The Law Dictionary

Your Free Online Legal Dictionary • Featuring Black’s Law Dictionary, 2nd Ed.

DIFFERENTIAL SWAP Definition & Legal Meaning

Definition & Citations:

An OVERTHECOUNTER COMPLEX SWAP involving a single currency exchange of floating INTEREST RATE references denominated in two different currencies (e.g., dollar LIBOR versus EURIBOR, payable in dollars). The swap permits an institution to express a view on foreign interest rate movements without assuming currency RISK. Also known as a QUANTO SWAP.

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