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December 31, 2022
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January 1, 2023

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An index principal swap in which the floating rate leg is based on the treasury bill auction rate (usually the 3-month T-bill), rather than on LIBOR. It entails the exchange of a treasury rate for a fixed rate agreed-on by the two parties.

This swap has the features of both index principal swaps and treasury-linked swaps.

It is also known for short as TRIPS.

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