Differential swap

Differential swap

Swap between two LIBOR rates of interest, e.g., yen LIBOR for dollar LIBOR Payments are in one currency.

Differential Swap

A plain vanilla swap in which one of the legs is paid in a currency other than the one in which it is calculated. For example, the notional amount over which the interest rates are calculated may be in U.S. dollars, but one of the payments may be made in yen. A differential swap may be entered in order to take advantage of a favorable exchange rate. See also: Exchange rate risk, Currency swap.
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We have also entered into a WTI-MSW basis differential swap for 4,000 bbl/d of our light oil production in Canada at US$8/bbl for June 2019 to December 2019.
(3.) Diff swaps are also referred to in the trade press as quantity-adjusted swaps (quants), guaranteed exchange rate swaps, LIBOR differential swaps, cross index basis (CRIB) swaps, and switch-libor swaps.
"Valuing Differential Swaps." Journal of Derivatives, spring: 64-76.

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