Swap rate ([currency] forward margin, swap point)

The difference between the spot rate and the forward rate of a foreign currency, converted to annual percentages. – If the spot rate is higher than the forward rate, the forward currency is traded at a discount. – If the spot rate is lower than the forward rate, the forward currency is traded at a report (premium). – Normal exchange contracts always refer to a period of ninety days. – Difference between the exchange rate of the forward transaction and the exchange rate of the spot transaction in a foreign exchange swap transaction with the central bank. – If the central bank offers to repurchase from the banks the foreign exchange purchased from it at the spot rate at a higher forward rate, this is referred to as a report (premium). If the forward rate is lower than the daily rate, the difference is called a deport (discount). – See discount, deport, foreign exchange market, forward exchange transaction, liquidity swap, matching, nondeliverable forwards, report, sleepy warrant, swap transaction, swap carousel, currency option, currency risk, interest rate differential. – Cf. Monthly Report of the Deutsche Bundesbank of July 2005, p. 29 et seq. (there also formulas for calculating the swap rate), Monthly Report of the ECB of May 2008, p. 98 (gap between deposit rate and swap rate explained).

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