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Topic: Basis swaps

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	Complex Swaps Page
		Basis swaps can be created from two interest rate swaps in which the two fixed legs cancel out between counterparties and the two floating legs are as required.
		Swaps are actively traded and are generally quoted on a yield basis, that yield being the yield to maturity that equates the present value of the fixed side to that of the floating side.
		A swap in which the counterparty moves up or down the yield curve twice in the same swap, yield curve swaps are a type of basis swap in which a shorter-term floating-rate index is swapped for a longer-term floating-rate index.
	www.montegodata.co.uk /Educate/ComplexSwaps9.htm (5307 words)

	[No title]
		While basis swaps have been available as OTC instruments for a number of years, there is often a measure of illiquidity in OTC markets, and it may not be easy to find a counterparty when it is time to unwind the hedge.
		Basis swaps may play many roles in a companys trading portfolio depending on the type of business the entity is engaged in and the types of transactions in which the company is engaged.
		OTC basis swaps may be purchased from a counterparty willing to enter into the term or the generator may elect to purchase the entire amount in a more liquid forward market as a so-called dirty hedge to the basis in the outer years.
	www.nymex.com /speech_articl.aspx?id=ans20020105 (2051 words)

	Blackstone Energy Services
		Basis risk is the risk that the value of a futures contract (or an OTC contract) that does not move in line with that of the underlying exposure.
		Basis swaps are used to hedge exposure to basis risk, such as location risk or time exposure risk.
		A swap in which the floating leg is based on the returns on a basket of underlying commodities.
	www.blackstoneenergy.com /bglossary.html (855 words)

	Basis Swap
		Basis swaps are less common outside the United States where there are fewer floating indexes to swap between.
		Basis swaps are quoted as a spread over one of the indexes with the other index paid "flat." Generally, if 3-month Libor is one of the indexes, the spread is added to the other side.
		Cross currency basis swaps are used primarily for swapping liquidity.
	www.riskglossary.com /articles/basis_swap.htm (522 words)

	Interest Rate Swap
		A swap is a cash-settled OTC derivative under which two counterparties exchange two streams of cash flows.
		The most popular interest rate swaps are fixed-for-floating swaps under which cash flows of a fixed rate loan are exchanged for those of a floating rate loan.
		The swap curve is a yield curve comprising swap rates for different maturities of swap.
	www.riskglossary.com /articles/interest_rate_swap.htm (932 words)

	Swap (finance) - Wikipedia, the free encyclopedia
		Swaps are often used to hedge certain risks, for instance interest rate risk.
		A total return swap is a swap in which party A pays the total return of an asset, and party B makes periodic interest payments.
		Initially, the terms of a swap contract are such that the NPV of all future cash flows is equal to zero.
	en.wikipedia.org /wiki/Swaps (923 words)

	Basis swap - Wikipedia, the free encyclopedia
		A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments denominated in the same currency.
		A floating-floating interest rate swap under which the floating rate payments is referenced to different bases.
		There is also a cross-currency basis swap where 2 reference indeces are coming from different currency markets.
	en.wikipedia.org /wiki/Basis_swap (121 words)

	Re: BASIS SWAPS
		A basis swap is a floating-floating swap, so a Libor-Libor 6'1' pays 6-month Libor vs. 1-month Libor.
		Therefore, on the surface, we would expect the basis swaps to be quoted ABOVE the Libor fixings.
		Translating this back to our basis swap, it means that either the swap will be quoted as 1-month Libor plus a positive spread vs. 6-month Libor flat or (as in your case) as 1-month Libor flat vs. 6-month Libor plus a negative spread.
	www.contingencyanalysis.com /archive/archive02_4/000005a2.htm (284 words)

	Platts
		The extendable swap is constructed on the same principle as the double-up swap, except that instead of doubling the swap, the provider has the right to extend the swap, at the end of the agreed period, for a further predetermined period (Source: Risk Publications)
		In this type of swap, a premium is built into the swap price to fund the purchase of options or to allow for the restructuring of a hedge portfolio.
		By means of a pre-paid swap, the fixed payments that form one side of the cash-flows generated by a standard swap, and which are normally paid over the life of the swap, arc discounted hack to their net pre-sent value and paid as an immediate cash sum to one of the swap counterparties.
	www.platts.com /Oil/Resources/Glossaries/derivativesglossary.html (1284 words)

	Applied Derivatives Trading - Beginners Guide: Interest Rate Swaps (IRS) (Site not responding. Last check: 2007-10-28)
		Floating against floating, known as "basis" swaps, which involve the exchange of two different types of floating rate, an example of which might be 6 month LIBOR against 1 month Commercial Paper rates.
		Amortising swaps are ones where the notional principal amount on which the interest calculations are based decreases according to a pre-determined schedule.
		Accreting swaps are similar, except that the notional principal amount increases according to a pre-determined schedule.
	www.trinity.edu /rjensen/acct5341/speakers/ADTcross.htm (2047 words)

	South West Adult Placement Scheme - SWAPS
		The role of SWAPS is to support and enable the provider to provide high quality care and support to the service user we place with them.
		SWAPS, in agreement with the four purchasing authorities, will be introducing banding levels which describe four levels of care and support needs, each of which have a fixed payment per week attached to them.
		On a quarterly basis SWAPS invoices the purchasing authority for a support grant to cover the difference between the service user’s contribution and the banding level payment.
	www.swaps.org.uk /care_mgr_info.html (636 words)

	basis swap (via CobWeb/3.1 planetlab1.cs.wisc.edu) (Site not responding. Last check: 2007-10-28)
		A basis swap is the exchange of one type of rate index for another.
		A basis swap can also involve swapping the base currency, such as swapping the base price of a commodity in US dollars for the base price in Japanese yen.
		Basis swapping is used in the energy industry as a technique for managing price fluctuations, most commonly fuel prices which may vary from market to market or country to country.
	www.energyvortex.com.cob-web.org:8888 /energydictionary/basis_swap.html (111 words)

	Futures Industry Association \| FI Magazine Home
		The basis swaps represent the differential between Henry Hub gas futures and physical market centers around the country, which are connected by a number of pipeline networks.
		For example, the MichCon basis swap is derived from an index measuring prices for gas delivered to Michigan Consolidated Gas Co., a natural gas utility that serves 1.2 million customers in Michigan and delivers more than 600 billion cubic feet of gas per year to customers across North America.
		Similarly, the Transco Zone 3 basis swap is derived from an index of gas prices in Transco Zone 3, a major pooling point in eastern Louisiana from which a number of interconnecting pipelines feed gas to major markets on the Eastern Seaboard.
	www.futuresindustry.org /fimagazi-1929.asp?a=1011 (1189 words)

	FASB: Cash Flow Hedges: Need to Consider Possibility of Default by the Counterparty to the Hedging Derivative
		Both at inception of the hedge and on an ongoing basis, the hedging relationship is expected to be highly effective in achieving offsetting cash flows attributable to the hedged risk during the term of the hedge, except as indicated in paragraph 28(d) below.
		For an entity to conclude on an ongoing basis that the hedging relationship is expected to be highly effective in achieving offsetting changes in cash flows, the entity cannot ignore whether it will collect the payments it would be owed under the contractual provisions of the derivative.
		Implicit in the criteria for the shortcut method is the requirement that a basis exists for concluding on an ongoing basis that the hedging relationship is expected to be highly effective in achieving offsetting changes in fair values or cash flows.
	www.fasb.org /derivatives/issueg10.shtml (523 words)

	Bob Jensen's Document on Interest Rate Swap Valuation, Forward Rate Derivation, and Yield Curves (Site not responding. Last check: 2007-10-28)
		A basis swap (or yield curve swap) is an exchange of interest rates at two different points along the yield curve.
		Basis swaps are discussed in Paragraph 28d on Page 19, Paragraph 161 on Page 84, and Paragraphs 391-395 on Pages 178-179 of FAS 133.
		The swap values at the reset dates in the table on page 75 are the present values of future expected swap cash flows that are discounted at rates in the unknown yield curves.
	www.trinity.edu /rjensen/acct5341/speakers/133swapvalue.htm (5481 words)

	Re: Cross Currency Basis Swaps
		Using as an example the 10yr Usd/Jpy basis swap which is now trading at Jpy 3m Libor -18 against Usd 3m Libor flat.
		The basis curve, to some extent, prices in the fact that this provision of liquidity is not going to be sustained in the long-term.
		Banks' basis swap positions built up and were generally warehoused.
	www.contingencyanalysis.com /archive/archive00-4/00000c12.htm (362 words)

	Basis Swaps Valuation
		As both streams are floating rate and therefore are relatively insensitive to changes in market interest rates, the streams have low NPV (net present values) and so basis swaps typically have minimal valuations (although different payment frequencies can lead to accrued interest balances).
		Cross Currency Basis Swaps involve exchanging floating rate streams of different currencies These types of basis swaps are far more common as there is an intrinsic value to the swaps.
		The swaps can either have an exchange of notional on maturity or no exchange of notional, exchanging the notional on the maturity of the swap is the most common form as the swap is used to hedge an offsetting loan/investment which will be repaid on the maturity of the swap.
	www.derivativesone.com /kb/basis_swaps.aspx (150 words)

	Basis Swap (via CobWeb/3.1 planetlab1.cs.wisc.edu) (Site not responding. Last check: 2007-10-28)
		Basis Risk refers to the risk of having assets or liabilities denominated in a different "basis" than that of any benchmark.
		Basis Swap pricing is dependant primarily on the relative implied forward yields for the two indices in question (see Implied Forwards).
		The Basis Swap family is a wide one and therefore suitable to a wide range of users as valuable tool in converting floating rate exposure from one basis to another.
	www.ciberconta.unizar.es.cob-web.org:8888 /bolsa/basis.htm (504 words)

	Interest Rate Swaps Gain Traction in Muni Market (Site not responding. Last check: 2007-10-28)
		Floating-to-fixed rate swaps are the most frequently used of the “synthetic” (or synthetic floating rate debt) derivatives, although fixed-to-floating rate swaps and floating-to-floating rate swaps are also in use to a lesser extent.
		In an interest rate swap, two counterparties enter into a contractual arrangement whereby each agrees to make periodic payments to the other over a period of time based upon an agreed to notional amount, with payment streams pegged to different indexes.
		Also infiltrating the municipal derivatives arena are Basis Swaps which are swap agreements based upon the trading differences between taxable interest rates and tax-exempt interest rates and is used to reduce the risk of potential changes in tax laws that could reduce state tax revenue levels.
	www.fenews.com /fen49/one_time_articles/muni-swaps/muni-swaps.html (1411 words)

	Basis Rate Swap financial definition of Basis Rate Swap. Basis Rate Swap finance term by the Free Online Dictionary. ... (Site not responding. Last check: 2007-10-28)
		A type of swap in which two parties swap variable interest rates based on different money markets.
		By entering into a basis rate swap, where they exchange the T-Bill rate for the LIBOR rate, they eliminate this interest-rate risk.
		This information should not be considered complete, up to date, and is not intended to be used in place of a visit, consultation, or advice of a legal, medical, or any other professional.
	financial-dictionary.thefreedictionary.com.cob-web.org:8888 /Basis+Rate+Swap (196 words)

	Pricing and Hedging Swaps - Market Research Reports - Business Market Research Reports
		Chapters describe pricing methods, swap valuation, dealing with interest rate exposure, developing trading strategies and their application in portfolio management.
		Pricing and Hedging Swaps explains both the basic and advanced principles of pricing swaps and their hedge applications.
		This detailed work examines the instruments used to hedge swaps and the workings of their markets and pricing, while illustrating how many of them are interrelated.
	www.bharatbook.com /detail.asp?id=2621 (316 words)

	[No title]
		The swap calculator is sufficiently flexible to accommodate plain vanilla, amortizing, accreting and roller-coaster swaps.
		Effective Date: This is the date from which the loan conversion or swap will become effective, i.e., the date from which interest accruals will be calculated on the basis of the changed currency and interest rate basis, as applicable.
		Basis swap cost is a cost that is incurred whenever a basis currency swap or a cross-currency swap is executed.
	treasury.worldbank.org /web/doc/usermanual.doc (2728 words)

	Natural Gas
		Basis Swaps / Fixed Price Pipeline Swaps: The derivatives are brokered using natural gas locations across the US and Canada.
		Trader primarily focus on basis swaps in which counterparties agree on the differential to the NYMEX natural gas contract for a specific trading point location.
		They are options based on either the natural gas basis for a particular location or a fixed price for that location.
	www.think-energy.net /naturalgas.htm (532 words)

	Bank of America \| Annual Report (2004) \| Table IV Asset and Liability Management Interest Rate and Foreign Exchange ... (Site not responding. Last check: 2007-10-28)
		At December 31, 2004, $39.9 billion of the receive fixed interest rate swap notional and $75.9 billion of the pay fixed interest swap notional represented forward starting swaps that will not be effective until their respective contractual start dates.
		At December 31, 2003, $14.2 billion of the receive fixed interest rate swap notional and $114.5 billion of the pay fixed interest rate swap notional represented forward starting swaps that will not be effective until their respective contractual start dates.
		As of December 31, 2003, a gain of $238 million was included in Accumulated OCI, a gain of $631 million was primarily included as a basis adjustment of Long-term Debt, and a loss of $30 million was included as a basis adjustment to mortgage loans.
	www.bankofamerica.com /annualreport/2004/backmatter/sfi/sfi_4.cfm (374 words)

	FDIC: Law, Regulations, Related Acts - Rules and Regulations
		(f) No potential future exposure is calculated for single currency interest rate swaps in which payments are made based upon two floating rate indices (so called floating/floating or basis swaps); the credit exposure on these contracts is evaluated solely on the basis of their mark-to-market values.
		On a case-by-case basis or as a matter of policy after formal consideration of relevant issues.
		No potential exposure is calculated for single currency interest rate contracts on which payments are made based on two floating rate indices (floating/floating or basis swaps); the credit exposure on these contracts is evaluated solely on the basis of their mark-to-market values.
	www.fdic.gov /regulations/laws/rules/2000-4650.html (3814 words)

	FX Week
		Tullett’s benchmark US dollar swaps information was removed from Moneyline Telerate’s page 19901 on September 20.
		The SwapMarkerEurope service provides data on interest rate swaps and asset spreads for Germany, France, Italy and the UK, and asset and basis swap information for Denmark, Sweden, Norway and Switzerland.
		It also has information on swap spreads, basis swaps, bond yields, gross basis, repo rates, Euribor fixings and spot forex.
	www.fxweek.com /public/showPage.html?page=fx_story_client_w02_bsf6 (372 words)

	Understanding Energy/Electricity Futures, Options, & Derivatives
		What basis risk is, and how it can destroy your hedging program.
		How futures contracts, swaps and physical energy contracts are traded, and how the NYMEX, energy brokers and electronic exchanges operate.
		The fundamentals of fixed-for-floating swaps, basis swaps, exchange indexed swaps, and contracts-for-differences
	www.pgsenergy.com /foeefod.html (1141 words)

	Princeton Financial Systems: Portfolio Management and Accounting Solutions
		Forwards can be set up by accounting basis and forward type.
		PAM supports interest rate swaps, currency swaps, and basis swaps.
		Fees can be entered on either side of the swap.
	www.pfs.com /solutions/stp/accounting/derProcess.asp (167 words)

	FEA - @INTEREST - Features
		The risk measures include delta and gamma for a user-defined parallel yield curve shift, theta for a one-day shift, vega for both the short-rate volatility and the mean-reversion rate, cash flow maps, and bucket deltas.
		You can customize many aspects of the calculations, including the settlement of money market and swap rates, interpolation on rates or prices, futures prices to forward rates convexity adjustment, swap rate compounding frequency and day-count basis, stub rate interpolation, curve smoothing using cubic splines, and compounding frequency of interpolated rates.
		You can specify principal amortization schedules for bond sinking funds and roller-coaster swaps, coupon schedules for step-up and step-down coupon bonds and swaps, and option strike schedules for variable-strike bond call schedules, swap option schedules, and step-up and step-down caps and floors.
	www.barra.com /products/interest/features.asp (338 words)

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