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Home        Knowledge Base        Equity Derivatives and Structured Products Glossary        Basis swap

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Basis swap

Search definitions        Search   Basis swap An Interest rate Basis Swap or a cross-Currency Basis Swap is one in which two streams of floating rate payments are exchanged. Examples of Interest rate Basis swaps include swapping $Libor payments for floating commercial paper, Prime, Treasury bills, or Constant Maturity Treasury rates; this is also known as a floating-floating Swap. A typical cross-Currency Basis Swap exchanges a set of Libor payments in one Currency for a set of Libor payments in another Currency. Posted by  Privatebanking.com     Back     Print     Email

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