Definition
A contractual agreement with a counterparty to exchange cash flows representing streams of periodic interest payments in one currency.
Further information
This is a derivative instrument in which one party typically pays a fixed interest rate, while the other pays a variable interest rate, such as Euribor. This financial instrument is used to mitigate risks arising from interest rate fluctuations in the market or to speculate on future movements of interest r ates.
Benchmark rates applicable when calculating market value to compensate for interest rate risk
Links to data tables
Update date: May 2025
