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.
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.
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.
2006), Olivier and Jeffery (2004), Smith (2005), and Cairns (2007) to derive a consistent framework for pricing a wide range of linear survivor derivatives, such as forwards, basis swaps
, forward swaps, and futures.
BU) for medium-term cross-currency basis swaps
for Swiss francs and Hungarian forint, the EBRD said.
Some of the more common examples encountered in practice include interest-rate swaps (exchanging fixed-rate interest payments for variable-rate interest payments or vice versa), basis swaps
(exchanging a variable interest rate based on one index for a variable interest rate based on a different index), and swaptions (the option to participate in an interest-rate swap at some future date).
As defined in the proposed regulations, the term encompases a variety of financial products including interest rate swaps, caps, floors and collars, commodity and basis swaps
, currency swaps, and other financial innovations.