A
AcadiFi
CC
CFA_Candidate_20262026-04-13
cfaLevel IIFixed Income

What is a cross-currency basis swap and why does the basis deviate from zero?

In theory, covered interest rate parity should hold and the cross-currency basis should be zero. But it's often significantly negative for USD. Why, and what does it mean for international investors?

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A cross-currency basis swap exchanges floating-rate cash flows in two different currencies, with principal exchanged at ...

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