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First, look at the FXFA for EURUSD

The EUR and USD Yield & FX swap rate on 10/18/2023 are given as: enter image description here

The computations are shown in this answer.

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The second screenshot is enter image description here

The original question was:

1 - I would like to ask why coupon rates are different from the FXFA screenshot (EUR and USD Yields)?

2 - Where is the cross currency swap basis? Is the premium the cross currency swap basis?

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The amended question looks at the following screenshot from SWPM, which is a EURUSD Cross Currency Swap (1 years)

10/20/2023-10/20/2024 enter image description here

1-How does one calculate the cross currency swap basis SPREAD (-21.311 pips)?

2- Is this the basis spread formula? enter image description here

@AKdemy

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    $\begingroup$ As @AKdemy highlights that is not a mkt standard Xccy swap, becuase it is fixed fixed. What is it you are actually trying to derive? $\endgroup$
    – Attack68
    Oct 16, 2023 at 20:03

1 Answer 1

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Your second screenshot is not a standard XCCY swap because you look at two fixed rates. You cannot expect that to match the FXFA screen in any case because FXFA uses two floating rates, USD yield and EUR yield. What rates you use in FXFA will be visible when you click on either rates column.

To get a market quote for a cross currency swap, you need to load a float float cross currency swap like the template I linked in the comment for your previous question. It's the old logic of using 3m Libor /Euribor rates instead of SOFR/ESTR but the logic is the same.

Generally, as mentioned in the previous answer, you will not get identical results when comparing FXFA to SWPM. If you imply the USD rate in FXFA you use FX OTC quotes and back out an implied rate from covered interest rate parity. The basis is the difference to the risk free rate in this case.

In the SWPM case, you look at market quoted swaps and the basis is the quote itself. E.g. for the standard template you get by using SWPM -FLFL -MTM you have the underlying ticker EUXOQQ5 BGN Curncy. You can also look at quotes on XCCY. Right hand side below is the market quote. LHS is the SWPM template.

enter image description here

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  • $\begingroup$ I renewed the question? Could you look at ? $\endgroup$ Oct 18, 2023 at 8:36

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