Interest Rate Swap and Basis Spread (IRS)

The Interest Rate Swap is a transaction where two parties agreed to exchange future interest payments against other based interests.

In most cases in the transaction is swapped fix rate against floating rate, but also floating to floating rate is used.

Data-Bond service includes many currencies and basis curves as-is, but also basis spread information to build more curves to follow different basis.

Our Advanced Rate Service includes ready build curves where basis spreads are taken account automatically to provide more ready-to-use curves.

SWAP 1M basis curves are available e.g.:

• AUD, CHF, EUR, GBP, JPY, USD
  
  

SWAP 3M basis curves are available e.g.:

• AUD, BRL, CAD, CHF, CNH, CZK, DKK, EUR, GBP, JPY, KRW, MYR, NOK, PHP, PLN, RMB, RON, SEK, TRY, USD, ZAR
  
  

SWAP 6M basis curves are available e.g.:

• AUD, CHF, CZK, DKK, EUR, NOK, GBP, HUF, JPY, PLN, USD
  
  

Basis Spread Information are available e.g.:

• CAD (1M vs 3M)
  
  

• EUR (6M VS 12M)
  
  

• JPY (TIBOR VS LIBOR)
  
  

• USD (3M vs 12M, T-Bills vs LIBOR,…)
  
  

Notice that All rates are unbiased and non-position influenced