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Cross-currency basis swap
A cross-currency swap whose financial flows are calculated in their respective currencies for each leg, on the basis of agreed floating rate indexes, for example LIBOR for one, and the average rate of return on Canadian banker's acceptances for the other.
A cross-currency basis swap is essentially a combination of a foreign exchange swap and a basis swap.
Synonyms and variations
- Cross-currency floating-to-floating swap
- Currency basis swap
- Floating-to-floating currency swap