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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 ...
Cross-currency swaps are an integral component in modern financial markets as they are the bridge needed for assessment of yields on a standardised USD basis. For this reason they are also used as the construction tool in creating collateralized discount curves for valuing a future cashflow in a given currency but collateralized with another ...
Three-month euro/dollar cross currency basis swap spreads jumped to -49 basis points, their highest since March 2020, when the pandemic forced the near-complete shutdown of all economic activity ...
Three-month euro/dollar cross-currency basis swap spreads rose as high as 120 basis points - its widest since late 2011 - before falling back to 39 basis points. FOREX-Dollar surges as companies ...
The cross-currency basis swap, or relative premium for swapping euro and yen for dollars, has widened since last week due in part to year-end related demand for the U.S. currency to square up ...
Examples of linear IRDs are; interest rate swaps (IRSs), forward rate agreements (FRAs), zero coupon swaps (ZCSs), cross-currency basis swaps (XCSs) and single currency basis swaps (SBSs). Non-linear IRDs form the set of remaining products.
Spreads on three-month euro-dollar cross-currency basis swaps were at the widest since since December 2020 at around minus 27 basis points, implying that non-U.S. borrowers are prepared to pay ...
A currency swap involves exchanging principal and fixed rate interest payments on a loan in one currency for principal and fixed rate interest payments on an equal loan in another currency. Just like interest rate swaps, the currency swaps are also motivated by comparative advantage. Currency swaps entail swapping both principal and interest ...