Interest Rate Swap – Page 2

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SOFR Swap

A swap that entails payment of a fixed-rate on an annual, Act/360 basis by one counterparty against payment (by the...

Accumulation Swap

An interest rate swap whereby the notional principal amount grows over its time to expiration. Such a swap is particularly…

Appreciating Swap

An interest rate swap whereby the notional principal amount grows over its time to expiration. Such a swap is particularly…

Arrears Option Swap

An interest rate swap which allows a firm to pay a fixed rate and receive a floating rate with an…

Duration-Weighted Swap

An interest rate swap in which one of the legs depends on, wholly or partially, the effective rate extracted from…

Duration of a Swap

A measure of a swap‘s value sensitivity to interest rate changes. The duration of a swap is equal to the…

Drawdown

In general, drawdown (also draw-down) refers to a reduction in the value of an asset/ investment/ account/ fund below its…

Drop-Lock Swap

An interest rate swap in which the fixed rate payment is reset in response to a pre-agreed change in market…

Drawdown Swap

An interest rate swap whereby the notional principal amount (NPA) grows over its time to expiration. Such a swap is…

Fixed-Fixed Currency Swap

An interest rate swap in which both counterparties pay fixed rate in their respective currencies. It is a type of…