List of Acronyms
| ABS | Asset-backed securities |
| ADV | Average daily volume |
| AFX | American Financial Exchange |
| Ameribor | American Interbank Offered Rate |
| AP | Authorized participant |
| ARM | Adjustable-rate mortgage |
| ATM | At-the-money |
| AUD | Australian dollar |
| AXI | Across-the-Curve Credit Spread Index |
| BIS | Bank for International Settlements |
| BOJ | Bank of Japan |
| BRL | Brazilian real |
| BSBY | Bloomberg Short-Term Bank Yield Index |
| BSM | Black-Scholes-Merton |
| CAD | Canadian dollar |
| CCP | Central counterparty |
| CDS | Credit default swaps |
| CHF | Swiss franc |
| CLO | Collateralized loan obligation |
| CLOB | Central limit order book |
| CMO | Collateralized mortgage obligation |
| CMT | Constant-maturity Treasury |
| CP | Commercial paper |
| CPR | Conditional or constant prepayment rate |
| CRT | Credit risk transfer |
| CTD | Cheapest-to-deliver |
| CTM | Collateralized-to-market |
| CVA | Credit value adjustment |
| DTS | Duration times spread |
| DVP | Delivery versus payment |
| DV01 | Dollar value of an '01 |
| EC | European Commission |
| ECB | European Central Bank |
| EFFR | Effective fed funds rate |
| ENNs | Entity-netted notionals |
| EONIA | Euro Overnight Index Average |
| ESG | Environmental, social, and governance |
| ESTER | Euro Short-Term Rate |
| ETF | Exchange-traded fund |
| EUR | Euro |
| EURIBOR | Euro Interbank Offered Rate |
| FCM | Futures commission merchant |
| FHLMC | Freddit Mac or Federal Home Loan Mortgage Corporation |
| FICC | Fixed Income Clearing Corporation |
| FNMA | Fannie Mae or Federal National Mortage Association |
| FOMC | Federal Open Market Committee |
| FRA | Forward rate agreement |
| FRN | Floating-rate note |
| FVA | Funding value adjustment |
| GBP | British pound |
| GC | General collateral |
| GCF | General collateral finance |
| GSE | Government-sponsored enterprise |
| HFT | high-frequency trading |
| HQLA | High-quality liquid assets |
| HQM | High-quality market-weighted |
| IDB | Interdealer broker |
| IM | Initial margin |
| IMM | Inside market midpoint |
| IMM | International money market |
| IO | Interest only |
| IOER | Interest on excess reserves |
| IORB | Interest on reserve balances |
| IRS | Interest rate swap |
| JPY | Japanese yen |
| LCH | London Clearing House |
| LCR | Liquidity coverage ratio |
| LIBOR | London Interbank Offered Rate |
| LTRO | Long-term refinancing operations |
| LTV | Loan-to-value |
| MAC | Market agreed coupon |
| MBS | Mortgage-backed securities |
| MPOR | Margin period of risk |
| MRO | Main refinancing operations |
| MTN | Medium-tern note |
| NAV | Net asset value |
| NOI | Net open interest |
| NPV | Net present value |
| NSFR | Net stable funding ratio |
| LSOC | Legally separated operationally comingled |
| OAD | Option-adjusted duration |
| OAS | Option-adjusted spread |
| OIS | Overnight index swap |
| ON | Overnight |
| OTC | Over-the-counter |
| OTR | On-the-run |
| PAC | Planned amortization class |
| PCA | Principal component analysis |
| PO | Principal only |
| PTF | Principal trading firm |
| P | #38;L Profit and loss |
| REMIC | Real estate mortgage investment conduit |
| RFQ | Request for quote |
| RRP | Reverse repo |
| RSAT | Replication synthetic asset transaction |
| RTM | repo-to-maturity |
| SARON | Swiss average rate overnight |
| SATO | Spread at origination |
| SDR | Swap data repositories |
| SEF | Swaps execution facility |
| SEK | Swedish krona |
| SEQ | Sequential pay class |
| SIMM | Standard initial margin model |
| SLUGs | State and local government series |
| SMM | Single monthly mortality |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Interbank Average |
| STM | Settled-to-market |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities |
| TAC | Targeted amortization class |
| TIBOR | Tokyo Interbank Offered Rate |
| TIPS | Treasury Inflation Protected Securities |
| TLTRO | Targeted long-term refinancing operations |
| TONAR | Tokyo Overnight Average Rate |
| UMBS | Uniform mortgage-backed securities |
| USD | United States dollar |
| VM | Variation margin |
| WAC | Weighted-average coupon |
| WALA | Weighted-average loan age |
| WAM | Weighted-average maturity |
..................Content has been hidden....................
You can't read the all page of ebook, please click here login for view all page.