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Currency protected swap

A swap whose notional is denominated in one currency while the interest payments of one of the counterparties, settled in the same currency, are established based on another reference currency.

Synonyms and variations

  • CRIB swap
  • Cross index basis swap
  • Cross-rate swap
  • CUPS
  • Diff swap
  • Difference swap
  • Differential swap
  • Interest rate index swap
  • Quanto swap
  • Rate differential swap