Treasury Rate Index Principal Swap

Accounting
Measurement Base
December 31, 2022
Finance
Capital Dividend
January 1, 2023

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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