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Funding Risk

The risk (a form of basis risk) that is caused by unanticipated losses or costs arising from a mismatch between...

Gross Price of a Convertible

The price of a convertible as quoted inclusive of accrued interest. Some Euroconvertibles such as French convertible bonds are normally...

Geisha Bond

A foreign bond that is privately placed in Japan in currency other than yen (hence it is called a Euro-yen...

Gross Basis

The basis amount that results from the difference between the current clean price of a bond and the clean price...

Gamma of a Convertible

The sensitivity of a convertible’s delta to changes in the underlying share price (mathematically, it is a second-order partial derivative...

Convexity

A second-order sensitivity; it is a tool that measures of the sensitivity of a bond or portfolio’s duration to a...

Reinvestment Risk

In relation to bonds, it is the risk (a type of interest rate risk) that the reinvestment rate will drop...

Sector Rotation

An investment strategy that involves exiting one sector in order to enter another, in an attempt to maximize profits or...

Structured Interest Only

An interest-only bond (tranche) that receives the excess interest (difference between the coupon rate on the underlying tranches and the...

Sector Swap

A bond trading strategy in which profits are made by changing yield spreads among different sectors of the bond market....