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Back-to-Back Swap
(redirected from Back to Back Swap)

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Back-to-Back Swap
A swap that reverses the terms of a previously agreed-upon swap. For example, the fixed rate payer in the first swap becomes the floating rate payer in the second swap. This eliminates the need for the two parties to pay each other, since each owes the other the same amount. It is sometimes used in lieu of simply canceling a swap.


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Should the short-term rating of HVB be upgraded to 'F1', the rating of the CP issued by Bavaria TRR could be upgraded to 'F1+' based on the joint default probability of two 'F1' rated entities providing liquidity and total credit support to the conduit through the above mentioned back to back swaps.
 
 
 
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