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A basis swap functions as a floating-floating interest rate swap under which the floating rate payments are referenced to different bases. [ 1 ] [ 2 ] The existence of a basis arises from demand and supply imbalances and where, for example, a basis is due for a borrower seeking dollars, this is indicative of a synthetic dollar interest rate in ...
Non-deliverable Cross-Currency Swap (NDXCS or NDS): similar to a regular XCS, except that payments in one of the currencies are settled in another currency using the prevailing FX spot rate. NDS are usually used in emerging markets where the currency is illiquid, subject to exchange restrictions, or even non-convertible.
If FX spot moves in a correlated fashion with the foreign currency swap rate (that is, foreign currency swap rate increases as FX spot increases), the hedger would need to pay a higher swap rate as FX spot goes up, and receive a lower swap rate as FX spot goes down. This is an example of how the hedger of a PRDC note is short cross gamma.
Download as PDF; Printable version; In other projects ... Basis swap; Bootstrapping (finance) C. ... Cross currency swap; CS01; Currency swap; D.
A currency pair is the quotation of the relative value of a currency unit against the unit of another currency in the foreign exchange market.The currency that is used as the reference is called the counter currency, quote currency, or currency [1] and the currency that is quoted in relation is called the base currency or transaction currency.
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As OTC instruments, interest rate swaps (IRSs) can be customised in a number of ways and can be structured to meet the specific needs of the counterparties. For example: payment dates could be irregular, the notional of the swap could be amortized over time, reset dates (or fixing dates) of the floating rate could be irregular, mandatory break clauses may be inserted into the contract, etc.
Currency of repayment Since the reference rate on the expiry date (2.0017) is less than the strike rate selected by the investor (1.9950), proceeds will be paid in the base currency (SGD) to the investor on the maturity date. Here, the base currency (SGD) has appreciated no greater than the strike rate selected by the investor.