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International Swaps and
Indexed portfolio managers,
Derivatives Association
167fn
(ISDA), 104
Indexes
In-the-money. See Deep in-the-
adjustments, 163
money
return, 153
call option, 63fn
India, long-term sovereign
put option, 125
currency rating/short-term
value. See Options
local currency rating, 88
Intramouth credit dynamics,
Individual Retirement Accounts
166“167
(IRAs), 242
Intrinsic value, 84, 125
Inflation, 8
Investment banks, 5, 249“250
Initial public offering (IPO),
Investment-grade bonds, 232
82“83, 152, 248
Investment-grade corporate
Institutional investor, 253
securities, 103
Interest paydown, pass-thru
usage, 182
principal (relationship), 138f
Investment-grade index, 166
Interest rate. See Short-term
Investor-related regulations,
interest rates
265t“266t
changes, 230
Investors, 4
decline, 135fn
profile, 249
differential, 8
Investor-specific assets, 57
futures, usage, 235
Investor-specific cash flow, 57
increase, 209




TLFeBOOK
283
Index



London Interbank Offered Rate
IPO. See Initial public offering
(Libor), 49, 80
ISDA. See International Swaps
cash investment, 104
and Derivatives Association
maturity, 97fn
Issuers, 73
rates, 102, 104
profile, 19
Long option, 211
rating, 74
Long-dated security, 155
Longer-dated debt, 76
K
Longer-term borrowing, 76
Kurtosis, 68
Long-term bonds, 76
Long-term capital gains, 242
L Long-term Equity Anticipation
Securities (LEAPS), 190
LEAPS. See Long-term Equity
Long-term investment, 259
Anticipation Securities
Long-term loan, 157
Leaps. See Forward leaps
Leverage strategies, 165“166
M
Libor. See London Interbank
Offered Rate Macaulay™s duration, 174“175
Liquidity premium, 44. See also Macaulay™s methodology, usage,
Non-Treasury liquidity 178“179
premium Macro fund types, 151
Loan Macro-oriented business-level
profiles, securitization, 90 exposure, protection, 235
transaction, 122 Make delivery, 46
Local currency, 6 Mapping process, 144f. See also
acceptance, 186 Cumulative preferred
rating, 83“84 convertible stock
Local market orientations, Margin account, 35
252“253 Market. See Secondary markets
Locking in, 227 benchmarks, 203
Lockout, 141 capitalization values, 48
period, 131 choppiness, near-term
protection, 142 period, 52
Log-normality, Black-Scholes control. See Federal budgets
assumption, 126 discipline, 259




TLFeBOOK
284 INDEX


price differences. See
Market (continued)
Present value
efficiency, 258
values, increase, 176
environment, 241
Monetary authorities, 41
index, 153
Money market
movement, 214
instruments, 245
participants, role
yield, 26fn
enhancement, 260
Moody™s Investors Service
prices, attractiveness, 52
ratings, usage, 166
regulation, 257
statistical data, 98“99
risk, 205
transition matrices, 100t
reduction, 190
Mortgage-backed securities
timing, 152
(MBSs), 103, 134, 139,
transactions, 77fn
164“165. See also
value, actual worth (material
Collateralized MBS;
difference), 57
Overcollateralized MBS
volatility, zero value, 71
callable bond optionality,
Market neutral
contrast, 136t
arbitrage, 151
cash flows, 136, 137f
securities hedging, 152
classes, 140
Market-moving event, 67
life, 140
Marking convention, 167
market, 165
Maturities, 3
pass-thru, 168
date, 19, 131“132, 144, 175
pool, 140
presence, 268
principal, 233
rating. See Split maturity
purchases, 261
rating
types, 262
restrictions, 168
usage, 182
yield, 26
valuation, 137
MBSs. See Mortgage-backed
Mortgages
securities
option-related dynamics, 134
Mexico, default (1982), 102
pool, 129
Modeling conventions, 168
Moving average calculation, 68fn
Modified duration, 175
Moving-mean calculation, 68fn
line, 177




TLFeBOOK
285
Index



Nondeveloped markets, 88
Multiple, 31
Nonfixed income securities, 38
Multiplication, distributive
Nonnational currency, 88
property, 26fn
Non-par bond Treasury
Multistrategy fund types, 152
security, 44
Municipal bonds, 247
Non-pass-thru-type structures,
N 139
Nonsynthetic CDO, 106
NAIC. See National Association
Nonsystematic risk, 219
of Insurance Commissioners
contrast. See Systematic risk
NASDAQ, 162
Non-Treasury bond, 24, 60
National Association of
Non-Treasury instruments, 239
Insurance Commissioners
Non-Treasury liquidity
(NAIC), 261
premium, 45
National currency, 188. See also
Non-Treasury par bond curve, 60
Nonnational currency
Non-Treasury products, 102
Negative carry, 117“120, 124
Non-Treasury security, 59, 102
Net basis, 218
forward spread calculation, 45
New York Stock Exchange, 162
Not-for-profit entities, 241
Next day, definition, 16
Notional amount, 126
Nikkei, 162
delta-adjusted amount, 127
Nominal spread (NS), 61f,
Notional contract value, 192
133, 134f
Notional principal, 260
interrelationships, 61f
NS. See Nominal spread
Nominal yield
differences, 243
O
spread, calculation, 43
Nonbenchmark security, 28 OAS. See Option-adjusted spread
Noncallable bond, 208 OECD. See Organization for
price, 199 Economic Cooperation and
Noncallable securities, 199 Development
Non-cash-flow paying security, Off-exchange transaction, 77
206, 229 Offsetting forward transaction,
Nonderivative credit-sensitive 212
instrument, 100 Off-the-run issue, 196




TLFeBOOK
286 INDEX


Out-of-the-money, 125. See also
Off-the-run securities, 44fn
Deep out-of-the-money
OLS. See Ordinary least squares
call option, 63fn
On special (special), 196, 240
movement, 210
On-the-run issue, 44fn, 196
put option, 63fn
On-the-run securities, 44fn
Overcollateralization, 90
On-the-run Treasury, 44fn
Overcollateralized MBS, 135
Opportunistic fund types, 152
Overlay funds, 158
Opportunity cost, 194

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