In short, FX swap entails no currency risk because no future FX rate enters the PnL formula. Currency risk, or FX risk, refers to the uncertainty/hazard of exchange rate movement during a “holding period”, when we have an “exposure”.
For a longer explanation, let’s start with a simple spot FX transaction. As soon as we convert to or from our account currency (HKD for example), we have an open (long or short) position in some silver – I treat any other currency as a commodity. Price movement in silver causes paper gain or loss. If the notional is large, then I lose sleep, until I close the position and have everything in my home currency again.
In terms of FX risk, a forward outright is different from a spot trade only logistically. As soon as we agree on a price and execute, I take on an open position and open exposure, way before the settlement date.
(In terms of credit risk however, the outright differs substantially from the spot trade.)
The simplest no-position scenario is the fixed-fixed cross-currency swap. On near date, we exchange principals – say HKD 7m vs USD 1m. On far date, we return each other the exact same amounts, not a single cent different. In between, all the pre-agreed interest payments are exchanged too, where one interest rate can be many times higher than the other. No FX risk on the principal amount.
Finally we come to the more important instrument – FX swap. It doesn’t create any open position. On trade date counterparties agree on the two exchange rates, leaving no uncertainty or exposure to the market.