Zero Coupon Swap

This Issue in United States

Zero Coupon Swap

Concept of Zero Coupon swap in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): A swap (i.e. a derivative where two counterparties exchange streams of cashflows with each other) where one counterparty pays a floating rate (for example three month LIBOR) throughout the life of the swap (i.e. a derivative where two counterparties exchange streams of cashflows with each other) while the other counterparty makes one lump sum payment once the swap (i.e. a derivative where two counterparties exchange streams of cashflows with each other) reaches maturity.

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See Also

• Derivatives Contract