Conversion Factor Cross Currency Swap

Moriaben · December 21st, 2011, 11:30 am

Hello,In Bloomberg I can find cross currency basis swap (ex: SKEBS5 Curncy that is 3m EUR floating to 3m to SEK floating). If the EUR level is flat, it works fine (ie: 3m Euribor = 3m Stibor + basis). But if the EUR level is not flat (ie 3m Euribor + 500bps), then the SEK equivalent is not 3m Stibor + 500bps + basisI am looking for a simple way to calculate the equivalent SEK margin if the EUR is not flat. Can be approximative...Thank you for your help.Benjamin

freddiemac · December 22nd, 2011, 8:35 pm

CCY are always quoted with one currency flat ie a spread is only added to one of the legs. In this case the EUR leg is always Euribor with no spread added. HTH