The swap spread which results from two floating rate indexes (e.g., LIBOR ) in different currencies. This occurs when a swap has two floating rates (i.e., a basis swap) each denominated in a different currency. For example, the two floating rates could be the USD LIBOR and the JPY LIBOR. In a sense, the basis swap spread reflects a blended credit premium (the basis points associated with the better quality between the two LIBOR rates in question).
It is also known as cross-currency basis swap spread.
