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Rate Differential Swap
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Rate Differential Swap 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 are calculated against the base currency. Also called CRoss-Index Basis (CRIB) Swap, Cross-Rate Swap, CUrrency Protected Swap (CUPS), Diff or Difference Swap, Differential Swap, Interest Rate Index Swap, LIBOR Differential Swap. See Swap, Currency Protected Instrument. See also Interest Rate Swap.
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