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Basis Rate Swap
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A swap in which counterparties calculate swap payments relative to different floating rates. One rate may be a very short-term rate, the other an intermediate rate. Differences in credit quality, duration, exchange rates, etc. may be reflected in a premium or discount on one side of the swap. A Treasury/EuroDollar (TED) swap illustrates a credit quality basis rate swap. Also called Basis Swap, Floating-Floating Swap. See Treasury/EuroDollar (TED) Spread.
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