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Foreign Exchange Swaps and Cross-Currency Swaps

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  • Angelo Ranaldo

    (University of St. Gallen and Swiss Finance Institute)

Abstract

In the first part of this chapter, we explain the main characteristics of foreign exchange (FX) swap and cross-currency swap contracts. We emphasize the importance of the valuation adjustment (XVA) approach and then map the FX swap market in terms of currencies, parties, maturities, and size. The second part is devoted to the institutional framework of the FX swap market, specifically its over-the-counter (OTC) nature, recent technological trends, and policy actions such as the regulatory reform and process to oust the Libor rate. We conclude this chapter by pointing to future research directions to better understand the pricing and market functioning of FX swaps.

Suggested Citation

  • Angelo Ranaldo, 2022. "Foreign Exchange Swaps and Cross-Currency Swaps," Swiss Finance Institute Research Paper Series 22-51, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2251
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    Cited by:

    1. Mathias Drehmann & Vladyslav Sushko, 2022. "The global foreign exchange market in a higher-volatility environment," BIS Quarterly Review, Bank for International Settlements, December.
    2. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.

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