Accrual Swap - Definition

An Interest Rate Swap under which the Counterparty pays a Base rate of Vanilla floating, usually three or six months LIBOR and receives LIBOR plus a Margin. Interest payments to the counterparty will come on days when rates remain within a certain Range dictated by preset upper and lower limits.

Terms near "Accrual Swap"

Accrued benefit
Accrued dividend
Accrued expense
Accrued interest
Accumulated depreciation.
Accumulated dividend
Accumulated earnings
Accumulated earnings tax
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