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Currency Annuity Swap

A variation on a plain vanilla swap which comes with a key feature that sets it apart. In currency annuity swaps, the exchange of principal amount doesn’t take place at the initiation or termination of the swap. Instead, one counterparty could make, for example, floating rate payments based on a 3-month Euribor while the other makes floating rate payments based on a 3-month dollar LIBOR. By this, one party pays an additional spread amount to the other or makes an upfront payment at initiation.


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