Terms Beginning With 'q'

Quanto Swap

  • January 17, 2020
  • Team Kalkine

A cross-currency, cash-settled interest rate swap in which the payments are conducted on the basis of interest-rate movements between the two countries, is referred to as quanto swap. Although quanto swap involves two different currencies, payments are settled down in the same currency. It can be broken down into two categories – fixed and floating quanto swaps.

In case of fixed quanto swaps, one party pays the fixed rate while the other pays the variable quanto rate; however, the floating quanto swaps involves payment of regular floating rate by one party and variable quanto rate by the other.

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