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   Cross-Currency CRoss Index Basis Swap (X...
   















 

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Cross-Currency CRoss Index Basis Swap (X- CRIBS)

One party to this swap pays the LIBOR rate in his base currency and the other pays a floating rate based on the same LIBOR rate in a different currency. For example, one party might pay U.S. dollar LIBOR on a notional amount denominated in dollars in exchange for the dollar LIBOR rate plus or minus a spread applied to a notional principal denominated in Deutsche marks. For the party paying a LIBOR-based rate on a Deutsche mark notional principal this swap might reflect a willingness to pay a floating rate set in another currency, combined with a preference to apply that rate to a notional amount in its own currency-as protection against a specific exchange rate risk. Compare to Cross-Currency Basis Swap.

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