Coupon currency swap Encyclopedia

Coupon currency swap

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The aim of central bank liquidity swaps is "to provide liquidity in U. It is well recognized [4] [5] that traditional "textbook" theory does not price cross currency basis swaps correctly, because it assumes the funding cost in each currency to be equal to its floating rate, thus always giving a zero cross currency spread.

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Credit and funding risks still exist for collateralised trades but to a much lesser extent.