The party in a swap that receives fixed-rate payments will always have zero basis risk since the fixed-rate swap payments can be structured to cover the fixed-rate liability payments.

Question

Quizplus · Accepted Answer

Basis risk can still exist because the fixed-rate payments received in the swap might not perfectly match the timing or amount of the fixed-rate liability payments, leading to potential mismatches.

The Party in a Swap That Receives Fixed-Rate Payments Will