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Investments glossary

Zero Basis Risk Swap (ZEBRA)


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A zero basis risk swap (ZEBRA) is an interest rate swap agreement between a municipality and a financial intermediary. A swap is an agreement with two counterparties, where one party pays the other party a fixed interest rate, and receives a floating rate. This particular swap is considered zero-risk because the municipality receives a floating rate that is equal to the floating rate on their debt obligations.

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