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Derivatives

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  • March 24, 2022
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CPI-Linked Swap

An interest rate swap (IRS) in which one leg is tied to some inflation index (consumer price index). It enables the holder to transfer inflation risk to a counterparty in order to match future liabilities. The non-inflation leg of the swap can be a floating rate such as LIBOR. Variants on such a swap include: real rate swap, capital indexed swap, indexed annuity swap, zero coupon swap, etc.

It is also known as a retail price index swap (RPI swap) in the U.K.


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