SHOP

Also referred to as term. The length of time from the present until the maturity of an instrument.

Shows the relationship between interest rates on bonds of different maturities, usually depicted in the form of a graph called a yield curve.

A repurchase agreement having a maturity more than one day.

The length of the life (term to maturity) of a multi-period derivative instrument such as a rate cap, a rate floor, or a swap.

Asset-based swaps that are used to alter the tax character of a cash flow stream.

A tranche in a CMO that is similar to PACs but have a single PSA rate (not a band of PSA rates like the PAC) that protects it from fluctuations in prepayment speeds. TACs are protected against higher than expected prepayment rates but not against extension risk. If prepayments are…

The degree to which the fluctuations in the value of a financial instrument are associated with fluctuations in the value of the underlying market.

A basket or combination of instruments that behaves, in terms of its cash flow stream, like some real instrument not included in the original basket.

An option on a swap. The swaption purchaser has the right to enter a specific swap for a defined period of time.

A term loosely used to describe pricing behaviors in non-swap instruments that are brought about through a linkage to the swap market. Examples include price movements in the futures and forward markets.

Also known as a market maker. A financial intermediary that makes a market in swaps and that profits from its bid-ask spread. Unlike a swap broker, the swap dealer becomes a counterparty to each swap.

The fixed rate of interest on the fixed-rate side of a swap