Let’a Say i’m Trading a 1bln € EUR-USD fixed-fixed cross currency starting in 3M. My USD notional is fixed at today’s spot. Two cases: - back and front notional exchange. -Only front notional exchange.

How do their prices compare?



A standard XCCY minus an “XCCY without back notional exchange” is a currency forward struck at today’s spot. The difference will be positive or negative depending on how the forward FX compares to the spot.

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  • $\begingroup$ Just for my information, do these things really trade ("XCCY with front but without back notional exchange") in the marketplace ? $\endgroup$ – Alex C Oct 1 '18 at 14:57
  • $\begingroup$ I don't think they do. $\endgroup$ – Antoine Conze Oct 2 '18 at 6:36
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    $\begingroup$ You could look at this as a XCCY swap + an offsetting long dated fwd FX (which don't trade), or as an IBOR leg only swap (which also dont really trade) + a spot FX $\endgroup$ – Attack68 Oct 31 '18 at 19:07

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