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Quanto Swap

An interest rate swap where payments are based on the movement of two countries’ interest rates. Though two different currencies are involved, payments are settled in the same currency.

Quanto swaps may be broken down into two general sub-categories. One category called fixed for quanto swaps, involves swaps where one party pays a fixed rate while the other party pays the variable quanto rate. The other category called floating for quanto swaps, is one where one party pays a regular floating rate (e.g. LIBOR) while the other pays the variable quanto rate.


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