The risk (a form of basis risk) that is caused by unanticipated losses or costs arising from a mismatch between...
The price of a convertible as quoted inclusive of accrued interest. Some Euroconvertibles such as French convertible bonds are normally...
A foreign bond that is privately placed in Japan in currency other than yen (hence it is called a Euro-yen...
The basis amount that results from the difference between the current clean price of a bond and the clean price...
The sensitivity of a convertible’s delta to changes in the underlying share price (mathematically, it is a second-order partial derivative...
A second-order sensitivity; it is a tool that measures of the sensitivity of a bond or portfolio’s duration to a...
In relation to bonds, it is the risk (a type of interest rate risk) that the reinvestment rate will drop...
An investment strategy that involves exiting one sector in order to enter another, in an attempt to maximize profits or...
An interest-only bond (tranche) that receives the excess interest (difference between the coupon rate on the underlying tranches and the...
A bond trading strategy in which profits are made by changing yield spreads among different sectors of the bond market....