Cross-Currency Swap Calculator

A cross-currency swap exchanges interest payments in two different currencies on an agreed notional, and usually exchanges the principal itself at the start and the end. This calculator takes the simplest slice of that: the fixed rate paid on one leg against the fixed rate received on the other, applied to the notional across the term. On the sample figures a 5% leg paid against a 7% leg received leaves a two-point differential, which is 2% of the notional a year.

On the sample figures the notional is 100,000,000, the paid leg costs 5,000,000 a year and the received leg brings in 7,000,000, so the net is 2,000,000 a year and 10,000,000 across the five-year term. The figures carry whichever currency is selected, while the two legs of a real swap are denominated in different currencies, which this single-currency arithmetic does not represent.

The usual reasons for entering one are hedging debt raised in a foreign currency, funding a subsidiary where borrowing is cheaper and swapping the exposure back, and sovereign debt management. These are institutional instruments, arranged through dealer banks under master agreements, carrying counterparty exposure that is managed with collateral, and with minimum sizes that put them outside retail reach. What this calculator shows is the rate differential alone. A real valuation also carries the exchange rate at each leg, the movement in that rate over the term, and discount factors for every payment date.

A worked example

With the defaults: a notional of 100,000,000, a paid leg at 5%, a received leg at 7% and a five-year term. The tool returns 10,000,000.00 in the selected currency.

What moves the number most

The notional and the term are exactly proportional: a 1% move in either moves the result 1%. The two rates are not, because only their difference reaches the calculation. Each rate's lever is its own size divided by the differential, so at a 7% received leg against a 5% paid leg they come to 3.50 and 2.50, and a 1% relative move gives +3.50% and -2.50%. The received-leg lever less the paid-leg lever is exactly 1, the notional lever, because the difference between the rates divided by the differential is 1.

On each field's own step the picture changes sharply, because the rate steps are fine and the term step is not. A tenth of a point on either rate moves the result 5.00%, one step of the notional slider moves it 1.00%, and one more year moves it 20.00%. The narrower the differential, the larger the two rate levers become, growing without limit as it approaches zero while the notional and term levers stay at 1.

The formula behind this

Net cash flow = notional × (received rate - paid rate) × years.

Where this fits in planning

This is a "what-if" tool, not a forecast. It helps to test ideas: what happens to the result as the Notional Amount or the Leg A Rate % changes. Running several sets of figures shows how sensitive the result is to each input; a single set does not.

What this doesn't capture

This is a simplified model that holds its assumptions constant. Real outcomes vary with market conditions, costs, taxes, and timing, so the figure is best read as one scenario rather than a forecast.