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Basis swap
An interest rate swap where each counterparty agrees to pay interest calculated on the basis of a floating rate index to receive interest calculated on the basis of another floating rate index, for example the LIBOR rate versus the average rate of return on Treasury bills or banker's acceptances.
Other terms such as floating-floating interest rate swap, floating-to-floating interest rate swap and floating-to-floating rate swap are sometimes used to designate a basis swap.
Translations
Synonyms and variations
- Basis rate swap
- Floating-floating interest rate swap
- Floating-floating swap
- Floating-for-floating swap
- Floating-to-floating interest rate swap
- Floating-to-floating rate swap
- Floating-to-floating swap