A swap which involves an exchange of interest calculated by reference to the Retail Prices Index (RPI) and another reference rate (usually LIBOR). In essence, this swap is an inflation swap which allows parties to hedge the risk of inflation (i.e., inflation being lower or higher than expected). For instance, suppose a firm is expecting to receive a series of fixed cash flows of equal size. Despite the firm is certain of the size of future cash flows, it is still run the risk that the purchasing power of the flows will deteriorate because of inflation. The firm can manage this risk by entering into an RPI swap in which it pays the other party the fixed-rate leg (being the fixed flows the firm is certain of receipt) and receives another type of flow linked to the retail price index. Thanks to the swap, the firm will be able to maintain the purchasing power of its cash flows over time.

This swap was introduced in the United Kingdom (actually the RPI index is the reference for inflation in that country). The inflation-indexed leg of the swap depends on published inflation figures two months back from the month in which the swap is being executed. For example, an RPI swap executed on any day in October will accrue inflation based on the published August value.

One of the most popular forms of RPI swaps is the real rate swap.