Basis Swap

What is Basis Swap?

Basis Swap meaning A swap whose cash settlement price is calculated based on the basis between a futures contract (e.g., natural gas) and the spot price of the underlying commodity or a closely related commodity (e.g., natural gas at a location other than the futures delivery location) on a specified date.

 

reference: U.S. COMMODITY FUTURES TRADING COMMISSION – CFTC Glossary

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