Basis Rate Swap
Basis Rate Swap
An interest rate swap where both legs are variable interest rates calculated over the same notional value. For example, one interest rate may be LIBOR + 0.50%, and the other may be the yield on a 10-year Treasury note. A basis rate swap helps the counterparties hedge against their respective interest rate risks.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved