Search results
Results from the WOW.Com Content Network
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.
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.
Download as PDF; Printable version; In other projects ... Basis swap; Bootstrapping (finance) C. ... Cross currency swap; CS01; Currency swap; D.
A cross-currency basis swap (CCBS) sees parties exchange interest rate payments in two different currencies and is often used by traders swapping liabilities to the desired currency.
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.
Get AOL Mail for FREE! Manage your email like never before with travel, photo & document views. Personalize your inbox with themes & tabs. You've Got Mail!