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Cross-currency swaps: an in-depth guide for corporates

Learn the use cases, pricing, valuation, and accounting implications

Cross-currency swaps are growing increasingly common within corporate debt capital structures. As you assess whether this complex derivative fits your organization's profile, you may consider factors ranging from trade structuring to accounting treatment.

In this document, we build a foundation of:

  • Defining the product
  • Detailing its various use cases
  • Providing an overview of hedge accounting strategies

From there, we address other detailed and nuanced elements of cross-currency swaps, including:

  • How they are priced and valued
  • Considerations surrounding a final exchange of principal, including the accounting implications.

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Meet the authors

  • Brittany Jervis

    Director
    Accounting Advisory

    Corporates | Kennett Square, PA

  • Kevin Jones

    Director
    Treasury Advisory

    Corporates | Kennett Square, PA

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Disclaimers

Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.

Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.

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