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Business Definition for: basis swap
basis swap

swap agreement involving exchange of two floating rate financial instruments denominated in the same currency, one pegged to one reference rate and the other tied to a second reference rate. Contrast with currency swap and interest rate swap .

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Source: Recent Innovations in International Banking (Bank for International Settlements, 1986).

Copyright c 2006, 2000, 1997, 1993, 1990 by Barron's Educational Series, Inc. Reprinted by arrangement with Publisher.

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