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Trade date plus two business days.

Legal entity created for the sole purpose of issuing securities to investors. In a mortgage backed pass-through, the cash flows of the underlying mortgages are used to satisfy the investor’s interest and principal payments.

The risk that an issuer may be barred by its government from making interest and principal payments on its debt. In the context of derivative instruments, it is the risk that a counterparty will be barred by its government from fulfilling its derivative obligations.

The rate of return over a given time period, e.g., quarterly or semi-annually, without taking compounding into account.

The Securities Industry and Financial Market Association, SIFMA is the combination of the Securities Industry Association (SIA) and the Bond Markets Association (BMA) and represents over 600 member firms in all financial markets in the U.S. and worldwide. SIFMA is committed to enhancing the public’s trust and confidence in the…

1) A party is said to be short securities if he or she has borrowed the securities (usually for purposes of a short sale). 2) A party is said to be short futures and options if he or she has sold the contracts.

The ratio of the excess total return on a portfolio (over-and-above the risk-free rate) relative to its market risk on the portfolio.

The risk that differences between market settlement hours may result in exchanges of interest and/or principals at different times or even on different days. The first paying party is exposed to the risk that the later paying party will default after the first paying party has made its required payment…

The price established by the clearinghouse of a futures exchange to be used as the basis of the daily marking-to-market of margin accounts

1) In securities trading, the date a transaction is cleared. 2) In futures trading, the date a cash settled contract is marked to the spot price or index. 3) The date that the cash settlement is due on an interest rate contract. This may or may not coincide with the…

With respect to futures, all futures listed on the same exchange and having the same terms, including the same delivery month.

An annual rate of interest that is paid in two semiannual installments. Not to be confused with a “half-year rate” which is a rate of interest stated on a six-month basis.