Cross-Currency Swap Pricer
Understand cross-currency swaps and use BlueGamma's pricer to calculate implied spreads across currencies and tenors.
What Is a Cross-Currency Swap?
A cross-currency swap (XCCY swap) is a derivative contract where two parties exchange principal and interest payments in different currencies. Unlike a standard interest rate swap (same currency on both legs), a cross-currency swap involves:
Initial exchange of principal at the spot FX rate
Periodic interest payments in each respective currency
Final re-exchange of principal at the original spot rate (not the prevailing rate at maturity)
How Cross-Currency Swaps Work
Example: EUR/USD Cross-Currency Swap
Imagine a European company that has issued USD-denominated bonds but earns revenue in EUR. They want to hedge their FX exposure.
Company receives
$100 million (from bond investors)
Company pays
€90 million (to swap counterparty at spot rate of 1.11)
Company pays
EUR floating rate (e.g., EURIBOR) on €90m notional
Company receives
USD floating rate (e.g., SOFR) on $100m notional
Company pays
$100 million (to swap counterparty)
Company receives
€90 million (from swap counterparty)
The company has effectively converted their USD debt into EUR debt, matching their revenue currency.
The Cross-Currency Basis
The cross-currency basis is the spread added to one leg of a cross-currency swap to make it fair value. It reflects:
Supply and demand for funding in each currency
Credit and counterparty risk differences
Regulatory and balance sheet constraints on banks
A negative EUR/USD basis (common historically) means EUR borrowers pay a premium to swap into USD — reflecting higher demand for USD funding.
💡 Why it matters: The basis can add or reduce 20-50+ bps to your effective funding cost, making it critical for pricing cross-currency debt.
BlueGamma's Pricing Methodology
BlueGamma's cross-currency swap pricer uses institutional-grade methodology:
1. Discount Curves
OIS-based curves for each currency (SOFR, ESTR, SONIA)
2. Basis Adjustment
Cross-currency basis spreads applied to align discount factors
3. FX Alignment
Cash flows converted at spot or agreed forward rates
4. Cash Flow Projection
Interest and principal flows scheduled per market conventions
5. NPV Calculation
Each leg discounted to present value; fair spread calculated
Using the Cross-Currency Swap Pricer
Before You Start
To use the pricer, you need:
A BlueGamma account (trial or subscription)
Logged in at app.bluegamma.io
Don't have an account? Create a free BlueGamma trial
Step 1: Navigate to the Pricer
From the sidebar, under Pricers, click Cross Currency Swap.
Step 2: Select Your Currencies
Use the dropdowns at the top:
Base Currency
The currency you're funding in (e.g., EUR)
Quote Currency
The currency you're swapping into (e.g., USD)
Supported pairs: EUR/USD, GBP/USD, EUR/GBP
Step 3: Choose Your Tenors
The pricing matrix lets you compare multiple tenors side by side:
Click + Add Tenor to add individual tenors (e.g., 7Y, 10Y, 12Y, 15Y)
Click All to add all available tenors
Click Clear to remove all and start fresh
Click × next to any tenor to remove it
Step 4: Enter Your Spread
For each tenor, enter your Input: Spread (bps) — the spread over the base currency benchmark.
The matrix automatically displays:
EUR Benchmark (%)
The benchmark swap rate for the base currency
Input: Spread (bps)
Your input spread over the benchmark
EUR Coupon (%)
The all-in coupon (benchmark + spread)
USD Coupon (%)
The equivalent coupon in the quote currency
USD Benchmark (bps)
The benchmark spread for the quote currency
Output: Implied Spread
The implied spread in USD based on your input
Spread Delta (bps)
Difference between input and implied spread
Step 5: Analyse the Results
The Spread vs Tenor Analysis chart shows:
Differential (green bars): The spread delta at each tenor
EUR (dark blue line): Your input spread across tenors
USD (light blue line): The implied USD spread
Step 6: View Historical Spreads
The Historical USD Implied Spread section shows how implied spreads have moved over time. Configure:
Base and Quote Currency
Tenor (e.g., 10 years)
EUR Spread to Benchmark (bps)
Step 7: Download Your Data
Click Download on the pricing matrix or historical chart to export to CSV.
Use Cases
Corporate treasurers
Compare funding costs across currencies
DCM teams
Price cross-currency bond issuance
Investment managers
Evaluate currency-hedged returns
Risk managers
Monitor cross-currency basis exposure
Key Applications
Foreign Currency Debt Hedging: Convert overseas funding back to home currency rates
Balance Sheet Management: Align multi-currency assets and liabilities
Risk Mitigation: Lock in exchange rates and interest costs
Ready to price cross-currency swaps?
Create a free BlueGamma trial and start using the pricer today.
Need help? 📩 [email protected] | 📅 Book a call
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