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The Futures Bond Basis, Second Edition by Moorad Choudhry

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ABBREVIATIONS

ACT Association of Corporate Treasurers
ALM Asset & Liability Management
ATM At-the-money
BBA British Bankers Association
BPV Basis Point Value
CBOT Chicago Board of Trade
CD Certificate of Deposit
CDS Credit Default Swap
CGO Central Gilts Office
CME Chicago Mercantile Exchange
CMO Central Moneymarkets Office
CMTM Current Mark-To-Market
CP Commercial Paper
CRND Commissioners for the Reduction of the National Debt
CTD Cheapest-To-Deliver
DBV Delivery By Value
DMO Debt Management Office
DVP Delivery Versus Payment
EDSP Exchange Delivery Settlement Price
FRA Forward Rate Agreement
FSA Financial Services Authority
FXA Forward Exchange Agreement
G7 Group of Seven
GC General Collateral
GDP Gross Domestic Product
GEMM Gilt-Edged Market Maker
GIC Guaranteed Investment Contract
GNP Gross National Product
GRY Gross Redemption Yield
ICMA International Capital Markets Association
IDB Inter-Dealer Broker
IG Index-linked Gilt
IRR Implied Repo Rate
ISDA International Swaps and Derivatives Association
LCH London Clearing House
LIBID The London Interbank BID rate
LIBOR London Inter-Bank Offer Rate
LIFFE London International Financial Futures Exchange
LND Last Notice Day
LSE London Stock Exchange
LTD Last Trading Day
MACD Moving Average Convergence/Divergence
MBS Mortgage-Backed Security
NPV Net Present Value
O/N OverNight
OTC Over-The-Counter
p&l Profit & loss
REPO Sale and repurchase ...

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