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Differential Swap

A swap in which a counterparty swaps floating payments referenced to an interest rate of one currency into floating payments referenced to an interest rate of another currency. The principal for both payments, however, is in one currency. The differential swap is therefore a strip of forward rate agreements and the pricing characteristics are similar to a fixed-fixed cross-currency swap, and a premium will be payable either up front or as a spread on the floating rate. Also known as cross index basis swap.


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