Basis Swap
Basis Swap
Definition: An interest rate swap where both legs are floating, linked to different index tenors. Basis swaps can be on the same index at different tenors e.g. 3 month LIBOR versus 6 month LIBOR; on the same or different tenors on different indexes e.g. 3 month US dollar Libor against US Prime rate.
Definition: An interest rate swap where both legs are floating, linked to different index tenors. Basis swaps can be on the same index at different tenors e.g. 3 month LIBOR versus 6 month LIBOR; on the same or different tenors on different indexes e.g. 3 month US dollar Libor against US Prime rate.
