A floater that is embedded with caps or collars (caps and floors) so that the floating rate movement (adjustment) is…
The difference in basis points (BPS) that exists between two positions or rates (yields) or premiums, etc. For example, the...
The process of changing the interest rate on the leg of a currency swap being paid by the end user...
An FRN that is embedded with caps or collars (caps and floors) so that the floating rate movement (adjustment) is…
A forward contract which obliges the holder to buy or sell a basket default swap (BDS) at a specified time…
A basis point (bps) is 0.01 percentage point and equals $1,000 annually on a contract protecting $10 million of debt...
The return which is earned by an actively managed portfolio in excess and over an average market return (benchmark). Active…
The difference between three-month LIBOR and the overnight index swap rate (OIS rate). It is an indication of the amount…
A CMO tranche in which the monthly coupon rate is typically set equal to a reference rate such as LIBOR.…
A perpetual FRN which contains a call option given to the issuer. However, if the issuer doesn’t exercise this option…