgage loans where the mortgage borrowers have the possibility of early redemption. The principal of the swap is then adjusted as soon as the actual remaining amount to be hedged is known.

Accreting principal swap

An accreting principal swap is a swap in which the principal amount increases over the life of the swap. It is thus the opposite of an amortizing swap.

Other names of an accreting principal swap are accreting swap, accumulation swap, drawdown swap, and step-up swap.

Zero-coupon swap

In its most common form, a zero-coupon swap is a swap in which floating interest-rate payments are made periodically, but fixed-rate payments are made as one lump-sum payment when the swap reaches maturity. The amount of the fixed-rate payment is the swap's zero coupon rate. It is also possible for the floating-rate payments to be paid as a lump sum.

Alternative forms of zero coupon swaps also exist. Thus, a reverse zero-coupon swap will pay the lump-sum payment at the start of the swap rather than at the end, which reduces credit risk for the party paying the floating rate.

An exchangeable zero-coupon swap contains an embedded option to turn the lump-sum payment into a series of payments.

Asset swap

An asset swap is an interest rate swap which is used to transform cash flows generated by an asset. Therefore, the real particularity of an asset swap is that the interest rate payments of one of its legs match exactly the cash flows the asset generates, but in the opposite direction.

Apart from that, any type of transformation described in the previous types of swaps may be made, i.e. fixed to floating, floating to fixed, floating to floating, one currency to another, etc. The most frequent case, however, is the transformation from fixed rate to floating rate or vice versa.

Quanto swap

Sometimes also called differential swap, a quanto swap is a swap in which interest on both legs is paid in the same currency, called the reference currency, but calculated on interest rate indexes in two different currencies. Examples would be for example a swap where one counterparty would pay 3-month USD LIBOR and receive 3-month EURIBOR with both legs settled in US Dollars. This variant is called a floating-for-floating quanto swap.

A different form of quanto swap is the fixed-for-floating quanto swaps. An example of this would be a swap where one counterparty would pay a fixed rate and receive 3-month EURIBOR with both legs settled in US Dollars.

Constant Maturity Swap (CMS)

A constant maturity swap is an interest rate swap where the interest rate on one leg is reset periodically, but with reference to a long-term market swap rate that goes beyond the swap's reset period, for example the 5-year swap rate. The second leg of the swap can be either a fixed rate or another floating rate, either a money market index, or another market swap rate.

A CMS can be used to speculate on, or hedge against, a change in the shape of the yield curve. When a bank or company believes for example that the three-month LIBOR rate will fall relative to the five-year swap rate for a given currency, it enters into a constant maturity swap paying the three-month LIBOR rate and receiving the five-year swap rate.


Interest Rate Swap — Learn How Interest Rate Swaps Work

interest-rate swap

An interest rate swap is a type of a derivative contract through which two counterparties agree to exchange one stream of future interest payments for another, a specified principal amount.

In most cases, interest rate swaps include the exchange of a fixed interest rate for a floating rateFloating Interest RateA floating interest rate refers to a variable interest rate that changes over the duration of the debt obligation.

It is the opposite of a fixed rate..

Similar to other types of swaps, interest rate swaps are not traded on public exchangesStock MarketThe stock market refers to public markets that exist for issuing, buying and selling stocks that trade on a stock exchange or over-the-counter.

Stocks, also known as equities, represent fractional ownership in a company – only over-the-counterTrading MechanismsTrading mechanisms refer to the different methods by which assets are traded.

The two main types of trading mechanisms are quote driven and order driven trading mechanisms (OTC).

Fixed Interest Rate vs. Floating Interest Rate

Interest rate swaps usually involve the exchange of one stream of future payments a fixed interest rate for a different set of future payments that are a floating interest rate. Thus, understanding the concepts of fixed-rate loans vs. floating rate loans is crucial to understanding interest rate swaps.

A fixed interest rate is an interest rate on a debt or other security that remains unchanged during the entire term of the contract, or until the maturity of the security. In contrast, floating interest rates fluctuate over time, with the changes in interest rate usually an underlying benchmark index.

Floating interest rate bonds are frequently used in interest rate swaps, with the bond’s interest rate the London Interbank Offered Rate (LIBOR). Briefly, the LIBOR rate is an average interest rate that the leading banks participating in the London interbank market charge each other for short-term loans.

The LIBOR rate is a commonly used benchmark for determining other interest rates that lenders charge for various types of financing.

How Does an Interest Rate Swap Work?

Basically, interest rate swaps occur when two parties – one of which is receiving fixed-rate interest payments and the other of which is receiving floating-rate payments – mutually agree that they would prefer the other party’s loan arrangement over their own.

The party being paid a floating rate decides that they would prefer to have a guaranteed fixed rate, while the party that is receiving fixed-rate payments believes that interest rates may rise, and to take advantage of that situation if it occurs – to earn higher interest payments – they would prefer to have a floating rate, one that will rise if and when there is a general uptrend in interest rates.

In an interest rate swap, the only things that actually get swapped are the interest payments. An interest rate swap, as previously noted, is a derivative contract. The parties do not take ownership of the other party’s debt.

Instead, they merely make a contract to pay each other the difference in loan payments as specified in the contract.

They do not exchange debt assets, nor pay the full amount of interest due on each interest payment date – only the difference due as a result of the swap contract.

A good interest rate swap contract clearly states the terms of the agreement, including the respective interest rates each party is to be paid by the other party, and the payment schedule (e.g.

, monthly, quarterly, or annually).

In addition, the contract states both the start date and maturity date of the swap agreement, and that both parties are bound by the terms of the agreement until the maturity date.

Note that while both parties to an interest rate swap get what they want – one party gets the risk protection of a fixed rate, while the other gets the exposure to potential profit from a floating rate – ultimately, one party will reap a financial reward while the other sustains a financial loss.

If interest rates rise during the term of the swap agreement, then the party receiving the floating rate will profit and the party receiving the fixed rate will incur a loss.

Conversely, if interest rates decline, then the party getting paid the guaranteed fixed rate return will benefit, while the party receiving payments a floating rate will see the amount of the interest payments it receives go down.

Example – An Interest Rate Swap Contract in Action

Let’s see exactly what an interest rate swap agreement might look and how it plays out in action.

In this example, companies A and B make an interest rate swap agreement with a nominal value of $100,000. Company A believes that interest rates are ly to rise over the next couple of years and aims to obtain exposure to potentially profit from a floating interest rate return that would increase if interest rates do, indeed, rise.

Company B is currently receiving a floating interest rate return, but is more pessimistic about the outlook for interest rates, believing it most ly that they will fall over the next two years, which would reduce their interest rate return.

Company B is motivated by a desire to secure risk protection against possible declining rates, in the form of getting a fixed rate return locked in for the period.

The two companies enter into a two-year interest rate swap contract with the specified nominal value of $100,000. Company A offers Company B a fixed rate of 5% in exchange for receiving a floating rate of the LIBOR rate plus 1%.

The current LIBOR rate at the beginning of the interest rate swap agreement is 4%.

Therefore, to start out, the two companies are on equal ground, with both receiving 5%: Company A has the 5% fixed rate, and Company B is getting the LIBOR rate of 4% plus 1% = 5%.

Now assume that interest rates do rise, with the LIBOR rate having increased to 5.25% by the end of the first year of the interest rate swap agreement.

Let’s further assume that the swap agreement states that interest payments will be made annually (so it is time for each firm to receive its interest payment), and that the floating rate for Company B will be calculated using the prevailing LIBOR rate at the time that interest payments are due.

Company A owes Company B the fixed rate return of $5,000 (5% of $100,000). However, since interest rates have risen, as indicated by the benchmark LIBOR rate having increased to 5.25%, Company B owes Company A $6,250 (5.25% plus 1% = 6.25% of $100,000).

To avoid the trouble and expense of both parties paying the full amount due to each other, the swap agreement terms state that only the net difference in payments is to be paid to the appropriate party. In this instance, Company A would receive $1,250 from Company B.

Company A has profited from accepting the additional risk inherent with accepting a floating interest rate return.

Company B has suffered a loss of $1,250, but has still gotten what it wanted – protection against a possible interest rate decline. Let’s see how things would look if the interest rate market had moved in the opposite direction. What if at the end of the first year of their agreement, the LIBOR rate had fallen to 3.

75%? With its fixed rate return, Company B would still be owed $5,000 by Company A. However, Company B would only owe Company A $4,750 (3.75% plus 1% = 4.75%; 4.75% of $100,000 = $4.750). This would be resolved by Company A paying $250 to Company B ($5,000 minus $4,750 = $250).

In this scenario, Company A has incurred a small loss and Company B has reaped a benefit.

Risks of Interest Rate Swaps

Interest rate swaps are an effective type of derivative that may be of benefit to both parties involved in using them, in a number of different ways. However, swap agreements also come with risks.

One notable risk is that of counterparty risk. Because the parties involved are typically large companies or financial institutions, counterparty risk is usually relatively low.

But if it should happen that one of the two parties defaults and is unable to meet its obligations under the interest rate swap agreement, then it would be difficult for the other party to collect.

It would have an enforceable contract, but following the legal process might well be a long and twisting road.

Just dealing with the unpredictable nature of floating interest rates also adds some inherent risk for both parties to the agreement.

To learn more and advance your career, see the following free CFI resources:

  • Interest PayableInterest PayableInterest Payable is a liability account shown on a company’s balance sheet that represents the amount of interest expense that has accrued to date but that has not been paid as of the date on the balance sheet. It represents the amount of interest currently owed to lenders and is typically a current liability
  • Cost of DebtCost of DebtThe cost of debt is the return that a company provides to its debtholders and creditors. Cost of debt is used in WACC calculations for valuation analysis.
  • Debt ScheduleDebt ScheduleA debt schedule lays out all of the debt a business has in a schedule its maturity and interest rate. In financial modeling, interest expense flows
  • Debt-to-Equity RatioDebt to Equity RatioThe Debt to Equity Ratio is a leverage ratio that calculates the value of total debt and financial liabilities against the total shareholder’s equity.


Процентный своп — что это, пример, формулы расчета

interest-rate swap

В сфере финансов используется понятие «процентный своп» (Interest Rate Swap).

Думаю, будет интересно узнать, для каких целей применяют, как с его помощью можно сэкономить деньги. И все это на простом примере.

Что это такое простыми словами

Процентный своп – это договор сторон об обмене друг с другом платежей, выраженных в процентах. Один контрагент платит по меняющимся процентным условиям, например, привязанным к LIBOR. Другой контрагент – по фиксированным.

Такой инструмент подходит для крупных финансовых институтов – банков, инвестиционных фондов, хедж-фондов. Чтобы глубже разобраться в теме, приведу пример.


У компании № 1 есть заем на сумму $ 1 млн под фиксированные 8 %. То есть ее периодический платеж составляет $ 80 тыс. Ни больше ни меньше.

Компании № 2 тоже дали в кредит $ 1 млн. Но с другими условиями – LIBOR + 3 %. Это и есть плавающий процент.

Тут немного отступлю, чтобы рассказать, в чем суть LIBOR. Для каждого периода он может иметь разные значения. Например, сначала размер LIBOR составит 5 %, значит, компания № 2 заплатит 8 % – $ 80 тыс. В следующий период – 4 %. Значит, ставка будет 7 %, выплата, соответственно, составит $ 70 тыс.

Допустим, такой вариант не устраивает ни одну из сторон. Например, первая видит в меняющемся платеже возможность сэкономить, тем более если обладает информацией о том, что LIBOR снизится. А вторая не имеет возможности спланировать расходы из-за постоянно меняющейся суммы выплат.

Так как контрагенты хотят поменяться своими кредитными предложениями, они могут воспользоваться процентным свопом. То есть они заключают сделку и выплачивают проценты друг за друга.

Как теперь получается. Компания № 1 с фиксированными 8 %, предлагает свой кредит компании № 2 под 7 %. В то же время она погашает заем компании № 2 с условиями LIBOR + 1 %.

В итоге каждая из сторон получает желаемые условия.

Виды процентных свопов

Можно выделить следующие виды IRS:

  • традиционный (ванильный). Постоянная ставка меняется на меняющуюся и наоборот;
  • Fixed-for-Fixed. Платежи фиксированные, но выражены в разных валютах;
  • базисный. Обмен меняющимися ставками, которые привязаны к разным индикаторам.

Такие операции относятся к срочным, так как заключаются на длительный срок в несколько лет. В отличие от фьючерсов это внебиржевые операции. Можно сравнить разве что с форвардом, только физическая поставка активов отсутствует и обязательства не односторонние.

Как используется

Помимо обмена условиями, чаще всего IRS применяются в различных инвестиционных стратегиях, а также для хеджирования операций.


Постоянная ставка в процентном свопе позволяет защититься одной фирме от снижения позиций на рынке. А другой контрагент с меняющейся ставкой может оказаться в выигрыше при снижении их стоимости.


Из-за низкого порога по вхождению на позицию по процентному свопу трейдеры часто их используют для спекуляции на движении цен.

Вместо открытия короткой позиции базового актива, который, возможно, упадет в цене, трейдер заключает своп-соглашение с фиксированными процентами за нужный период.

Ценообразование процентного свопа

Чтобы рассчитать процентный своп, применяются разные формулы.

Для фиксированного платежа применяют такую формулу:

Где С – ставка; Р – размер сделки; t – период; T – база валюты, соответствующая конвенции; M – количество выплат; df – фактор дисконтирования.

В плавающей сделке расчет каждого платежа зависит от форвардной процентной ставки (f).

А формула следующая:

Где N – количество выплат.

На момент заключения договора должно быть справедливо равенство: 

То есть ни один из контрагентов не имеет выгод перед другим, не производятся никакие выплаты.

Изменение показателя f в периоде может влиять на данное равенство.

Преимущества и недостатки

Положительными сторонами IRS являются:

  • удовлетворение потребностей контрагентов. Им не надо проводить дополнительные операции с кредитами (досрочно погашать, открывать заново);
  • получение доступа к рынкам, ранее недоступным, для работы с иностранной валютой;
  • обмен рисками + страховка от рыночных рисков.

У свопов есть и недостатки: отсутствует возможность перепродажи и гарантии исполнения. 


При совершении традиционной сделки возможно появление процентного риска, связанного с изменением позиций. То есть выплаты могут стать невыгодными одной из сторон.

Также существует риск того, что вторая сторона не сможет выполнить свои условия, так как у нее попросту нет денег, чтобы погасить кредит.


В этой статье на примере двух фирм я разъяснил, что такое своп. Это не обмен деньгами и не предоставление кредита друг другу. Это отдельная сделка, которая не влияет на заем.

Чтобы не пропустить мои статьи, подписывайтесь и делитесь полезностями в социальных сетях.

До свидания!


Interest Rate Swap

interest-rate swap

In a nutshell, interest rate swap can be said to be a contractual agreement between two parties to exchange interest payments.

The most common type of interest rate swap arrangement is one in which Party A agrees to make payments to Party B the fixed interest rate, and Party B agrees to pay party A the floating interest rate.

In almost all cases, the floating rate is tied to some kind of reference rate.

We look at Interest Rate Swaps in detail in this article, along with examples –

Learn more about Swaps, valuation, etc. in this detailed Swaps in Finance

Interest Rate Swaps Example

Let’s see how interest rate swap works with this basic example.

Let’s say Mr. X owns a $1,000,000 investment that pays him LIBOR + 1% every month. LIBOR stands for London interbank offered rate and is one of the most used reference rates in the case of floating securities. The payment for Mr.

X keeps changing as the LIBOR keeps changing in the market. Now assume there is another guy Mr. Y who owns a $1,000,000 investment that pays him 1.5% every month.

The payment received by him never changes as the interest rate assumed in the transaction if fixed in nature.

Now Mr. X decides that he doesn’t this volatility and would rather have fixed interest payment, while Mr. Y decides to explore floating rate so that he has a chance of higher payments. This is when both of them enter into an interest rate swap contract.

The terms of the contract state that Mr. X agrees to pay Mr. Y LIBOR + 1% every month for the notional principal amount of $1,000,000. In lieu of this payment, Mr. Y agrees to pay Mr. X 1.5% interest rate on the same principle notional amount.

Now let us see how the transactions unfold under different scenarios.

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Scenario 1: LIBOR standing at 0.25%

Mr. X receives $12,500 from his investment at 1.25% (LIBOR standing at 0.25% and plus 1%). Mr. Y receives the fixed monthly payment of $15,000 at a 1.5% fixed interest rate. Now, under the swap agreement, Mr. X owes $12,500 to Mr. Y, and Mr. Y owes $15,000 to Mr. X. The two transactions partially offset each other. The net transaction would lead Mr. Y to pay $2500 to Mr. X.

Scenario 1: LIBOR standing at 1.00%

Mr. X receives $20,000 from his investment at 2.00% (LIBOR standing at 1.00% and plus 1%). Mr. Y receives the fixed monthly payment of $15,000 at a 1.5% fixed interest rate. Now, under the swap agreement, Mr. X owes $20,000 to Mr. Y, and Mr. Y owes $15,000 to Mr. X. The two transactions partially offset each other. The net transaction would lead Mr. X to pay $5000 to Mr. Y.

So, what did the interest rate swap did to Mr. X and Mr. Y? The swap has allowed Mr. X a guaranteed payment of $15,000 every month.  If LIBOR is low, Mr. Y will owe him under the swap. However, if the LIBOR is high, he will owe Mr. Y. Either way, he will have a fixed monthly return of 1.

5% during the tenure of the contract. It is very important to understand that under the interest rate swap arrangement, parties entering into the contract never exchange the principal amount. The principal amount is just notional here.

There are many uses to which the interest rate swaps are put, and we will discuss each one of them later in the article.

The trading perspective of interest rate Swap

Interest rate swaps are traded over the counter, and generally, the two parties need to agree on two issues when going into the interest rate swap agreement.

The two issues under consideration before a trade are the length of swap and terms of the swap.

The length of a swap will decide the start and termination date of the contract, while terms of the swap will decide the fixed rate on which the swap will work.

Uses of interest rate swap

  • One of the uses to which interest rate swaps put to is hedging. In case an organization is of the view that the interest rate would increase in the coming times, and there is a loan against which he/she is paying interest. Let us assume that this loan is linked to 3 month LIBOR rate.

    In case the organization is of the view that the LIBOR rate will shoot up in the coming times, the organization can then hedge the cash flow by opting for fixed interest rates using an interest rate swap. This will provide some kind of certainty to the cash flow of the organization.

  • The banks use interest rate swaps to manage interest rate risk. They tend to distribute their interest rate risk by creating smaller swaps and distributing them in the market through an inter-dealer broker.

    We will discuss this attribute and transaction in detail when we look at who are the market makers in the business.

  • A huge tool for fixed income investors. They use it for speculations and market creation.

    Initially, it was only for corporates, but as the market grew, people started perceiving the market as a way to gauge interest rate view held by the market participants. This was when many fixed-income players started actively participating in the market.

  • The interest rate swap works as an amazing portfolio management tool. It helps in adjusting the risk related to interest rate volatility. In the case of fund managers wants to work on a long-duration strategy, the long-dated interest rate swaps help in increasing the overall duration of the portfolio.

What is the swap rate?

Now when you have understood what a swap transaction is, it is very important to understand what is known as ‘swap rate.’ A swap rate is the rate of the fixed leg of the swap as determined in the free market. So, the rate which is quoted by various banks for this instrument is known as swap rate.

This provides an indication of what is the view of the market and if the firm believes it can stabilize cash flows buying a swap or can make a monetary gain doing so, they go for it.

So, the swap rate is the fixed interest rate that the receiver demands in exchange for uncertainty, which existed because of the floating leg of the transaction.

What is a swap curve?

The plot of swap rates across all the available maturities is known as the swap curve.

It is very similar to the yield curve of any country where the prevailing interest rate across the tenure is plotted on a graph.

Since swap rate is a good gauge of the interest rate perception, market liquidity, bank credit movement, the swap curve in isolation become very important for interest rate benchmark.


Generally, the sovereign yield curve and swap curve are of similar shape. However, at times there is a difference between the two. The difference between the two is known as ‘swap spread.

’ Historically this difference tended to be positive, which reflected higher credit risk with the banks compared to a sovereign. However, considering other factors that are indicative of supply-demand, liquidity, the U.S.

spread currently is standing at negative for longer maturities. Please refer to the graph below for a better understanding.

Please refer to the graph below for a better understanding.


The swap curve is a good indicator of the conditions in the fixed income market. It reflects both bank credit situation coupled with the interest rate view of the market participants at large.

In mature markets, the swap curve has supplanted the treasury curve as the main benchmark to price and trade corporate bonds and loans.

It works as a primary benchmark in certain situations as it is more market-driven and considers larger market participants.

Who are the market makers in Swaps?

Big investment firms, along with commercial banks that have strong credit rating history, are the largest swap market makers. They offer both fixed and floating rate options to investors who want to go for a swap transaction.

The counterparties in a typical swap transaction are generally corporation, bank, or an investor on one side and large commercial bank and investment firms on the other. In a general scenario, the moment a bank executes a swap, it usually offsets it through an inter-dealer broker.

In the whole transaction, the bank keeps the fees for initiating the swap. In cases when the swap transaction is very large, the inter broker-dealer may arrange a number of other counterparties, in turn spreading the risk of the transaction. This results in a wider dispersion of the risk.

This is how banks that hold interest rate risk try to spread the risk to the larger audience. The role of the market makers is to provide ample players and liquidity in the system.

What are the risks involved in Swaps?

in the case of a non-government fixed income market, interest rate swap holds two primary risks. These two risks are interest rate risk and credit risk. Credit risk in the market is also known as counterparty risks. The interest rate risk arises because the expectation of interest rate view might not match with the actual interest rate.

A Swap also has a counterparty risk, which entails that either party might adhere to contractual terms. The risk quotient for interest rate swaps came at an all-time high in 2008 when the parties refused to honor the commitment of interest rate swaps. This was when it became important to establish a clearing agency to reduce counterparty risk.

What is in it for an investor in the swap?

Over the year’s financial markets has constantly innovated and came up with great financial products. Each of them initiated in the market with an objective to solve some kind of corporate-related problem and later became a huge market in itself.

This is what has exactly happened with interest rate swaps or the swap category at large. The objective for the investor is to understand about the product and see where it can help them. The understanding of the interest rate swap can help an investor gauge an interest rate perception in the market.

It can also help an individual decide on when to take a loan and when to delay it for a while. It can also be of help to understand the kind of portfolio your fund manager is holding and how over the years, he or she is trying to manage the interest rate risk in the market. Swap is a great tool to manage your debt effectively.

It allows the investor to play around with the interest rate and does not limit him with a fixed or floating option.


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