September 2022
Beginner
560 pages
17h 36m
English
Content preview from Fixed Income Securities, 4th Edition
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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 ... |
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