An interest rate floor that is paid in a currency different from the one denominating the reference rate. This structure allows investors to take advantage of having access to foreign markets for funding without being exposed to foreign exchange risk.

The quanto floor, technically speaking, is a stand-alone option or a series of options whose payout is based on a “foreign” floating reference rate falling below an absolute strike rate or spread with respect to the “domestic” floating rate. The payout of a quanto floor is made in arrears on a money market basis, like a typical in-arrears floor, but is, however, denominated in the local currency.