Cross-border corridor FX forward & swap-points calculator

Cross-border payment institutions and remittance treasuries lock in T+2 to T+90 corridor rates using wholesale FX forwards. This calculator derives covered-interest-parity forward rates and swap points from base and quote corridor money-market benchmarks.

Forward rate

1.08836

Forward points: 33.6 pips; Base trades at a forward premium
Annualised premium / discount: 1.240%

1. 基礎数式およびプライシング恒等式

F_corridor = S × (1 + r_quote × d ÷ Basis_quote) ÷ (1 + r_base × d ÷ Basis_base)

Swap points (pips) = (F_corridor − S) × PipFactor

2. 入力パラメータと使用方法

Enter the wholesale interbank spot rate, the funding rate of the origin currency, the funding rate of the destination currency, and the settlement tenor in days.

Select the day-count basis (ACT/360 for USD/EUR corridors; ACT/365 for GBP/CAD/AUD/SGD corridors).

3. 前提条件およびモデルの限界

Uses money-market simple interest across settlement tenors up to 365 days.
Excludes bilateral Nostro credit spreads and onshore NDF convertibility premia.

4. よくある質問とリスク管理解説（FAQ）

Why do remittance treasuries pay or earn forward points?

When a payment institution hedges a delayed payout in a higher-yielding currency, the interest differential is embedded in the forward points rather than paid as a separate coupon.

Which corridors use ACT/365 instead of ACT/360?

Sterling (GBP), Canadian dollar (CAD), Australian dollar (AUD), Singapore dollar (SGD) and Hong Kong dollar (HKD) money markets accrue on an ACT/365 basis.

「Cross-border corridor FX forward & swap-points calculator」の計算結果を機関リスク管理フローでどのように検証できますか？

PayClear Ledger は本ページにすべての数式と日数基準を明記しています。リスク管理チームは同一の入力値をPython/Pandas等で独自に再現でき、さらに PayClear Ledger のライセンス検証センターで取引先法人の規制ステータスを確認できます。

免責事項：本ツールは教育および定量リサーチのみを目的としており、投資助言ではありません。計算結果は入力値と上記の前提条件に依存するため、重要な数値は独自に検証してください。