SHOP

The change in an option’s premium for a change in interest rates.

Also known as a reverse and a reverse repo. The opposite of a repurchase agreement. The purchase of a security with the simultaneous agreement to sell it back at a specific later date and at a specific price.

A dual currency note (DC) pays coupons in the investors’ domestic currency with the notional in the issuers’ domestic currency. A reverse dual currency note (RDC) is the reverse.

The scheduled dates for the resets of the floating rate of interest on rate swaps.

An adjustment in a floating rate of interest that marks the rate to that prevailing in the market.

Return required by investors to invest in a security that has a specific amount of risk. Also refers to the return required to meet a specific set of liabilities.

Also known as a repo and an RP. A method of borrowing that involves the sale of a security with the simultaneous agreement to buy it back at a specific later date and at a specific price. These agreements are widely used in the securities industry as a means of…

A swap that is entered to replace a swap that is terminated prematurely. This most often becomes necessary when a one of a pair of matched swaps is terminated early.

The measurement of the comparative attractiveness of a security with respect to the associated risks, the liquidity and the return on the security relative to another security.

The measurement of the comparative attractiveness of a security with respect to the associated risks, the liquidity and the return on the security relative to another security.

1) Risk that arises when the cash flows from assets precedes the cash requirements for meeting the liabilities of a portfolio. These early cash inflows need to be reinvested at the future dates, at rates largely unknown today. 2) The risk of reinvesting the incomes or other cash flows at…

The amount of capital a bank is required to maintain as dictated by regulators.