Bulletin – June Quarter 2013 Description for Figure 1 in article: OTC Derivatives Reforms and the Australian Cross-currency Swap Market

This figure depicts the cash flows associated with a stylised cross-currency swap. Counterparty ‘A’ swaps US dollar principal for Australian dollar principal (calculated at the spot exchange rate) with Counterparty ‘B’. Each quarter, counterparty ‘A’ exchanges Australian dollar BBSW plus the basis for US dollar LIBOR. At maturity counterparty ‘A’ receives the US dollar principal from Counterparty ‘B’ and pays the initial Australian dollar principal (calculated at the initial exchange rate).

[End description.]

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