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Differential 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.

Other terms such as interest rate index swap, cross index basis swap, CRIB swap and currency protected swap (CUPS) are sometimes used to designate a commodity exchange.

Translations

Synonyms and variations

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

See also