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.
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Subsequent to June 30, 2019, we entered into additional hedges consisting of Crude Oil Swaps on 731 MBbls at a price of $54.47/Bbl for 2020 and 2021, WTI Midland Argus Crude Basis Swaps on 366 MBbls at a price of $0.55/Bbl for 2020 and WTI Midland Argus Crude Basis Swaps on 730 MBbls at a price of $0.85/Bbl for 2021.
Combined with price protection provided by regional basis swaps, oil realizations in the U.S.
HH has three fixed payor swaps and four basis swaps. There are no collateral posting requirements on the swaps, but the counterparty can terminate the swaps if HH's rating falls below 'BB'.
Meanwhile, foreign central banks are holding the line on low interest rates for now, lagging the Fed and widening the yield spread on short-term rates that determine relative hedging costs in currency forwards and cross-currency basis swaps.
There are many types of derivatives that parties may enter into, such as currency swaps, options, equity derivatives, credit derivatives, asset swaps, basis swaps and interest rate swaps.
While the cost of euro/dollar cross currency basis swaps has been rising, "if you look at the potential spread discounts, both investment-grade and high-yield, the spread discounts exceed the cost to swap it into dollars," Larsson said.
Box B Cross currency basis swaps Kauri issuers use cross-currency basis swaps to reduce exchange rate risk by converting the New Zealand dollars they receive at issuance into US dollars or another currency.
28 February 2014 -- US-based options and futures exchange operator CME Group Inc's (NASDAQ: CME) London-based CME Clearing Europe European clearing house unit said that it has received Bank of England approval to add overnight index swaps zero coupon swaps forward rate agreements basis swaps variable notional swaps and SEK DKK and NOK currencies for clearing beginning 3 March to its existing interest rate swap offering.
Highlighting this demand, three-month eurodollar cross currency basis swaps moved into positive territory for the first time since 2008.
Three month euro/dollar cross currency basis swaps , which show funding stress when investors compete for dollars, on Wednesday widened to minus 54 basis points from around minus 46 bps in early May, but far below minus 167.5 marked in November when investors feared another credit crunch.
Initially tpSWAPDEAL, which forms part of Tullett Prebon's rapidly expanding electronic broking services, will support trading in Euro denominated IRS, gap and butterfly strategies, matched maturity futures spreads, and tenor basis swaps.
The most common types of interest rate derivatives include interest rate swaps, interest rate caps, basis swaps, and rate locks.