Basis swap

From MarketsWiki
Jump to: navigation, search
RCG Banner-Ad Leadership 300x60.png

A basis swap is a floating-floating interest rate swap. It is intended to eliminate basis risk. For example, a swap of 1-month USD Libor for 6-month USD Libor. Such a swap can be used to customize exposures to specific points on the yield curve. Basis swaps are most commonly between two floating indexes from different segments of the money market. A bank that lends at prime but finances itself at Libor would be a natural user of a prime-Libor basis swap.[1]


  1. Basis Swap.