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CUrrency Protected Swap (CUPS)
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An interest rate or other swap with one of the payment rates or returns denominated in a currency different than the currency used to state the notional principal amount. Both rates or returns are calculated against the base currency. Also called Cross Index Basis (CRIB) Swap, Cross-Rate Swap, Currency Coupon Swap, Diff or Difference Swap, Differential Swap, Interest Rate Index Swap, LIBOR Differential Swap, Rate Differential Swap.
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