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Amortising swap

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Amortising swap

Amortising swap is usually an interest rate swap in which the notional principal for the interest payments declines during the life of the swap, perhaps at a rate tied to the prepayment of a mortgage or to an interest rate benchmark such as the London Interbank Offered Rate (Libor). If the swap allows for uncertain contingent ups and downs in the notional principal, it is called a "roller-coaster swap". The opposite of the accreting swap.

References

  • Mark Rubinstein Rubinstein on Derivatives. Futures, Options and Dynamic Strategies 1999 ISBN 1-899332-53-7
  • Index Amortizing Swap


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