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Quantitative Finance · Begrippenlijst

Wat is Basis funding trade?

Definition 14.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 14 — Cross-Currency Basis and FX Carry

A basis funding trade lends dollars through FX swaps (receiving the other currency and paying it back forward) when the cross-currency basis makes that route pay more than lending dollars directly, earning minus the basis less the cost of the balance sheet the position uses.

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