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 rates.
Benchmark rates applicable when calculating market value to compensate for interest rate risk
Links to data tables
Update date: May 2025
