Currency Swap Calculator
The formula
What the currency swap economics tells you
Prices the classic cross-currency swap: exchange principals at spot, pay interest on each other’s currency, re-exchange at maturity — how banks fund abroad and how corporates convert debt without delivering FX risk blind.
Calculation: Annual net = notional × (USD leg − converted foreign leg); basis adjusts foreign funding cost. Enter your inputs and every substitution is shown below the result.
Reading the result
The basis is the tell: negative basis means the world is bidding up dollars in swap form; widening basis in stress is the 2008/2020 Fed-swap-line signal.
Rules of thumb: Cross-currency basis historically −10 to −30 bp in stress windows; corporate use cases mostly USD/EUR and USD/JPY
Limitations and best practice
Gross cash flows are not PV — discount both legs at their own currency curves; and credit/CVA on multi-year swaps can exceed the spread you are paying for.
This calculator gives an estimate based on standard formulas; it is not professional financial, medical, legal or engineering advice. Verify anything you plan to act on with a qualified professional and your own records.
Frequently asked questions
Swap vs two separate loans?
Who posts collateral?
Does the swap create FX risk?
Source & methodology
BIS OTC derivatives statistics; standard swap desk mechanics.
Currency Swap explained: formula, worked example and honest limits
You are here because you need a specific number, and you want to see how it was produced before you rely on it. Currency Swap is the kind of number people argue about from memory. This page ends that argument with arithmetic you can watch happen: enter your figures, get Net annual cash flow in real time, and see every substitution printed below.
In Finance & Banking the same quantity is often quoted under two or three different conventions. The formula printed above fixes one convention and applies it consistently, which is what makes results from this page comparable with each other.
Like most useful measures, Currency Swap is a summary, and summaries hide as much as they reveal. The companion outputs and the input table are here to reopen what the headline compressed.
Every figure in the prose is generated by the engine rather than written beside it — the worked example resolves to net annual cash flow = $79,636 /yr on the default inputs, and the sensitivity section ranks the inputs that move the result — USD leg rate first, at ≈30.2 % of the headline for a ten-percent error either way in that input. Read the sections in order and you will be able to reproduce every figure by hand.
How Currency Swap is computed, line by line
The engine implements a single stated model: Annual net = notional × (USD leg − converted foreign leg); basis adjusts foreign funding cost. There is no hidden coefficient and no login-gated precision — the formula printed is the formula executed, which is also what makes the result citable.
Notional in USD (example value 4,826,453) is a quantity rather than a category — precision here is cheap and worth having. Replace the example with the figure from your own records — the tool recomputes instantly and the printed steps follow your numbers.
USD leg rate (%) (example value 5) is a plain measured quantity — the unit shown in the label is the unit the formula expects. Rates are the most mis-transcribed input on any page like this; copy it from the document rather than retyping from memory.
Foreign leg rate (%) (example value 3) is a measured number in the unit named by the label; the formula does not convert for you. Check the convention first: if the source says “6.5 % per year”, type 6.5 and let the formula do the rest.
Basis points on foreign leg (example value 24) is a measured number in the unit named by the label; the formula does not convert for you. Replace the example with the figure from your own records — the tool recomputes instantly and the printed steps follow your numbers.
Tenor (years) (example value 5) is a plain measured quantity — the unit shown in the label is the unit the formula expects. Be precise about the boundary (exact date, start of month); time inputs decide the exponent in most formulas.
Spot (foreign per USD) (example value 150) is a measured number in the unit named by the label; the formula does not convert for you. If you are unsure what belongs in this field, look at the printed steps: the substitution shows exactly how the engine uses it.
Currency Swap with real numbers, step by step
The tool prints its own working; this is the same arithmetic on the example values, reproduced so you can follow it by hand. Starting figures: Notional in USD, USD leg rate (%), Foreign leg rate (%), Basis points on foreign leg. Run to the end, the net annual cash flow resolves to $79,636 /yr — Effective all-in funding: 3.34% vs 4.99% USD — USD leg pays more, swap is a net outflow; principal exchange at spot = $723,967,950 foreign on the bands this tool uses.
- USD leg: $4,826,453 × 4.99% = $240,840/yr
- Foreign leg incl. basis: 3.10% + 24bp = 3.34% → $161,204
- Net = $79,636/yr; principal re-exchanged at maturity at the initial spot
USD leg payment — $240,840 /yr. This is the number experienced users quote when the headline alone would mislead.
Foreign leg payment (USD equiv.) — $161,204 /yr. This is the number experienced users quote when the headline alone would mislead.
Basis cost — $11,583 /yr. Compare it against the main result of $79,636 /yr before drawing conclusions.
5-yr gross (undiscounted) — $2,010,218. This is the number experienced users quote when the headline alone would mislead.
Overwrite any input above and every line of this example updates with it — the substitution is live, not a screenshot of somebody else’s numbers.
Scenario table: Currency Swap at ±10 % and ±20 % of the key input
The honest version of any estimate is a corridor, and this one is cheap to produce: Currency Swap was recomputed at 5 points along the dominant input, with every other field left untouched.
| USD leg rate setting | Net annual cash flow |
|---|---|
| 80 % of the example value | $31,468 /yr |
| 90 % of the example value | $55,552 /yr |
| example inputs | $79,636 /yr |
| 110 % of the example value | $103,720 /yr |
| 120 % of the example value | $127,804 /yr |
Across 5 settings of USD leg rate, the result spans $31,468 /yr to $127,804 /yr. A decision that only works at one row of this table is a decision waiting for an input to move. Reproduce it in the form above by editing USD leg rate alone; the substitution steps will follow your figures exactly.
What actually moves your Currency Swap
Nobody should have to guess which input matters. The engine was re-run once per field below — ten percent up, ten percent down, everything else frozen — and the results ranked by how far they moved the net annual cash flow. It is the fastest honest answer to “what matters most in Currency Swap?” — and it is specific to these defaults, because sensitivity moves with the starting point.
- USD leg rate +10 % → Currency Swap = $103,720 /yr · −10 % → $55,552 /yr (the net annual cash flow shifts ≈30.2 %)
- Foreign leg rate +10 % → Currency Swap = $64,674 /yr · −10 % → $94,598 /yr (the net annual cash flow shifts ≈18.8 %)
- Nudge Notional in USD by ±10 % and Currency Swap lands between $71,673 /yr and $87,600 /yr (sensitivity ≈10.0 %)
- Basis points on foreign leg: ten percent up gives $78,478 /yr, ten percent down gives $80,795 /yr — ≈1.5 % of the net annual cash flow either way
USD leg rate is the dominant lever here: ten percent either way moves the result by about 30.2 %, from $55,552 /yr to $103,720 /yr. That is where a careless figure does the most damage, so check it against a source, and treat Foreign leg rate as the second priority (≈18.8 % per ten percent). Everything below that can stay approximate, which is a licence to stop chasing data that would not change the decision.
What a Currency Swap of $79,636 /yr means in practice
The value above only becomes useful the moment you know what it is being measured against. The verdict attached to the default calculation — “Effective all-in funding: 3.34% vs 4.99% USD — USD leg pays more, swap is a net outflow; principal exchange at spot = $723,967,950 foreign” — is one band on a ladder your own figure may sit somewhere else on. How much of that band is luck? On USD leg rate alone ten percent either way covers $55,552 /yr to $103,720 /yr. The practical reading rules: read the band as a starting hypothesis, then test it: change the two dominant inputs by ten percent and see whether the verdict survives. Verdicts that survive stress are the ones worth acting on.
Where Currency Swap sits next to similar measures: this tool answers “how much is the Currency Swap”, while the related calculators answer “what do I do about it”. Reading the result alone tends to over-weight a single snapshot; pairing it with the companion tools above turns the number into a decision.
How people get Currency Swap wrong
Gross cash flows are not PV — discount both legs at their own currency curves; and credit/CVA on multi-year swaps can exceed the spread you are paying for. This calculator gives an estimate based on standard formulas; it is not professional financial, medical, legal or engineering advice. Verify anything you plan to act on with a qualified professional and your own records.
Treating the example inputs as a recommendation. They are a demonstration of the mechanism — a decision-grade Currency Swap begins the moment your own figures replace them.
One mistake is specific to this engine: assuming every input matters equally. The computation above shows USD leg rate dominating — a careful figure there beats false precision everywhere else.
A final trap is presentation: reporting Currency Swap to more decimal places than the inputs support. The tool prints what the arithmetic gives; you should quote only what your least precise field justifies.
Six things to confirm before acting on Currency Swap
- Confirm the example values are plausible for your own situation before replacing them.
- Recompute once with the dominant input deliberately set low, and see whether the decision changes.
- Put USD leg rate under a magnifier; the sensitivity table above is the reason why.
- Record the date and the inputs alongside the number so future-you knows what was assumed.
- Verify each input against its original source document, not memory.
- Run the ±10 % stress on the top two levers and check that your conclusion survives both.
Five steps from raw inputs to a figure you can defend
The tool does the arithmetic; the routine below is what makes the arithmetic trustworthy. Five steps, a minute total — and afterwards you will know not just what the number is, but which assumption produced it.
Step 1 — collect, then type. Everything this tool asks for is listed above (notional in usd, usd leg rate (%), foreign leg rate (%), basis points on foreign leg, tenor (years), spot (foreign per usd)). Pull each figure from something you can point at — paperwork, a dashboard, a label — before touching a field. Guesswork at the input stage cannot be repaired at the interpretation stage. Repeating a calculation with the same numbers proves only that the arithmetic is reliable — which is worth knowing.
Step 2 — enter the conservative case first. Resist the flattering scenario. Type the inputs you would defend in front of a sceptical reader, read the Net annual cash flow ($79,636 /yr for the example values), and note the verdict band. Rounding early is the quietest way to introduce a permanent error.
Step 3 — isolate your variables. Change one field, observe, revert. The live sensitivity list does the ranking for the default inputs; verify it against your own, because dominance shifts when the starting point shifts. Precision is a promise you make about your data; make sure your inputs can keep it.
Step 4 — run the scenario trio. Expected, pessimistic, optimistic. The gap between pessimistic and expected is the number to plan against; the optimistic result is useful only as a ceiling. A result worth acting on survives having its two shakiest inputs halved.
Step 5 — save the story with the figure. A number without its inputs and its date is unusable within a quarter. Record $79,636 /yr, the assumptions behind it, and today’s date; your future self will be auditing a stranger’s arithmetic. Precision is a promise you make about your data; make sure your inputs can keep it.
From calculation to decision: where Currency Swap earns its keep
Finance & Banking arguments end at arithmetic or they do not end. Currency Swap is the arithmetic: $79,636 /yr on the example inputs, reproducible by anyone who types the same numbers. If the answer changes your behaviour, it deserves a second run with different assumptions.
Professionals in Currency & International use this style of calculation as a screening filter before spending real money or effort: a quick Currency Swap check eliminates weak options in minutes, and the survivors earn the deeper, slower analysis. If the answer changes your behaviour, it deserves a second run with different assumptions.
Nothing here is stored or transmitted, so the habit of checking is free: open the page, re-enter current figures, compare with the number you saved last time. Say the answer out loud before you save it; if it sounds wrong, the model did not change, your understanding did.
The questions that come up most about Currency Swap
What affects Currency Swap the most?
Currency Swap is driven above all by USD leg rate. Perturbing only that field by ten percent either way produced $103,720 /yr against the $79,636 /yr baseline — a ≈30.2 % response, while Foreign leg rate manages ≈18.8 %.
Which matters more: foreign leg rate or usd leg rate?
By the numbers, USD leg rate: a ten-percent change in it moves the result ≈30.2 %, versus ≈18.8 % for Foreign leg rate. Spend your measuring effort in that order — precision on the weaker lever buys almost nothing.
What is a typical Currency Swap?
With the example inputs on this page the result is $79,636 /yr, labelled “Effective all-in funding: 3.34% vs 4.99% USD — USD leg pays more, swap is a net outflow; principal exchange at spot = $723,967,950 foreign”. “Typical” varies with situation, which is why every result here ships with its verdict band and its sensitivity list: they turn one figure into a range you can locate yourself inside.
How do I calculate Currency Swap by hand?
Annual net = notional × (USD leg − converted foreign leg); basis adjusts foreign funding cost is the entire method. Work the inputs in that order — USD leg: $4,826,453 × 4.99% = $240,840/yr — and you will reach $79,636 /yr on the default figures, the same number this tool prints.
What happens to Currency Swap if usd leg rate changes by 10 %?
Try it in the form above and the printed substitution will follow you; the pre-computed answer for the defaults is $55,552 /yr to $103,720 /yr across the ten-percent probe, i.e. ≈30.2 % sensitivity on the net annual cash flow.
Is the Currency Swap result of $79,636 /yr good or bad?
Good and bad are comparisons, so the honest test is three questions: where does your own Currency Swap sit against the $79,636 /yr reference above, how far would a plausible input error move it (≈30.2 % per ten percent on USD leg rate), and what does the alternative option compute to?
Is Currency Swap the same as what my bank quotes?
Often close but not identical: institutions quote rates on their own day-count and fee assumptions. Recompute with the actual dollar figures from a statement — if the gap is large, the fine print is doing work you should understand before signing.
Does inflation change Currency Swap?
Any money figure that stretches over months is an inflation-sensitive number. A Currency Swap of $79,636 /yr today is a different real value next year; divide by the inflation factor when comparing across time.
Swap vs two separate loans?
Same economics only if the counterparty can access both markets cheaply — the swap exists because comparative advantage in funding is real.
Who posts collateral?
Under the 2015 standard CSA, variance margin daily; initial margin phased in — terms decide much of the net benefit.
Can this tool see the numbers I type?
It cannot. There is no submission step: the calculation happens in your browser and the result disappears when you close the page. Treat the fields above as a scratchpad rather than a form.
What the labels on this page mean
- USD leg payment
- $240,840 /yr for the Currency Swap worked case; it sits next to the main result because it carries context the headline leaves out.
- Foreign leg payment (USD equiv.)
- $161,204 /yr on the example inputs — a companion figure printed beside the headline of Currency Swap so that no result is read in isolation.
- Basis cost
- $11,583 /yr on the example inputs — a companion figure printed beside the headline of Currency Swap so that no result is read in isolation.
- Net annual cash flow
- The primary output of this tool: $79,636 /yr for the default inputs, computed exactly from Annual net = notional × (USD leg − converted foreign leg); basis adjusts foreign funding cost.
- Worked example
- The step-by-step substitution printed above, so the arithmetic can be re-derived by hand or in a spreadsheet.
- Verdict band
- The interpretation attached to a result (“Effective all-in funding: 3.34% vs 4.99% USD — USD leg pays more, swap is a net outflow; principal exchange at spot = $723,967,950 foreign” on these inputs), which turns a bare number into a position on a scale.
- Sensitivity (±10 %)
- How far the Currency Swap moves when a single input is nudged ten percent either way; the ranked list on this page is computed live from this engine.
Methodology, sources and limits
The model is published arithmetic implemented exactly as written: Annual net = notional × (USD leg − converted foreign leg); basis adjusts foreign funding cost. Source of record: BIS OTC derivatives statistics; standard swap desk mechanics. Any other implementation of this model should return the same figure for the same inputs. If one does not, the difference is in its assumptions — which this page prints and that one probably does not.
Treat the output as a precise answer to the question you typed: exact arithmetic, transparent formula, published source, no hidden rounding. The design constraint was set by usefulness rather than by comfort: an estimate you can interrogate beats an answer you have to trust.
Next steps after the calculation
Save the number together with its inputs and today’s date; a Currency Swap figure without context is unusable the moment an input changes.
Whoever you are (people who need one trustworthy number before their next decision), the next step is the same: replace the example inputs with your own, note the date, and re-run whenever a figure moves. In Finance & Banking, a dated figure is a trend, and an undated one is a rumour.