2. In the process of trading, if the investor changes the currency with low interest rate into the currency with high interest rate for the first time, it will inevitably give the other party some compensation, and the amount is determined by the interest rate difference between the two currencies. There are two ways to compensate for the transaction: one is the exchange price due; The second is the form of paying the spread separately; Therefore, in China, investors can regard any foreign exchange swap as a combination of two foreign exchange transactions with the same transaction amount, different value dates and opposite trading directions. In this way, a swap foreign exchange transaction has two value dates and two agreed exchange rate levels.
How to control the risk of foreign exchange swap?
1. Reasonable matching swap
It is the same as the securities portfolio. With the continuous expansion of swap assets, the dispersion of swap assets can greatly reduce non-systematic risks, such as credit risk and basis risk, thus controlling the total risk. At the same time, when controlling the swap risk, the bank can also act as the intermediary of multiple swaps, and match the income and payment through the matching of two swaps to achieve the purpose of controlling the risk.
2. Risk hedging
In the process of reasonable matching swap, the residual interest rate risk can be hedged by national debt or interest rate futures.
3. Control credit risk
Credit risk is a kind of non-hedging risk and non-systematic risk, which can be greatly reduced by diversification of assets. Of course, the following measures can also be taken to avoid risks: including "default events" in the swap documents, stipulating that the defaulting party should provide appropriate compensation to the bank; Require the other party to provide collateral, the value of which should be equal to the market risk of the bank, and avoid credit risk by reversing the existing swap.