Definition
Basis swap
A swap whose cash settlement price is calculated based on the basis between a futures contract and the spot price of the underlying commodity or a closely related commodity on a specified date.
RELATED TERMS ...
Basis Swap -A swap whose cash settlement price is based on Basis.
Bearish - An opinion that expects a decline in price, either by the general market or by an underlying stock, or both.
Basis swap: A type of swap where one floating rate payment is exchanged for another floating rate payment. For example Libor in USD is exchanged for Libor in GBP. This is an example of a cross currency basis swap.
Basis Swap
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.
The Exchange makes available for trading a series of basis swap futures contracts that are quoted as price differentials between approximately 30 natural gas pricing points and Henry Hub.
 See also: Underlying, Basis, Contract, Swap, Trading
  
|
RSS
