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Linear ex-linked swap
       
 
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Linear ex-linked swap

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Linear ex-linked swap
An Interest rate Swap with a quasi-fixed Coupon that varies with the movement of a chosen Spot foreign Exchange rate over the life of the deal. These swaps can be structured to pay a higher (or lower) Coupon if a given Currency weakens (or strengthens) after the outset of the deal. The observation dates for the forex component coincide with the Libor reset dates for Coupon calculation. These swaps can be structured with a leveraged forex exposure.
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