Performance scenarios of a deal based on Swaps
Performance scenarios of a deal based on Swaps
PERFORMANCE SCENARIOS of a deal based on Swaps: FX Swap on EURUSD.
| Abbreviation | Value | |
| Settlement: | Spot/6 months | |
| Price (€): | P | 1.1800 |
| Trade size: | TS | 1,000,000€ |
| Margin %: | M | 20% |
| Leverage: | L | 1:5 |
| Margin Requirement ($): | MR = P x TS x M | 200,000€ |
| LONG EURUSD | Price change | Close Price in 6 months | P&L (in $) |
| Favourable | 2% | 1.2036 | 19,607 |
| Moderate | 0.5% | 1.1859 | 4,974 |
| Unfavourable | -2% | 1.1564 | -20,408 |
| Stress | -10% | 1.0620 | -111,111 |
To note that the example above outlines an FX swap instead of a cross currency swap. That said, no principals exchange hands and no interest payments are paid or received during the term of the swap.
For a SHORT EURUSD FX SWAP position, the outcomes are exactly the opposite of the ones depicted above.
Please be informed that the PnL will be always calculated in your trading Account’ currency.
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2022-04-21 • Updated
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