Basis Swaps

Also known as a Floating/Floating Swap
These are always Floating for Floating


A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments.
These can be in the same currency or in different currencies
The most common examples are in the same currency for example:
swapping LIBOR for Commercial Paper or Prime Treasury Bills
swapping 90 day LIBOR for 180 day Dollar LIBOR
When the swap is in the same currency the notional does not change hands.



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