How to: Amortization of an Interest Rate Swap

This article describes how to partly close, make an amortization, of an Interest Rate Swap. If the amortization match the maturity of an interest period, pls follow the first instruction, and if it is broken period, pls follow the second instruction.

Amortization of an Interest Rate Swap - date matching maturity date of an interest period

Pls note that you have to adjust both tranches of the IRS.

Go to the first Tranche, fill in date and amortization amount as per below, Save.

The system will create a new Notional amount and recalculate the comming interest periods:

Also adjust the second Tranche.

Amortization of an Interest Rate Swap - date broken period

To have the system calculate interest on different amounts for different dates, pls follow the below.

In this example the partly close date is 200928.

1. Register an amortization on the date of the previous period interest's maturity date, ie 200724:

2. Also make an amortization on the other Tranche. If Cross Currency IRS, enter calculated Amount.

3. Register a "new" swap for the dates missing, two new tranches within the instrument, in this example 200724-200928 with the amortization amounts.

Tranche 1 (3):

Tranche 2 (4):

Result: