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Corporations and Government Sponsored Enterprises issue inflation-linked structures as part of their overall funding program. The notes are typically issued with a “floating coupon” structure based on the change in the Consumer Price Index for All Urban Consumers (CPI) over the previous year. The inflation component is added to the…

The increase of prices within the economy.

A passive portfolio management strategy, which aims to replicate the performance of a select index such as, the S&P 500, Dow Jones, and FTSE Indices etc, by investing in companies that make up the index.

A statistical measure of the weighted value of a group of securities used as a performance indicator. Example: S&P 500, Dow Jones, FTSE Indices etc. Indices act as mirrors of any given market (stock market or bond market), industry or economy and as benchmarks against which the performance of individual…

In the case of a call option, a situation in which the price of the underlying asset exceeds the strike price of the option. In the case of a put option, a situation in which the price of the underlying asset is below the strike price of the option.

Inferred from option pricing model (typically Black-Scholes) using the market value of an option and solving for the value of volatility consistent with the observed value of the option. Inputs include price of underlying, strike price of option, interest rates, time to expiration, volatility and type of option.

A bond portfolio strategy of matching the modified duration of the assets in a portfolio to the liability it is intended to pay off through portfolio rebalancing. The term of the liability represents the investment horizon of the investor. This strategy helps to eliminate interest rate risk, as interest rate…

IMM stands for International Monetary Markets and is part of the Chicago Mercantile Group. IMM swaps refer to a standard interest rate swap using IMM dates. These dates refer to the third Wednesday of March, June, September, and December. These dates are the final settlement dates for SOFR futures and…

IMM Dates are used to define critical dates for the SOFR futures contracts at the CME Group. Many OTC arranged interest rate swaps, such as “IMM Swaps”, are now pegging their floating rate payment dates to the IMM date calendar. Source: www.cmegroup.com For more information on the SOFR futures contract…

A hybrid security that the issuer classifies or structures as capital. Generally between debt and equity in regard to subordination.

A security that has features of both equity and fixed income securities.

A variant of immunization strategy, in which the cash flows due up to a certain intermediate horizon are matched on a cash flow basis, and the cash flows due after this intermediate horizon are matched on a duration basis.