Index
Page numbers followed by an e indicate exhibits.
Page numbers followed by an n indicate notes.
45-bond portfolio
A
Absolute prepayment speed
Absolute priority rule
Absolute yield spread
ABSs. See Asset-backed securities
Accelerated sinking fund provision
Accrual tranches (Z bond)
Accrued interest (AI)
computation
Accumulation period
Acid-test ratio
Active management. See Unrestricted active management
degrees
mismatches
Active return
Active strategies
incorporation
Actual prepayments. See Effective collar; Initial collar
comparison. See Initial upper collar
Actual tracking error
predicted tracking error, contrast
Additional-bonds test covenant
Ad hoc auction system
Adjusted duration. See Effective duration
Affirmative covenants
After-tax yield
Agency
bonds. See Government agency bonds costs
problem mitigation
relationship
risk
Agency CMOs, valuation modeling
Agency MBSs (agency securities). See also U.S. agency MBSs
nonagency securities, contrast
Agency passthrough securities
trading/settlement procedures
Agent
AI. See Accrued interest
Alternative loans
Alternative spread measures
American option
callables
price. See Fixed income instrument
Amortization
period. See Principal amortization period
provision. See Early amortization
schedule. See also Level-payment, fixed-rate, fully amortized mortgage
Amortizing assets
Amortizing securities
Annual-pay bonds
BEY
comparison. See Semiannual bonds
Annuity payment
Appropriation-backed obligations
Arbitrage CDO
Arbitrage-free binomial model
usage
Arbitrage-free one-month future interest rates, adjusted simulated paths
Arbitrage-free valuation
approach
comparison. See U.S. Treasury securities
relationship. See Reconstitution; Stripping
Arbitrage-free value
calculation. See Non-Treasury securities
determination. See U.S. Treasury
relationship. See Volatility
Arbitrage model
usage. See Theoretical futures price
Arbitrage transaction
Asian Contagion
Asset allocation/sector rotation
Asset-backed securities (ABSs)
analysis
credit analysis, contrast. See Corporate bonds
features
illustrations
legal structure
payment structure
prepayment option
securitization process
simple structure
total return
valuation
Asset-liability management
Assets, sale
At-the-money option
Auction call
Auction process
Audits
Australia, MBSs
Auto loan-backed securities
cash flow/prepayments
Available funds cap
Average life. See Cash flow; Collateral; Non-accelerating senior tranches; Planned amortization class tranche; Support tranche; Tranches; Weighted average life
Average price change
calculation
B
Backward induction
Backward-looking tracking error
Balance sheet
CDO
transaction
Balloon maturity
provisions
Balloon risk
Bank debt
Bankers acceptances
Bank loans
Bank obligations
Bankruptcy. See also Involuntary bankruptcy; Voluntary bankruptcy
Barbell portfolio
Basic option positions, payoff
Basis
point price value. See Price value of basis point
risk
Basket default swap
BBA. See British Bank Association; British Bankers Association
Benchmark. See Issuer-specific benchmark
availability
bond spreads
characteristics
currency position
index
duration
strategies, assessment
interest rates
relative value analysis, relationship
relationship. See Option-adjusted spread
selection
Z-spread, relationship
Benchmark Bonds
Benchmark Notes
Benchmark spot rate curve (benchmark zero-coupon rate curve) usage. See Non-Treasury securities
Bergen Brunswig Corporation
analysis
background information
case study
conclusion
EBIT interest coverage
financial data/ratios-458e
median ratio
quarterly financial data
ratios, summary
S&P’s ratio formula
Beta. See Yield
BEY. See Bond-equivalent yield
Biased expectations theory
Bid-ask spread. See Broker/dealer bid-ask spreads; Market
Bilateral counterparty risk
Binary credit option
Binomial interest rate tree. See also Bonds
construction
illustration
usage. See also Option-free bonds
Binomial model. See also Arbitrage-free binomial model usage. See Bonds
Black box approach
Black-Derman-Toy model
Black model
Black-Scholes Model
problem
Black-Scholes option pricing, formulation
Bond-equivalent basis
annualized rates
Bond-equivalent yield (BEY)
convention
determination
Bondholders
embedded options, granting
rights
Bonding costs
Bond market. See Domestic bond market; Eurobond market; External bond market; Foreign bond market; Internal bond market; International bond market; National bond market; Offshore bond market
asset-backed sector
going short/long
mortgage-backed sector
sectors
overview
selection
Bond market index. See Broad-based U.S. bond market indexes; International bond market; Specialized U.S. bond market indexes
duration
funds management
investment objective
strategies
Bond portfolio. See 45-bond portfolio
management, credit derivatives (usage)
performance evaluation
spread duration
Bond portfolio management
Bonds. See also Planned amortization class; Reference bonds; U.S. Treasury
breakeven rates
call
options, inclusion
percent
comparison. See Semiannual bonds
convexity
reduction
yield change, price estimation
credit analysis. See Non-corporate bonds
dollar duration
embedded options, inclusion
price volatility
valuation
valuation, binomial model usage
embedded put options (inclusion)
excess returns
Lehman Brothers historical information
features, impact. See Interest rate risk
instantaneous percentage price change
instruments, overview
investment, risks
issuance
issue. See Currently callable bond issue
par value
Bonds, (contd.)
payment provisions
position, interest rate risk assessment (full valuation approach)
prepay options, inclusion
price
time, impact
volatility characteristics
primary market
purchase, funds (borrowing)
rating symbols/summary description
reinvestment income, total dollar return (percentage)
risk, introduction
secondary market
sectors
credit rating benchmark
overview
structure/effectiveness
swaps, usage
traded flat
value, change (maturity movement)
Bond valuation
coupon payment complication
model, elements
process
Bons du Trésor á Taux Fixe et á Intérét Annuel (BTANs)
Bootstrapping
Borrower
Bottom-up approach
Bought deal process
Brady bonds
Breakeven analysis
Breakeven spread movement
Break-even time. See Premium payback period
Bridge loans
British Bank Association (BBA)
British Bankers Association (BBA)
Broad-based U.S. bond market indexes
Broken PAC. See Busted PAC
Broker/dealer bid-ask spreads
Brokers loans
BTANs. See Bons du Trésor á Taux Fixe et á Intérét Annuel
BTPs. See Buoni del Tresoro Poliennali
Bullet maturity
Bullet-payment structure
Bullet portfolio
Bullets
Bundesobligationen (Bobls)
Buoni del Tresoro Poliennali (BTPs)
Busted convertible. See Fixed income equivalent
Busted PAC (broken PAC)
Butterfly. See Negative butterfly; Positive butterfly
shifts. See also Yield curve
Buy-and-hold
Buy hedge
C
Call. See also Deferred call
date. See First call date; First par call date
option
price
purchase
value, determination
protection
provision. See also Optional clean-up call provision
risk
schedule
Callable Benchmark Notes
Callable bond
analysis
negative/positive convexity
node, highlighting
OAS, demonstration
price/yield relationship negative convexity region
valuation
maturity/coupon rate, inclusion
Callable Reference Notes
Callables
Call price. See also Single call price
call schedule, basis
make-whole provision, basis
Cap
position, interpretation
rate
risk
Capacity
Capacity to pay, analysis. See Payment capacity
Capital gain/loss
Capitalization ratios
Caplets
value
Capped floater, valuation
Caps
usage
valuation
Carry. See Cost of carry
Cash/carry trade. See also Reverse cash/carry trade
Cash CDOs
arbitrage transactions
Cash flow. See also Discretionary cash flow; Free operating cash flow; Interim cash flows; Operating cash flow; Prefinancing cash flow; Securities
analysis
average life
calculation
CDO
management restrictions
structure
characteristics
discounting. See Expected cash flows interest rate, usage
distribution. See Principal cash flow
duration
estimation
measures
present value
ratios
reinvestment
requirements
simulation
statement
stress
structure, present value
tests
timing
uncertainty. See Prepayment
usage
valuation. See Semiannual cash flows
Cash flow matching. See also Multiple liabilities
application considerations
extensions
multiple liability immunization, contrast
process, illustration
Cash flow yield
analysis
limitations
measure, limitations
Cash instruments, hedging (options usage)
Cash market instruments, package
Cash rate
Cash reserve funds
Cash settlement contracts
Cash terminology, credit default swap market terminology (contrast)
CBOs. See Collateralized bond obligations
CBOT. See Chicago Board of Trade
CDOs. See Collateralized debt obligations
Cell matching
technique
Certificates of deposit (CDs). See also Eurodollar CD; Negotiable CDs
Certificati di Credito del Tresoro (CCTs)
Certificati di Tresoro a Zero Coupon (CTZs)
Certificati di Tresoro con Opzione (CTOs)
Character
Character, capacity, collateral, covenants
Character analysis
Charge-offs
Chartists
Cheapest-to-deliver (CTD) issue
converted price
dollar duration
relationship
relative yield spread
Chicago Board of Trade (CBOT)
Treasury bond futures contract delivery option, granting
Citigroup Non-U.S. Government Bond Index
Citigroup World Government Bond Index (WGBI). See also Non-U.S. WGBI
Classical immunization
principle
theory, extensions
Classic relative value analysis
Clean price (price)
computation
Clearinghouse, role
Closed-end HEL
CMO. See Collateralized mortgage obligation
Collar strategy
Collateral. See also General collateral; Hot collateral; Special collateral
analysis
average life
call, percent
cash flow
credit quality
dollar price, increase
structure, classification
trust bonds
Collateralized bond obligations (CBOs)
Collateralized debt obligations (CDOs). See also Cash CDOs; Synthetic CDOs
family
tree
structure
Collateralized loan
Collateralized loan obligations (CLOs)
Collateralized mortgage obligation (CMO)
creation
structure
tranches, inclusion
usage
Combination matching
Commercial MBSs
structure
Commercial paper. See also Dealer-placed commercial paper
ratings
Commodity Credit Corporation
Common stock
current income, contrast. See Convertible bond equivalent
Companion tranches. See Support tranche
Company
operating cycle
structure
Concentration risk
Conditional prepayment rate (CPR)
Conforming loans
Conforming mortgage
Constant-OAS total return
Contingent immunization
considerations
illustration
strategy, control/monitoring
Contraction risk
Contract rate. See Mortgage
Contracts, number (determination)
Controlled-amortization structure
Conventional loans
Conventional manufactured housing-backed securities
Conventional mortgage
Conventional passthrough securities
Conventional yield
Convergence
Conversion
factors
parity price. See Market
price. See also Market; Stated conversion price
privilege
ratio
value (parity value)
Converted price
Convertible bond
analysis
current income, common stock current income (contrast)
downside risk
value
Convertible securities
features
investment characteristics
minimumvalue
risk/return profile
traditional analysis
value
Convex curve
Convexity. See Negative convexity; Positive convexity
adjustment. See also Effective convexity
impact
return
risk
usage
Corporate bankruptcy, predicting
Corporate bonds
ABS credit analysis, contrast
considerations. See High-yield corporate bonds
credit analysis, municipal bond credit analysis (contrast)
credit spreads
Corporate debt securities
overview
Corporate governance
best practices, standard/codes
bond ratings, relationship
ratings
relationship. See Stakeholders
Corporate sector, credit spreads
Corporate structure, analysis
Corporate takeovers/restructurings
Corporation
character
information, example
liquidation
reorganization
Cost of carry (carry). See also Negative carry; Positive carry
Cost of the investment. See Investment
Counterparties
changes
description. See Swaps
risk. See also Bilateral counterparty risk
entering
Coupon
bonds. See Deferred coupon bonds yield to call
curve duration
formula
range
interest
payments. See also Options
passthrough
monthly principal payment
payment
complication. See Bond valuation
reinvestment income
rate
discount rate/par value price, relationship
impact
stripping
strips. See also U.S. Treasury
Treasury
bond
cash flows
Coupon payment frequency, bond yields (adjustment)
Covenants. See also Affirmative covenants; Negative covenants; Rate covenants; User-charge covenants
analysis
discussion
Coverage ratios
Coverage tests
Covered call writing strategy
futures options, inclusion
strike prices, inclusion
Covered interest arbitrage
CPR. See Conditional prepayment rate
Credit
analysis
analysis, principles
barbell strategy
enhancement. See also External credit enhancements; Internal credit enhancements; Nonagency MBSs
mechanisms
event
definitions
selection portions
Credit (contd.)
four Cs
protection, selling
rating
assignation, factors
scoring models
spread, increase
tranching
Credit card receivable-backed securities
cash flow
payment structure
Credit curve analysis
Credit default
products
swap
illustration
Credit-defense trades
Creditor. See Lender
Credit-quality improvement
Credit relative-value analysis
Credit risk. See also Portfolio
importance
models
reduced form models
structural models
types
usage
Credit sector portfolio management process
Credit-sensitive structured products
Credit spread. See also Corporate bonds; Corporate sector
call option
forwards
non-Treasury securities, valuation
options
products
put option
risk
defining
term structure
Credit-swap spreads
Credit-upside trades
Cross hedged expected return
Cross hedging
CTD. See Cheapest-to-deliver
CTOs. See Certificati di Tresoro con Opzione
CTZs. See Certificati di Tresoro a Zero Coupon
Currency
breakeven rates
debt rating. See Foreign currency debt rating; Local currency debt rating
denomination
excess returns
forward contract
pricing
hedge decision
illustration
movements
return
volatility
risk
selection
Current asset
current liability ratio
Current dollar duration, futures (absence)
Current issue. See On-the-run issue
Currently callable bond issue
Current ratio
Current yield
Curtailment
Curve adjustment trades
Cushion spread
Cuspy-coupon mortgage securities, hedging
alternatives
D
Daily standard deviation
calculation
moving averages
Date call. See Latter of percent call
Day count conventions
Dealer-placed commercial paper
Dealer-to-customer systems
Debenture. See also U.S. agency debentures/discount notes
bonds. See also Subordinated debenture bonds
Debt and coverage analysis
Debt and coverage ratios
Debt incurrence test
Debt obligations, public credit enhancement program support
Debt securities
introduction
valuation, introduction
Debt service reserve fund
Debt structure, analysis
Debt-to-service coverage (DSC) ratio
Dedicated portfolio strategies
Default loss rate
Default options
credit risky asset
Default rate
Default risk
defining
gauging
Default swaps, riskiness (comparison)
Defeasance
Deferment period
Deferred call
Deferred coupon bonds
Defined benefit obligations, immunization
Deleveraged floaters
Delinquencies
Deliverable bond, knowledge (absence)
Deliverable issue
Delivery
date
knowledge, absence
options
procedure
risk
Delta. See Options
analysis. See Option delta analysis
OAS return
rich/cheap return
Derivative MBSs
Derivatives, usage. See Interest rate risk
Directly placed paper
Directors. See Independent directors; Inside directors; Outside directors
Dirty price
Discount. See Trading at a discount
margin
calculation. See Floating-rate securities
movement
rate
relationship. See Coupon
usage. See Valuation
Discounted value
Discount notes. See also U.S. agency debentures/discount notes
Discretionary cash flow
Distinctly speculative grade, meaning
Diversification
benefits
preferences
Dollar bloc
Dollar default rate
Dollar-denominated issue. See also Nondollar-denominated issue
Dollar duration
Dollar duration per futures contract
Dollar interest
Dollar price change, approximating
Dollar return. See also Total dollar return
Dollar value of 01 (DV01)
Domestic bond market
Doubled-barreled in security
Downgrade
risk
gauging
occurrence
Downside risk. See Convertible bond
measures
review
DSC. See Debt-to-service coverage
Dual-currency issue
Dual-indexed floaters
Duration. See also Dollar duration; Effective duration; Portfolio; Rate duration
approximation
calculation
comparison. See Macaulay duration
contrast. See Modified duration
estimate
first derivative
hedge, two-bond hedge (contrast)
interpretation
Duration, (contd.)
management
measures
proposal
type
time measure
usage. See Percentage price change; Price
Duration/convexity approach
DV01. See Dollar value of
E
Early amortization
provision (rapid amortization period)
triggers
Earnings before interest and taxes (EBIT)
interest charges ratio
interest coverage ratio
total assets ratio
Earnings before interest taxes depreciation and amortization (EBITDA) interest coverage ratio
Earnings test
EBIT. See Earnings before interest and taxes
EBITDA. See Earnings before interest taxes depreciation and amortization
ECNs. See Electronic communication networks
Economic surplus
Effective collar
actual prepayments
calculation
Effective convexity
adjustment
calculation
V+ determination
V- determination
Effective duration (option-adjusted duration // adjusted duration)
basis
calculation
V+ determination
V- determination
contrast. See also Modified duration
return
Electronic communication networks (ECNs)
Embedded options
granting. See Bondholders; Issuers
impact
inclusion
price volatility. See Bonds
understanding, importance
EMG-debt asset classes
Empirical duration
End-buyers of protection. See Protection
End-sellers of protection. See Protection
Enhanced indexing
factors
mismatches
Equity analysis approach
Equivalent strike prices, calculation
Escrowed-to-maturity bonds
Eurobond market
Eurodollar CD,
futures contract
European bloc, division
European Monetary Union
yield differentials, impact
European option
European put option, valuation
Evaluation period
Event risk
Ex ante tracking error
Excess achievable return
Excess bond return
Excess currency return
Excess margin
Excess return, sources
Excess spread
accounts
Exchangeable bond
Exchangeable security
Exchange rate
risk
Exchange systems
Exchange-traded interest rate futures contracts
Exchange-traded options, OTC options (contrast)
Exercise price
Expectations theories. See Interest rates
Expected cash flows, discounting
Expected final maturity
Expected interest rate volatility. See also Options
Expected price volatility
Expected total return
Expected value
Expected volatility
Experienced trader
Expiration date
Ex post tracking error
Extension risk
External bond market
External credit enhancements
External influences
Externalities
Ex-U.S. bond indexes
F
Face value
Failure to pay, occurrence
Fallen angels
Farmers Housing Administration
Fat tails
FDIC. See Federal Deposit Insurance Corporation
Federal agency securities
Federal Agricultural Mortgage Corporation
Federal Deposit Insurance Corporation (FDIC)
Federal Family Education Loan Program (FFELP)
Federal Farm Credit System
Federal funds rate
Federal Home Loan Bank System
Federal Home Loan Mortgage Corporation (FHLMC)
1915 Classes A/B/C, OAS analysis
multiclass mortgage participation certificates, summary
OAS analysis
summary
Federally related institutions
Federal National Mortgage Association (FNMA)
TBA passthrough
Federal National Mortgage Association (FNMA) bond
effective sale price
establish
hedging
position, hedging
sale
strike price, inclusion
strike yield
FFELP. See Federal Family Education Loan Program
FHLMC. See Federal Home Loan Mortgage Corporation
Fifth-to-default swap
Final futures price
Financial futures
Financial leverage
Financing rate. See also Short-term interest rate
First and general mortgage bonds
First call date
First derivatives
First loss piece
First mortgage and collateral trusts
First mortgage bonds
First par call date
First refunding mortgage bonds
First-to-default basket swap
First-to-default swap
Fitch Ratings
Five-tranche sequential-pay structure accrual tranche, inclusion
Fixed income equivalent (busted convertible)
Fixed income instrument
American option price
option value, factors
Fixed-income investors
constraints
risks
Fixed-income investors, investment objectives (setting)
Fixed income portfolio management process
Fixed-principal Treasury securities
Fixed-rate level-payment fully amortized mortgage
Fixed-rate payer
Fixed-rate payments
determination
Fixed-rate payments (contd.)
present value
swap rate assumption
Fixed-rate receiver
FJF-01, monthly cash flow
FJF-02, monthly cash flow
FJF-03
FJF-04
FJF-05
FJF-06
Flat yield curve
Floater, no cap inclusion (valuation)
Floating-rate bond, purchase (cash flow)
Floating-rate note, valuation
Floating-rate payments
calculation
LIBOR/Eurodollar CD futures, basis
present value
calculation
equations
Floating-rate securities
discount margin, calculation
interest rate risk
spread/margin measures
Floating-rate tranches. See also Inverse floating-rate tranches
Floorlets
calculation
value
Floors
calculation
position, interpretation
rate
usage
value
FNMA. See Federal National Mortgage Association
Foreign bond market
Foreign currency debt rating
assignation
Forward contracts
counterparty, default assumption
package
Forward discount
Forward discount factor
calculation
computation
usage
Forward exchange rate
discount
premium
Forward foreign exchange rate, representation
Forward premium
Forward rates. See also Implied forward rates
agreements
curve. See London Interbank Offered Rate; Short-term forward rate curve
derivation
graphical depiction
illustration
interpretation
market consensus, relationship
usage. See also Valuation
Four-tranche sequential-pay structure accrual tranche, inclusion
France, OAT yield curve
Free operating cash flow
Front-end bullets
Full price
computation
Full valuation approach. See Interest rate risk
Fundamental economic factors
Fundamentalist
Fundamental style
Funded investors
Funds, borrowing. See Bonds
industry jargon
repurchase agreements, usage
Funds from operation
Funds management. See Bond market index
Future dollars. See Total future dollars
Future floating-rate payments, determination
Futures
option
usage
value, factors
position, dollar duration
price
trading, mechanics
Futures contract. See also Eurodollar CD; Exchange-traded interest rate futures contracts; Most distant futures contract; Nearby futures contract
contrast. See Options
dollar duration
number
package
risk/return characteristics
G
Gamma. See Options
General and refunding mortgage bonds
General collateral
General obligation debt
General obligation municipal bonds, yield ratio
General redemption prices
General Services Administration
Generic aggregates
Germany
Bund yield curve
daily swap spreads
forward yield curve analysis
swap spread curves
GIC. See Guaranteed investment contract
Gilt-edged stocks
Global bonds
indexes
market indexes
Global credit bond portfolio management, relative-value methodologies
GMI. See Governance Metrics International
Governance Metrics International (GMI)
Government agency bonds
Government bond yield curve, swap curve advantages
Government National Mortgage Association (GNMA)
mortgage passthrough securities
passthrough, key rate duration profile
yield spreads/OAS
Government securities, distribution methods
Government-sponsored enterprises (GSEs)
Grace period
Gross portfolio yield
Gross WAC (GWAC)
Guaranteed investment contract (GIC)
H
Hard put
Hedged expected return, usage
Hedged international bond portfolios, risk-return
Hedged returns
Hedges
held for delivery, target
monitoring/evaluation
outcomes
ratio
risk/expected return
Hedge target
determination
rate
basis, impact
short holding period
Hedging
futures, usage
instrument, determination
methodology
options, usage
strategies
alternatives
alternatives, comparison
HELs. See Home equity loans
HIC. See Hold-in-custody
High grade, meaning
High quality grade, meaning
High yield bonds (junk bonds)
High-yield corporate bonds, considerations
High-yield issuers
Historical volatility, implied volatility (contrast)
Historical yield volatility, measurement
Hold-in-custody (HIC) repo
Home currency, short-term interest rate
Home equity loans (HELs). See also Closed-end HEL; Open-end HEL
floaters
payment structure
prepayments
Horizon
date, rates (structure)
matching
price
return
yield
Hot collateral
Housing turnover
Humped yield curve
Hybrid security
Hybrid transactions
I
IANs. See Index amortizing notes
Immunization
cost
risk
measure, illustration
strategy. See Single liability
return, achievement
Immunized portfolio, rebalancing
Implied duration
Implied forward rates
Implied repo rate
Implied volatility, contrast. See Historical volatility
Income, distribution
Indentures
Independent directors
Index amortizing notes (IANs)
Indexing
factors. See Enhanced indexing
portfolio, rebalancing
reasons
strategies, logistical problems
Individual security selection strategies
Industry trends
Inflation-adjusted bonds
Inflation-adjusted principal
Inflation-indexed Treasury securities
Inflation-linked bonds (inflation-indexed bonds)
Inflation-protection securities
Inflation risk
Information risk
Initial collar, actual prepayments
Initial margin
Initial PAC collar (initial PAC band)
Initial upper collar, actual prepayments (comparison)
Inside directors
Instantaneous percentage price change. See Bonds
Institutional investors, liabilities (classification)
Insured bonds
Insurer call
Interest. See Accrued interest
income, taxability
Interest-only (IO). See Notional IO; Planned amortization class; Structured interest-only tranches
class
key rate duration profiles
mortgage strips
strips
Interest rate paths
number, selection
present value, calculation
simulated cash flows
simulation
Interest rate risk. See also Floating-rate securities; Mortgage securities
assessment, full valuation approach. See Bonds
bond features, impact
control. See Trades
derivatives, usage
futures, usage
principles
swaps, usage
full valuation approach
hedging
assumptions
measurement. See also Portfolio
introduction
percentage price change, approximation
Interest rates. See Non-U.S. interest rates; Short-term interest rate
caps/floors
risk/return characteristics
ceiling
change
collar, creation
decrease
derivative instruments
valuation
determination
expectations strategies
floor
futures
contracts. See also Exchange-traded interest rate futures contracts
position, determination
illustration
increase
model
options
parity
prices, changes (inverse relationship reasons)
returns, hedging (usage)
term structure
expectations theories
theories
tree. See also Binomial interest rate tree
volatility
Interest rate sensitivity (IRS)
measure
Interest rate swaps
examination
position
risk/return characteristics
role
swap spread, relationship
Interest rate volatility
Interest sensitive return
Interim cash flows
Interim coupon payment
Intermarket sector spreads
Intermediaries
Intermediate credit bullets
Intermediate whole-year maturities, on-the-run yield
Internal bond market
Internal credit enhancements
Internal rate of return (IRR)
International bond indexes
International bond market
indexes
International bond portfolio management
appendix
investment objectives
policy statements
risk limits
styles
combination
International Swap and Derivatives Association (ISDA)
Credit Derivative Definitions
Inter-sector allocation strategies
In-the-money option
Intramarket spreads
Intra-sector allocation strategies
Intrinsic value. See also Options relationship. See Securities
Inverse floaters (reverse floaters)
Inverse floating-rate tranches
Inverted yield curve (negatively sloped yield curve)
Investment
annual return
cost
fundamentalist-based approach
horizon
duration, equality
total return
opinion, reflection
performance, time horizon
policy, writing
strategy
derivatives, role
selection/risk
type, selection
value. See Straight value
Investment-grade bonds. See also Noninvestment-grade bonds
Investors
equity
specifications
Invoice price
Involuntary bankruptcy
Involuntary prepayment
IO. See Interest-only
IRR. See Internal rate of return
IRS. See Interest rate sensitivity
ISDA. See International Swap and Derivatives Association
Issuance tests
Issuers. See Non-U.S. sovereign bond issuers; Security
bond valuation, binomial interest rate tree
default rate
embedded options, granting
on-the-run yield curve
Issuer-specific benchmark
J
Japan
government Bund yield curve
swap spread curves
Japanese bond return
Japanese government securities (JGBs)
J.P. Morgan EMBI
J.P. Morgan EMBI+ Index
J.P. Morgan Europe (MEUR)
Junk bonds. See High yield bonds
K
Kappa, calculation
Key rate duration
L
Ladder portfolio
Larger risk factor mismatches
Latter of percent call (date call)
Legal final maturity
Lehman Brothers
Aggregate Bond Index
historical information. See Bonds
U.S. Aggregate Index, percentage composition
Lehman Global Aggregate
Lender (creditor)
Lenders mortgage insurance (LMI)
Letters of credit (LOCs)
Level-payment fixed-rate fully amortized mortgage, amortization schedule
Leverage
degrees, annual return
principle
Leveraged portfolio, duration (computation)
Leveraging
strategies
Liabilities
amount
call risk
classification. See also Institutional investors
defining
ratio. See Current assets
structure, management risks
timing
LIBOR. See London Interbank Offered Rate
Limited tax general obligation debt
Linkers
Liquidation. See Corporation
Liquidity
trading analysis, relationship
Liquidity preference theory
Liquidity risk
changes
LMI. See Lenders mortgage insurance
Loan level, protection
Loan-level analysis
Loan-to-value (LTV) ratio
Local currency debt rating
assignation
Lockout period (revolving period)
LOCs. See Letters of credit
London Interbank Offered Rate (LIBOR)
calculations
changes
curve. See Swap curve
existence
forward rate curve
increase
LIBOR-funded London-based portfolio managers
payment values
spot rate curve, construction
Long futures
Long hedge
Long position
hedging, collar (usage)
Long-term debt to capitalization ratio
Lower medium grade, meaning
LTV. See Loan-to-value
M
Macaulay duration
modified duration, comparison
Maintenance margin
Maintenance test
Make-whole charge
Make-whole premium provision
Make-whole provision, basis. See Call price
Make-whole redemption price
Manufactured housing-backed securities
Margin. See also Discount; Initial margin; Maintenance margin; Quoted margin; Simple margin; Variation margin
buying
arrangement
deficit
marking to market
requirements
Maritime Administration
Marked-to-market
Market
bid-ask spread
convention
conversion price (conversion parity price)
expectations
investments
participants
sentiment
Market-directional investments
Market segmentation theory
Market-structure dynamics, effect
Market value CDO
Market value of equity
Marking positions to market
Marking to market. See Margin
Matching risk factors
Material adverse change clause
Maturity. See also Balloon maturity; Bullet maturity; Term to maturity
date
impact
value
present value
MBSs. See Mortgage-backed securities
MDA. See Multiple discriminant analysis
Mean-reversion analysis
Medium-term notes (MTNs). See also Structured MTNs
dominance
ownership
primary market
MEUR. See J.P. Morgan Europe
MIG. See Mortgage indemnity guarantee
Minor risk factor mismatches
Modeling risk
Model risk
Modified American option
Modified Atlantic option
Modified Bermuda option
Modified convexity adjustment
Modified duration
comparison. See Macaulay duration
effective duration, contrast
Monitoring costs
Monte Carlo simulation model
OAS, relationship
Monthly arbitrage-free spot rates, adjusted simulated paths
Monthly payment rate (MPR)
Moody’s Investors Service, Inc.
Moral obligations bonds
Mortgage. See also Securitized mortgage
balance
bonds. See First mortgage bonds
debt
designs
loans
example
price/yield curve
rate (contract rate)
refinancing rates, simulated paths
sector
Mortgage-backed securities (MBSs). See also Agency MBSs; Australia; Commercial MBSs; Nonagency MBSs; Residential MBSs; U.S. agency MBSs
convexity analysis
illustrations
Mortgage-backed securities (MBSs), (contd.)
investment, risks
OAS, computation
PSA sensitivity analysis
sector
analysis
sector risk
simple structure
total return
valuation
Mortgage indemnity guarantee (MIG)
Mortgage passthrough securities
price-yield relationship
types
Mortgage securities
hedging
interest rate risk
problem
risks
value
Most distant futures contract
Moving averages. See Daily standard deviation; U.S. Treasury
MPR. See Monthly payment rate
MTNs. See Medium-term notes
Multi-factor risk models
usage. See Portfolio
Multiple discriminant analysis (MDA)
Multiple liabilities
cash flow matching
immunization
conditions
contrast. See Cash flow matching
Multiple step-up noncallable note, valuation
Multiple step-up note
Municipal bonds
credit analysis, contrast. See Corporate bonds
tax-backed debt
yield ratio. See General obligation municipal bonds
Municipal securities
N
NAS tranches. See Non-accelerating senior tranches
National bond market
Nearby futures contract
Negative butterfly
Negative carry
Negative convexity
adjustment
duration changes
price changes
Negative covenants
Negatively sloped yield curve. See Inverted yield curve
Negative pledge clause
Negotiable CDs
Net financing cost
Net interest
Net operating income (NOI)
Net portfolio yield
New issues swaps
Node, highlighting. See Callable bond; Putable bond
Node, value
calculation
determination
NOI. See Net operating income
Nominal rate
Nominal spreads
disadvantages, highlighting
divergence. See Zero-volatility spread
illustration
Non-accelerating senior tranches (NAS tranches)
average life
Non-agency MBSs
legal structure
payment structure
Nonagency MBSs (nonagency securities)
contrast. See Agency MBSs
credit enhancement
Nonagency mortgage passthrough securities
Noncallable/nonrefundable (terms), confusion
Nonconforming mortgage
Non-corporate bonds, credit analysis
Nondeliverable bond
delivery date, hedging
futures, call writing
Nondollar-denominated issue
Noninvestment-grade bonds (speculative bonds)
Non-MBSs, optionality risk
Nonrecourse loans
Non-systematic risks
components
Non-term structure risk factors
Non-Treasury securities
arbitrage-free value calculation, benchmark spot rate curve (usage)
valuation. See Credit spread
yields
Non-U.S. interest rates
Non-U.S. residential MBSs
Non-U.S. sovereign bond issuers
Non-U.S. WGBI
Normal distribution
Normal yield curve (positively sloped yield curve)
Notes. See Reference notes; Step-up notes; U.S. Treasury notes
Notice day
Notional coupon
Notional IO
tranche, creation
Notional principal (notional amount)
Nth-to-default swaps
O
OAS. See Option-adjusted spread
Obligation acceleration
Obligation Assimilable du Trésor (OATS)
Obligation debt. See Limited tax obligation debt; Unlimited tax obligation debt
Observations, number (determination)
OECD. See Organization of Economic Cooperation and Development
Offshore bond market
Off-the-run Treasury issues
One-factor models
One-year rating transition matrix, example
On-the-run issue (current issue)
On-the-run Treasury issues
yield/maturity, relationship
On-the-run yield curve. See Issuers
Open-end HEL
Operating cash flow
repayment
Operating cycle. See Company
Operation and maintenance fund
Option-adjusted duration. See also Effective duration
Option-adjusted spread (OAS). See also Government National Mortgage Association; Zero-volatility OAS
approach
basis points
benchmark/relative value, relationship
computation. See also Mortgage-backed securities
demonstration. See Callable bond
explanation
interpretation
OAS-total return
relationship. See Monte Carlo simulation model
return, accrual
risk premium
terms
Optional clean-up call provision
Optionality risk. See also Non-MBSs
Option-based valuation approach
Option cost
increase
Option delta analysis
Option-free bonds
price/discount rate relationship
price volatility characteristics
price/yield relationship
properties, graphical illustration
tangent line (inclusion), price/yield relationship
valuation
binomial interest rate tree, usage
maturity/coupon rate
process
Options
contracts, number
calculation
coupon interest payment
coupon payments
delta
expected interest rate volatility
futures contracts, contrast
gamma
hedging, steps
intrinsic value
positions, payoff. See Basic option positions
premium
price
components
sensitivity
pricing models
risk/return characteristics
short-term risk-free interest rates
short-term risk-free rate
strike price
time to expiration
time value
value
Organization of Economic Cooperation and Development (OECD)
Originator
Out-of-the-money option
Outperformance methodologies
Outside directors
Overcollateralization
Overnight repo
Over-the-counter (OTC) options
contrast. See Exchange-traded options
Ownership structure
P
PAC. See Planned amortization class
PaineWebber, empirical duration (usage)
Parallel yield curve shift, assumption
Par bond, movement
Par call problem
Parental Loans for Undergraduate Students (PLUS)
Parent company support agreements
Parity value. See Conversion
Par value relative price, relationship. See Coupon
Par yield curve. See U.S. Treasury
Passive portfolio, construction (rebalancing)
Passive strategies
Passthrough
monthly cash flow
price/mortgage rates, relationship
rate
structure
Passthrough security. See Agency passthrough securities; Conventional passthrough securities; Mortgage passthrough securities
creation
Payment
capacity, analysis
obligation, determination
structure. See Asset-backed securities; Non-agency MBSs
Percentage price change. See Interest rate risk
approximation, duration (usage)
Percent of bond call. See Bonds
Percent of collateral call. See Collateral
Percent yield spread analysis
Performance
attribution analysis
impact
summary
attribution example
evaluation. See also Bonds
measurement. See also Return
risk
Period forward rate
Personal property
Physical delivery
Planned amortization class (PAC). See Busted PAC
bonds
collar/band. See Initial PAC collar
IO
level I/II/III tranches
PAC II tranches
structure
tranche
average life
series, creation
Planned amortization class (PAC) window
PLUS. See Parental Loans for Undergraduate Students
PO. See Principal-only
Pool factor
Pool-level analysis
Portfolio. See Barbell portfolio; Bullet portfolio; Ladder portfolio
adjustment
assessment
constraints
construction
inputs, formulation
multi-factor risk models, usage
credit risk
dollar duration
duration
contribution
immunization
application considerations
interest rate risk, measurement
monitoring
risk profile, measurement
strategy
development
implementation
variance
yield. See Gross portfolio yield; Net portfolio yield
increase
Position
day
liquidation
Positive butterfly
Positive carry
Positive convexity
adjustment
duration changes
price changes
Positively sloped yield curve. See Normal yield curve
PO strips. See Principal-only strips
Potential performance (assessment), scenario analysis (usage)
PPC. See Prospectus prepayment curve
Predicted tracking error
contrast. See Actual tracking error
Preferred habitat theory
Preferred stock
Prefinancing cash flow
Premium. See Trading at a premium
leg
movement
Premium payback period (break-even time)
Prepayment. See also Home equity loans; Involuntary prepayment
behavior, factors
cash flow uncertainty
curve. See Prospectus prepayment curve
lockout
measurement
model
options
penalty points
projection
protection. See Two-sided prepayment protection
ramp
rate/speed. See also Conditional prepayment rate
measurement
risk
sensitivity
tranching (time tranching)
Prerefunded bonds
Prerefunded municipal bonds
Present value. See also Cash flow; Maturity
calculation. See Floating-rate payments; Interest rate paths
properties
Present value of cash flow (PVCF)
Present value of liabilities (PVL)
Price. See Clean price; Dirty price; Full price
changes (estimation), duration (usage)
compression
Price. See Clean price; Dirty price; Full price (contd.)
estimation, tangent line (usage)
volatility. See Bonds
yield level, impact
Price value of basis point (PVBP)
Price-yield relationship
Primary market. See Bonds
analysis
impact
Prime borrowers. See also Subprime borrowers
Prime grade, meaning
Principal
Principal amortization period
Principal cash flow, distribution
Principal-only (PO)
class
key rate duration profiles
mortgage strips
strips
Principal pay down window (principal window)
Principal payment. See Scheduled principal payment
distribution
Principal strips
Principal value
Principal window
Priority-of-revenue claims
Private Export Funding Corporation
Probability distribution
properties
Proceeds received
Product structure, effect
Profitability ratios
Pro rata basis
Prospectus prepayment curve (PPC)
Protection
end-buyers
end-sellers
leg
Protective put buying strategy
futures options, usage
strike prices, inclusion
Proxy hedged expected return
usage
Proxy hedged strategy, excess currency
Proxy hedging
PSA. See Public Securities Association
Public credit enhancement programs, support. See Debt obligations
Public Securities Association (PSA)
graphical depiction
prepayment benchmark
speed
Purchasing power risk
Pure bond index strategy
Pure expectations theory
drawbacks
interpretations
local expectations form
Put
option
price
provision
Putable bond
nodes, highlighting
price/yield relationship
valuation
maturity/coupon rate, inclusion
Putable/callable issue, valuation
Putables
PVBP. See Price value of basis point
PVCF. See Present value of cash flow
PVL. See Present value of liabilities
Q
Quality analysis
Quality option
Quality spread
Quality-spread analysis
Quality tests
Quarterly swap premium payment
Quick ratio
Quoted margin
R
Range notes
Rapid amortization provision. See Early amortization
Rate basis
Rate covenants
Rate duration. See also Key rate duration
Rate shocks
duration estimates
Rating
agencies
factors
outlook
process
Rating transition matrix
example. See One-year rating transition matrix
Ratios. See also Debt and coverage ratios; Profitability ratios
Real estate ABSs
Real property
Real return bonds
Real yield
Receivables, portfolio (performance)
Reconstitution, arbitrage-free valuation (relationship)
Recovery rate
Redemption
price. See also Make-whole redemption price
contrast. See Regular redemption prices
value
Reduced form models. See also Credit risk
Reference asset
Reference bonds
Reference entity
Reference notes. See also Callable Reference Notes
Reference obligation
credit spread
Reference obligation
Reference rate
Refinancing
burnout
incentive
Refunding provision
Regular auction cycle/multiple-price method
Regular auction cycle/single-price method
Regular redemption prices, special
redemption prices (contrast)
Regulatory environment
Regulatory risk
Reinvestment income
change
total dollar return, percentage. See Bonds
Reinvestment rate
Reinvestment risk
factors
Relative value. See also Securities
analysis. See also Classic relative value analysis
relationship. See Benchmark
application, interpretation
assessment. See Securities
capture
problem
methodologies
relationship. See Option-adjusted spread
strategies
Relative yield spread
Renewal and replacement fund
Reorganization. See Liquidation
Repo margin
Repo rate
determinants
Repudiation/moratorium
Repurchase
agreement
date
price
Reserve funds
Reserve maintenance fund
Reset notes
Residential MBSs. See also Non-U.S. residential MBSs; United Kingdom
Residential mortgage loans
Residual error
Residual loss
Restricted subsidiaries
Restructuring
Return
achievement. See Immunization
attribution analysis
components
objectives
performance measurement
sources
variance
Revenue bonds
basic security , limits
flow of funds structure
issuance
Revenue fund
Reverse cash/carry trade
Reverse floaters. See Inverse floaters
Revolving period. See Lockout period
Revolving structure
Risk factor
Risk-free return
RiskMetrics (J.P. Morgan)
R-squared (R2)
Rural Electrification Administration
Rural Telephone Bank
S
Safety net level return
SBA. See Small Business Administration
Scarcity value
Scenario analysis
illustration
performance, comparison
usage. See also Potential performance
Scheduled amortization
Scheduled principal payment
Scheduled tranche
Seasonality
Seasoned security
Seasoning
Secondary market. See Bonds
Secondary trade rationales
Second-to-default basket swap
Sector/credit/security selection
Sector rotation. See Asset allocation/sector rotation
Sector-rotation trades
Secured debt
Securities. See Amortizing securities; Federal agency securities; Floating-rate securities; Seasoned security; U.S. Treasury; Variable-rate securities
cash flows
issuer
market price
price, strike price/intrinsic value (relationship)
private placement
relative value
assessment
risk. See U.S. Treasury
selection
strategies. See Individual security selection strategies
universe, acceptance
valuation
Securitization
illustration
parties
transaction
Securitized mortgage
Seller
quality
Sell hedge
Selling short
Semiannual bonds, annual-pay bonds (comparison)
Semiannual cash flows, valuation
Semiannual coupon payment
Semiannual-pay bonds
Semiannual total return, computation
Semi-government bonds
Semivariance. See also Target semivariance
Senior basket credit default swaps
Senior basket default swaps
Senior debts
Senior prepayment percentage
Senior subordinated debt
Senior-subordinate structure
Senior tranches. See Non-accelerating senior tranches
Separate Trading of Registered Interest and Principal Securities (STRIPS). See also Treasury STRIPs
Sequential-pay CMOs
Sequential-pay tranches
Servicer, quality
Servicing
fee
Settlement
date
methods
Shareholder rights
Shifting interest mechanism
Shortfall risk
Short futures
Short hedge
Short position
Short-term forward rates
curve
graph
relationship. See Spot rate
Short-term interest rate (financing rate)
increase
relationships, recasting
Short-term risk-free interest rates. See also Options
Short-term solvency ratios
Short-term trading strategies
Simple margin
Single call price, call date (irrelevance)
Single-index performance evaluation measures
Single liability, immunization strategy
illustration
Single monthly mortgage (SMM) rate
Single-name credit default swap
illustration
Single step-up noncallable note, valuation
Single step-up note
Sinking fund
provision. See also Accelerated sinking fund provision
requirement
Skewed distributions
SLABS. See Student loan-backed securities
SLS. See Supplemental Loans to Students
Small Business Administration (SBA)
loan-backed securities
SMM. See Single monthly mortgage
Soft bullet
Soft put
Sovereign bonds
reference
Sovereign ratings
Sovereign risk
Special bond structures
Special collateral
Special event risk
Specialized U.S. bond market indexes
Special purpose vehicle (SPV) (special purpose corporation)
Special redemption price, contrast. See Regular redemption prices
Speculative bonds. See Noninvestment-grade bonds
Speculative grade, meaning
Spot exchange rate
Spot rate. See also Theoretical spot rates; U.S. Treasury
curve. See Benchmark spot rate curve
construction. See London Interbank Offered Rate
yield spread measure, relationship
hypothetical curves
shift
short-term forward rates, relationship
usage
Spread. See also Yield spread
analysis
call risk, impact
change return
credit risk, impact
measures
interpretation
summary
prepayment risk, impact
products
risk
sectors
tools
widening
Spread duration. See Bond portfolio
contribution
corporate sector recommendation
MBS sector recommendation
measures, types
Spread for life
SPV. See Special purpose vehicle
Stakeholders
corporate governance, relationship
relations
Standard deviation
annualizing
calculation. See Daily standard deviation
measures, review
usage, yield estimation (usage)
Standard & Poor’s Corporation
analysis
Governance Metrics/Score
observations
sovereign ratings methodology profile
Stated conversion price
State/local governments, entities
Statement of cash flows. See Cash flow
Static return
Static spread
explanation
Step-up callable note, valuation
Step-up notes. See also Multiple step-up note; Single step-up note
Story disagreement
Straight value (investment value)
Strategic allocation
Strategic strategies
Stratified sampling
technique
Stress testing
Strike price. See also Federal National Mortgage Association bond
relationship. See Securities
selection
Strike rate
Stripped MBSs
trading/settlement procedures
Stripping, arbitrage-free valuation (relationship)
STRIPS. See Separate Trading of Registered Interest and Principal Securities
Structural analysis
Structural models. See Credit risk
Structural protection
Structured credit products
Structured financial products
Structured interest-only tranches (structured IOs)
Structured MTNs
Structured portfolio strategies
Structure trades
involvement
Student loan-backed securities (SLABS)
cash flow
issuers
Student Loan Marketing Association
Subordinate basket default swaps
Subordinate credit default swaps
Subordinated debenture bonds
Subordinated debt
Subordinate interest
Subordination, level
Subprime borrowers
Subsidiaries. See Restricted subsidiaries; Unrestricted subsidiaries
Substitution swap
Supplemental Loans to Students (SLS)
Support tranche (companion tranche)
average life
structure
Supranation
Surplus fund
Surveillance
Swap curve (LIBOR curve)
advantages. See Government bond yield curve
elements
usage increase, reasons
Swap rate
calculation
determination
formula, denominator (calculation)
Swaps
agreement, counterparty description
counterparty
dealer
dollar duration
elements
entering
fixed rate
initiation
nomenclature, option nomenclature (contrast)
notional amount
option
payment, computation
position, interpretation
term
valuation
calculation
Swap spreads
credit spreads, trailing correlation
curve. See also Germany; Japan; United Kingdom; United States
determinants
examination
relationship. See Interest rate swaps
Synthetic CDOs
elements
Systematic risks
components
T
Tactical allocation
Tactical strategies
Tangent line
inclusion. See Option-free bonds
usage. See Price
Target amortization class (TAC) tranches
Target dollar duration
Target duration
Target price
basis
Target rate
Target rate basis
Target return
Target semivariance
Taxable-equivalent yield
Tax-backed debt. See also Municipal bonds issues. See U.S. municipal securities market
Tax-equivalent yield
Tax-exempt securities
TBA trade. See To-be-announced trade
TCL. See The Corporate Library
Technical analysis
Technical factors
Technical indicators
Technicals
Temporal definitions, impact
Tennessee Valley Authority (TVA)
Terminal value
Term repo
rate
Term structure risk
Term to maturity
The Corporate Library (TCL)
Then-current futures price
Theoretical futures price
arbitrage model, usage
examination
Theoretical spot rates
construction. See U.S. Treasury
curve
Treasury yield curve, relationship
Theoretical value, determination
Theta, calculation
Third-party guarantee
TIIS. See Treasury Inflation Indexed Securities
Time tranching. See Prepayment
Time value. See also Options
Timing option
TIPS. See Treasury Inflation Protection Securities
To-be-announced (TBA) trade
Top-down approach
Top down value added strategies
Total accumulated value-546e
Total debt to capitalization ratio
Total dollar return
receiving
Total future dollars
receiving
Total return-546e. See also Investment horizon
analysis
calculation, graphical depiction
computation
illustration
index swap
payer
receiver
swap
benefits
illustration
Total-return oriented investor
Total tangible assets
Tracking error
calculation
contrast. See Actual tracking error
measurement
minimization
prediction
Traded flat. See Bonds
Traders, experience. See Experienced trader
Trades
assessment
interest rate risk, control
Trading
constraints
reasons
return
strategy, performance
Trading at a discount
Trading at a premium
Tranches. See also Non-accelerating senior tranches; Planned amortization class; Scheduled tranche; Support tranche
average life
C/D
creation. See Notional IO
monthly cash flow
usage
Transaction structure, classification
Transition matrix, example. See One-year rating transition matrix
Transparency disclosure
Treasury Inflation Indexed Securities (TIIS)
Treasury Inflation Protection Securities (TIPS)
Treasury securities. See Fixed-principal Treasury securities; Inflation-indexed Treasury securities; U.S. Treasury securities creation. See Zero-coupon Treasury securities
Treasury STRIPs
Trigger point
Trinomial models
Trustee (trustee agent)
TVA. See Tennessee Valley Authority
Two-bond hedge
computation
contrast. See Duration
finding
illustrations
long position, inclusion
short position, inclusion
illustration
Two-factor models
Two-sided prepayment protection
Type-III liability
Type-II liability
Type-I liability
Type-IV liability
U
Underlying, delivery
Underlying bond
call option price
price
Underwriting standards
Unhedged expected return
usage
Unhedged international bond portfolios, risk-return
Unhedged returns
Unhedged strategy, excess currency return
United Kingdom (UK)
gilt yield curve
residential MBSs
swap spread curves
United States (US)
daily swap spreads
swap spread curves
Unleveraged strategy
Unlimited tax obligation debt
Unrestricted active management
Unrestricted subsidiaries
Unsecured debt
Upgrade
Upper medium grade, meaning
Upward sloping yield curve
U.S. agency debentures/discount notes
U.S. agency MBSs
U.S. aggregate core portfolio, portfolio recommendation
U.S. bond market indexes. See Broad-based U.S. bond market indexes; Specialized U.S. bond market indexes
U.S. credit rolling Sharpe Ratio
U.S. federal agency securities, overview
U.S. investment-grade credit index excess returns
U.S. investment-grade credit markets, composition (change)
U.S. investment-grade curves, illustration
U.S. investors, perspective
U.S. municipal securities market, tax-backed debt issues
U.S. Treasury
arbitrage-free value, determination
bills
yield
coupon securities/bills
coupon strips
debt instruments, overview
equivalent position
hypothetical yields
issue hedge held to delivery
issues. See Off-the-run Treasury issues; On-the-run Treasury issues
market benchmark
notes
futures
par yield curve
portfolios, key rate duration profile
price, discount rate valuation
rates
returns, yield curve movements (impact)
securities
spot rate
usage. See Valuation
usage reason
stripping, arbitrage profit
strips
theoretical spot rate, construction
yield curve
changes
examination
illustration
Zero, daily yield change (moving average)
U.S. Treasury bonds
futures
issues, delivery/conversion factors (acceptance)
market value
valuation
U.S. Treasury securities
cash flows
risks
stripping
valuation, traditional approach/arbitrage-free approach (comparison)
User-charge covenants
V
Valuation
approach. See Arbitrage-free valuation approach
forward rates, usage
models
multiple discount rates, usage
principles
traditional approach
comparison. See U.S. Treasury securities
Treasury spot rates, usage
valuation
Value added strategies
Value-at-Risk (VaR)
framework
Value indicators
Variable-rate securities
Variance. See also Return
Variation margin
Vega, calculation
Volatility. See Yield volatility
arbitrage-free value, relationship
assumption
contrast. See Historical volatility
reduction
risk
sectors
Voluntary bankruptcy
W
WAC. See Weighted average coupon
WAM. See Weighted average maturity
Washington Metropolitan Area Transit Authority
Weighted average coupon (WAC) rate
Weighted average life (average life)
Weighted average maturity (WAM)
WGBI. See Citigroup World Government Bond Index
Whole-loan CMOs
Wild card option
Working capital maintenance provisions
World bond indexes
Writer
W.T. Grant, financial statements
Y
Yield. See After-tax yield; Cash flow yield; Current yield; Non-Treasury securities; Taxable-equivalent yield
beta
curve-adjustment trades
estimation, usage. See Standard deviation
maintenance charge
maturity, relationship. See On-the-run Treasury issues
measures
limitations
ratio
traditional measures
Yield curve. See also Flat yield curve; Humped yield curve; Inverted yield curve; Normal yield curve; Upward sloping yield curve; U.S. Treasury
butterfly shift
flattening
movements, impact. See U.S. Treasury
nonparallel shift
parallel shift
risk
composition, example
measurement
shape
illustration
shifts
impact
types
slope, twist
steepening
assumption
strategies
twists
Yield level, impact
Yield spread. See also Absolute yield spread; Government National Mortgage Association; Relative yield spread
change, refinement
measures, relationship. See Spot rate
understanding
Yield/spread pickup trades
Yield to call
Yield to first par call
Yield to maturity
measure, limitations
Yield to next call
Yield to put
Yield to refunding
Yield to worst
Yield volatility
forecasting
importance
measurement. See also Historical yield volatility
Z
Z bond. See Accrual tranches
Zero-coupon bonds
valuation
Zero-coupon Treasury securities, creation
Zero-volatility OAS
Zero-volatility spread (Z-spread)
approach
determination
explanation
illustration
increase
nominal spread, divergence
relationship. See Benchmark
Zeta model
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