Derivatives

Index Credit Default Swap

July 29, 2022
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July 29, 2022

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

In terms of effect, this swap is opposite of an accreting principal swap, in which the notional principal increases over its term.

It is also called amortizing interest rate swap.

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