Basis Swap


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Basis Swap

An interest rate swap in which both legs (the interest rates that are swapped) are both floating rates. The floating rates are calculated over different bases; for example, one might be linked the LIBOR and the other to the fed funds rate. A basis swap is used to help a company hedge against its basis risk.
References in periodicals archive ?
To a lesser extent, five-year basis swap spreads (in essence the cost of hedging against USD movements over five years) have recently risen against the British pound, the euro and the Swiss franc, although they remain well below the highs during the euro crisis of 2011-12.
To a lesser extent, five-year basis swap spreads (in essence the cost of hedging against dollar movements over five years) have recently risen against the British pound, the euro and the Swiss franc, although they remain well below the highs during the euro crisis of 2011-12.
BGC offers its customers the ability to roll their future exposure into the liquid NDF one month market via a Basis Swap Instrument.
Additionally, complicated factors like cross-currency basis swap markets can have a tremendous impact on the ultimate pricing, increasing or decreasing favorability by 50 or even 100-plus basis points per year.
However, the current low interest rate environment means that rates on the euro side of a 3 month basis swap have now moved decisively into negative territory, for the first time ever.
The three-month cross currency basis swap stood at 33.
1256(b)(2) to provide that no "interest rate swap, currency swap, basis swap, interest rate cap, interest rate floor, commodity swap, equity swap, equity index swap, credit default swap, or similar agreement" would be treated as a Sec.
For example, if revenues are based on the prime interest rate but the interest expense that must be paid is a function of London Interbank Offered Rate (LIBOR), and the traditional correlations between these two indices digress, a basis swap will protect the entity from market dislocations.
from which it follows that the fair value in a floating-for-floating basis swap requires one party to make payments determined by the notional principal multiplied by [S.
Guided by brokers dressed up as surgeons in green scrubs and surgical masks on the Basis Swap desk, the future king sold the currency to a client in Amsterdam.
Another type of interest rate swap that has a variety of applications in the municipal derivatives market is a basis swap.
Offering Korean won-denominated bond products will complement BGC's existing foreign exchange, interest rate swap, cross currency swap, forward rate agreement and basis swap brokerage services in Korea.