Amortizing Interest Rate Swap

Finance
CDO Index Tranche
February 11, 2023
Derivatives
Affected Party
February 12, 2023

An amortizing swap (an interest rate swap) in which the notional principal is amortized or decreased based on the movement of an underlying reference rate, i.e., a short-term money market rate, such as LIBOR.

It is also referred to as an index amortizing swap.

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