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Issuer

An issuer (of a debt instrument or a similar types of instruments) is an entity (or a market player such...

Tranche Coupon Leg

One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche…

Tranche Premium Leg

One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche...

Funding Rate

It has many meanings in multiple contexts. Generally, it is the interest rate that is charged over a funding interval,...

Tranche Protection Leg

One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche...

Tranche Default Leg

One of the two legs of a tranche (vanilla tranche/ plain vanilla tranche), with the other one being a tranche...

SOFR Index

A type of SOFR (secured overnight financing rate) that calculate the compounded average of SOFR over a specific (usually customized)...

SOFR Averages

A type of SOFR (secured overnight financing rate) that represents an average of the daily overnight SOFR rate over 30-,...

Basis Point Differential

The difference in basis points (BPS) that exists between two positions or rates (yields) or premiums, etc. For example, the...

Daily Compounded SOFR

A method for calculation of SOFR (secured overnight financing rate)- a type of daily SOFR- that represents a daily weighted...