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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.
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.
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.
Download QR code; Print/export ... Basis swap; Bootstrapping (finance) C. ... Cross currency swap; CS01; Currency swap; D. Day count convention;
Swaps users had a scare in September, when the U.S. Federal Reserve had to pump cash into markets as rates in the $2.2 trillion U.S. "repo" market spiked and spilled into FX swap markets, sending ...
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.