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Yield Curve Arbitrage Swap

A basis swap in which the reference rates on which are based the two interest payment legs are set at...

Yield Curve Swap

A basis swap in which both parties pay a floating rate, but based on two different indexes. For example, one...

Swap Differential Agreement

An interest rate basis swap which entails the exchange or locking in of the spread between a bond or note...

SDA

It stands for swap differential agreement; an interest rate basis swap which entails the exchange or locking in of the...

Basis Swap Spread

The swap spread which results from two floating rate indexes (e.g., LIBOR ) in different currencies. This occurs when a...

Basis Rate Swap

An interest rate swap whereby two floating rate payments in the same or different currencies are exchanged. A premium or...

Cross-Currency Cross-Index Basis Swap

A cross-currency swap in which one party pays a floating rate (LIBOR) denominated in a base currency, while the other...

Cross Index Basis Swap

A swap to whose underlying interest rate index (usually LIBOR) the so-called quantization techniques are applied. In other words, this...

Crack Spread Swap

A commodity swap which allows a refiner to hedge against a narrowing spread between crude oil prices and the prices...

Crack Swap

A commodity swap that calls for the payment of the spread between crude oil and a specific basket of "cracked"...