I've been looking at US bank loans and would like to convert the spread that has been quoted to another currency. And I'm not quite sure how this can be done.

Say I'm a £ investor and have invested in a 5yr us bank loan paying '3 month $ libor + 100bps'. I'd like to convert this to its equivalent in £ terms. So to get '3 month £ libor + Xbps'

I'd like to figure out what X would be in this case.

I've been told that I would need a cross currency basis swap curve.

I'm just not sure - would anyone be able to help please?


You need to compute the GBP leg margin $x$ for a 5Y constant notional cross currency swap that pays GBP Libor + $x$ vs USD Libor + 100 bps. If you have access to Bloomberg you can use the SWPM page to do that.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.