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Interest Rate Swap

The interest rate swap is a derivative financial instrument for the exchange of fixed for floating interest rate, as well as the reverse – floating for fixed interest rate. A swap with fixed rate for floating rate exchange is also called a simple interest rate swap. Interest payments are based on the notional amount included in the interest rate swap agreement, and the parties do not exchange the face value during the term of the agreement. The floating interest rate is calculated on the basis of a reference interest rate index.

The reference interest index can be: Euribor – for transactions in EUR, Libor in USD – for transactions in USD, Libor in CHF – for transactions in CHF.

The frequency of payments depends on the maturity of the reference interest rate. For example, for one-month Euribor or one-month Libor, the frequency is one-month, and for three-month Euribor and three-month Libor, the frequency is three-month.



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Term of IRS transactions: 

Usually, IRS transactions are concluded for a period of up to 10 years.

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Currency: 

The currency of the offered interest rate swap can be EUR, USD or CHF.

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Objectives:  

The interest rate swap is used to hedge interest rate risk.



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