An Amortising swap Frank J. Fabozzi, 2018
''The Handbook of Financial Instruments''

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is usually an

interest rate swap In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular it is a "linear" IRD and one of the most liquid, benchmark products. It has associations with ...

in which the notional principal for the interest payments declines (i.e. is paid down) 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 The London Inter-Bank Offered Rate is an interest-rate average calculated from estimates submitted by the leading banks in London. Each bank estimates what it would be charged were it to borrow from other banks. The resulting average rate is u ...

(Libor). It is the opposite of the accreting swap. If the swap allows for uncertain contingent ups and downs in the notional principal, it is called a "roller-coaster swap".

References

Sources Further reading *

Mark Rubinstein Mark Edward Rubinstein (June 8, 1944 – May 9, 2019) was a leading financial economist and financial engineer. He was ''Paul Stephens Professor of Applied Investment Analysis'' at the Haas School of Business of the University of California, Be ...

''Rubinstein on Derivatives. Futures, Options and Dynamic Strategies'' 1999 Interest rates Swaps (finance) {{Derivatives market