EUR-USD swap quote

CFA Level III Derivatives
#1

Hi all.

Background: US company needs to borrow GBP 30m by borrowing USD in home country by USD36m and then swap the USD36m to GPB 30m. The EUR-USD Swap is quoted at -15 basis point and the swap is a four -year semi annual swap where both USD and GBP reference rate are based on six month LIBOR.

i am quite confused about the term “EUR-USD swap”. What does it mean? I cant distinguish this -15 basis point should be related to GBP interest on swap payment or USD interest swap receipt? Why EUR matters in this question?

Thanks a lot for your great help!!!

#2

You have USD, GBP, and EUR.

I suspect that you really want only two of those.

Please edit your original post, or post a revised version that has only two currencies.

#3

The question is extracted from the book. I am thinking whether the EUR-USD swap means Eurodollar swap.