rate differential swap

Definitions

Forex

  • A derivative contract involving the exchange of cash flows based on two different interest rate indexes. A rate differential swap will usually have its payment streams denominated in a single major currency, even if one of the interest rate indexes relates to another currency, and this can affect the counterparty's forex risk. also called differential swap or cross index basis swap.

Investing

  • acronymCUPS
http://www.dictionarycentral.com/definition/rate-differential-swap.html