Index

  • A
  • Accrued interest, 50, 60–63
    • Credit default swaps (CDS), 369
    • Forward contracts, 251–254
    • Futures contracts, 260, 263
    • Mortgages, 425–426
  • Across‐the‐Curve Credit Spread Index (AXI), 295
  • American Interbank Offered Rate (Ameribor), 290, 295
  • Arbitrage Pricing, 49, 55–57, 177–190, 194
    • Credit default swaps (CDS), 374–376
    • Forward contracts, 252‐255, 425
    • Futures contracts, final settlement price, 264–265, 438
  • Asset‐backed securities (ABS), 4, 39, 234
  • Asset managers, 37, 43, 46–47, 79
    • Corporate debt and credit default swaps (CDS), 349, 350–351, 365
    • Duration vs. DV01, 113
    • Hedging, 135, 145–146 fn. 1
    • Interest rate swaps (IRS), 321–322, 329
    • Profit and loss attribution, 79
  • Asset swaps and asset swap spread, 94, 329, 357–359, 376
  • Auto loans, 16–17
  • B
  • Banks, 1, 13–14, 18–20, 263, 348–349, 354
    • Collateralized loan obligations (CLOs), 350
    • Europe, 33–34, 365, 376
    • Federal Reserve and monetary policy, 25–32
    • Fed funds, 302–303
    • Interest rate swaps (IRS), 321–322, 325, 332–333, 344–345
    • Japan, 36
    • Negative rates, 32–33
    • Money market funds, 21–22
    • Mortgages, 396–400, 420–421
    • Regulation, 41–43, 242–243
    • Repo, 226, 233, 235–237
    • Short‐term rates and the transition from LIBOR, 289–295
  • Barbell vs. bullet, 127–134
  • Basis point, 7 fn. 4, 89
  • Basis swaps and basis swap spreads, 344–346
  • Black‐Scholes‐Merton (BSM) pricing model, 194–195, 433–434, 437, 440–441, 447 fn. 5, 448–450
  • Bloomberg Short‐Term Bank Yield Index (BSBY), 290, 295
  • Bond spread, 79, 90–94, 100, 111, 352, 360–361, 356–357
    • CDS‐equivalent, 371–374, 379
  • Butterfly, 161, 173
  • C
  • Callable bonds, see Options/Embedded Call Options
  • Caps, see Options/Caps and floors
  • Carry, 97–98, 256, 270–271, 279, 281, 286, 424–425
  • Carry‐roll‐down, 94, 97–100, 193
  • Cash carry, 97–100, 255–256, 270 fn. 7
  • Cash settlement, 296, 362, 379–380, 383–384, 448
  • Central limit order book (CLOB), 38, 40
  • Century bond, 104
  • Cheapest‐to‐deliver (CTD), see Delivery option and the cheapest‐to‐deliver (CTD)
  • China, 1–2, 9, 335 fn. 11, 249–250, 362
  • Clean price, 60
  • Clearing and central counterparties (CCPs), 339–344
    • Credit default swaps (CDS), 367 fn. 14
    • Interest rate swaps (IRS), 319–320, 322, 328, 336–339
    • Repo, 231–232, 245
    • Short‐term rates and their derivatives, 292, 294, 297 fn. 6
  • Collateralized loan obligations (CLOs), 349–351, 430 fn. 18
  • Collateralized‐to‐market (CTM), 263 fn. 5, 335–337
  • Collateral swap, 230
  • Compounding
    • Interest rates, 65–71
    • Hazard rates, 317–318, 367–368
    • Prepayment rates, 409–410
  • Constant‐maturity Treasury (CMT) swap, 188–191
  • Consumer credit, 5 fn. 1, 13, 15–17, 19
  • Continuous compounding, 68
  • Conversion factor, see Note and bond futures
  • Convexity, 106, 109, 113–119, 126–134, 219–221
  • Corporate debt, 5, 12–13, 18, 39, 41–43, 63, 67, 104, 234, 347–361
    • Credit default swaps (CDS)
      • CDS‐bond basis and basis trades, 374–377
      • CDS‐equivalent bond spread, 371–374
      • Comparisons with corporate bonds, 363–365, 374–375
    • Credit risk premium, 360–361
    • Credit spreads, 91, 97 fn. 6, 356–360
    • Default rates, recovery rates, and credit losses, 353–355
    • Exchange‐traded funds (ETFs), 44–46
    • Hazard‐adjusted duration and DV01, 377–378
    • Hedging future issuance, 330–332
    • Market making, 109–111
    • Negative rates, 32 fn. 27
    • Pension funds, 128, 329–330
    • Repurchase agreements or repo, 225 fn. 2, 226, 230, 234
    • Spread duration and DV01, 378–379
      • Risky DV01, 379
    • Synthetic floating‐rate debt, 333
  • Counterparty credit risk, 319, 334–339, 342
  • Coupon effect, 86–89
  • COVID pandemic and economic shutdowns or March 2020, 9, 12, 16–17, 23–24, 41 fn. 37
    • Credit risk, 354–355, 436–437
    • Europe and Japan, 35–37, 363, 377
    • Exchange‐traded funds (ETFs), 45–46
    • Monetary policy, 28, 31, 305
    • Mortgages and Mortgage‐backed securities (MBS), 399, 416, 431
    • Repo, 237, 239 fn. 8, 243
    • Treasury futures basis trades, 281–287
  • Credit default swaps (CDS), 4, 347, 361–394
    • Bond basis and basis trades, 374–377
    • Equivalent bond spread, 371–374
    • Opportunistic strategies, 384–386
    • Settlement auctions, 379–384
    • Upfront amount, 362, 366–371
    • Uses, 363–366
  • Credit ratings, 347–348, 353–355, 360–361
  • Credit value adjustment (CVA), 335
  • Cross‐currency basis swap, 344, 345 fn. 19
  • Curve building, 145–146, 306–308
  • Curve risk, 94, 136–137, 145, 149–150, 161, 269, 332
  • CV01, 146–147
  • D
  • Daily settlement, 249
    • Counterparty risk, 261 fn. 3
    • Futures options, 438–440
    • Note and bond futures, 260–263, 273, 286
    • Rate futures, 297, 304, 308–309, 311–312, 314–317
  • Day‐count conventions, 60, 63, 69
  • Dealers, 3, 14, 37–38, 40–44, 47–48, 292
  • Delivery option and the cheapest‐to‐deliver (CTD)
    • Credit default swaps (CDS), 362, 380, 385–386
    • Mortgage TBAs, 418–420
    • Note and bond futures, 250, 264–286, 441
  • Delivery versus payment (DVP), 231–232, 235
  • Derivatives, 3–4,
    • Arbitrage pricing, 179, 182, 184, 188, 194–195
    • Corporate debt and credit default swaps (CDS), 374 fn. 19, 379–380
    • Interest rate swaps (IRS), 319, 334–335, 338 fn. 14
    • Mortgages and mortgage‐backed securities (MBS), 424
    • Short‐term rates, 289–292, 294
  • Dirty price, 60
  • Discount factors, 49, 51–54, 57–59
    • Flat‐forward‐rate curve, 307–308
    • Floating leg of an interest rate swap (IRS), 325
    • Option pricing, 441
    • Swap, spot, and forward rates, 68, 71–75
  • Dodd‐Frank Act, 23 fn. 16, 319, 338–339
  • Duration, 106, 112–113, 115–117, 119–126, 210
    • Barbell vs. bullet, 127–134
    • Callable bonds, 434, 436–438
    • Decomposition of forward rates, 201–204
    • Futures cheapest‐to‐deliver (CTD), 268–269, 274–276
    • Hazard‐adjusted, 377–378
    • Key‐rate, 136–145
    • Macaulay vs. Modified, 120, 120 fn. 1
    • Mortgages and mortgage‐backed securities, 416–417, 422, 427–428
    • Option‐adjusted, 438
  • Duration times spread (DTS), 379
  • DV01, 106–111, 113–114, 117–126
    • Callable bond, 436–438
    • Forward‐bucket, 147–150
    • Forward contract, 257–258
    • Futures, 249–250, 277–278, 441
    • Hazard‐adjusted, 377–378
    • Key‐rate, 136–145
    • Option‐adjusted, 438
    • Partial, 145–147
    • Swaps, 320, 326–327, 329
  • E
  • Electronification, 40–41, 43–45, 47
  • End‐of‐month option, 259, 279–281
  • Entity‐netted notionals (ENNs), 321–322
  • Environmental, social, and governance debt (ESG), 36 fn. 34
  • Euro Interbank Offered Rate (Euribor), 289–292, 294
    • Basis swaps, 344–346
    • Forward rate agreements (FRAs) and futures, 312–318
    • Futures options, 438–440
    • Principal components of swap rates, 172–173
    • Swaps, 319, 323–326, 330
  • Euro Overnight Index Average (EONIA), 290–291
  • European Central Bank (ECB), 33–37, 172
    • Negative rates, 32–33
  • European sovereign debt crisis, 243–247, 330, 363, 376–377
    • MF Global repo‐to‐maturity (RTM) trades, 243–247
  • Euro short‐term rate (ESTER), 290–291, 294, 343–346
    • Swaps, 70
  • Eurozone debt and derivatives, 1–4, 35–36, 41
  • Exchange‐traded funds (ETFs), 14, 37, 43–46
  • Expectations hypothesis, 96, 204
  • F
  • Failing to deliver, 239 fn. 8
  • Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC), see Government‐sponsored enterprises (GSEs)
  • Federal National Mortgage Association (Fannie Mae or FNMA), see Government‐sponsored enterprises (GSEs)
  • Federal Reserve, 14–15, 19, 42 fn. 38, 170, 172, 213–214, 217–218, 236–237
    • Balance sheet, 27–29
    • COVID pandemic and economic shutdowns, 24, 243, 286
    • Emergency facilities, 22, 23 fn. 16
    • Federal Open Market Committee (FOMC) meetings, 198, 289, 301–302, 304–308
    • Interest on excess reserves (IOER), 28 fn. 22
    • Interest on reserve balances (IORB), 28–32
    • Monetary policy, 24–32, 37, 303
    • Open market operations, 26
    • Quantitative easing, 26–28, 31–32
    • Repo and reverse repo (RRP) facility, 26–31, 223, 233
  • Fed funds, 26, 30, 290, 292, 302–303
    • Effective fed funds rate (EFFR), 235–237, 303–304, 344
    • Futures, 289, 302–308, 317
    • Target rate, 28–31, 301–304
      • Extracted from futures, 304–308
      • Term structure models, 213–214, 217–218
  • Fellow customer risk, 341–342 fn. 17
  • FICO, 399–400, 410, 420
  • Financial crisis of 2007–2009, 1, 9, 12, 16–17, 22–24, 290, 391
    • Corporate debt and credit defaults swaps (CDS), 354, 363, 366, 376, 387
    • Government‐sponsored entities (GSEs), mortgages, and mortgage‐backed securities
  • G
  • Gauss+ model, 135, 177, 210–222
  • Germany 2, 9, 35, 50, 89, 91, 244, 362, 376–377
  • Government National Mortgage Association (Ginnie Mae or GNMA), 396–400
  • Government‐sponsored enterprises (GSEs), 13
    • Balance sheet consolidation of mortgage‐backed securities (MBS), 12 fn. 8
    • Credit risk transfer (CRT) securities, 428–431
    • Debt, 5, 13–14
      • Average daily volume (ADV), 39
    • Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC), 22, 387, 396–400, 427
    • Federal National Mortgage Association (Fannie Mae or FNMA), 22, 387, 396–400, 427
      • Mortgage pools, 406–411
    • Mortgage‐backed securities (MBS), 26, 396–400, 417–418
    • Repo, 233–234
  • Greece, 9, 35, 244, 289 fn. 1, 329–330, 362, 376
  • Green bonds, 36 fn. 34
  • Gross market value, 326
  • H
  • Haircut, see Margin
  • Half‐life, 207, 216
  • Hedge funds, 21
    • Basis trades, 282, 285–286
    • Collateralized loan obligations, 349–350
    • Credit risk transfer (CRT) securities, 431
    • Hedging, 103, 135, 145–146 fn. 1
    • Interest rate swaps (IRS), 321–322, 335,
    • Leverage, 81–82, 241
    • London Whale, 393–394
    • Opportunistic credit default swap (CDS) strategies, 385
    • Short financing, 229–230
  • Hedging, 41, 103–104, 135–136
    • Barbell vs. bullet, 127–134
    • Basis swaps, 344–345
    • Black‐Scholes‐Merton (BSM), 195, 433, 436
    • Central counterparty (CCP) default management, 337–338
    • Credit default swaps (CDS), 364–366
    • Convexity, 117–119, 204
    • DV01, 109–111
    • Forward‐bucket '01s, 147–150
    • Interest rate swaps (IRS), 327–333
    • Key rates, 137–138, 141–145
    • London Whale, 387, 391–392
    • MF Global, 245
    • Mortgages and mortgage‐backed securities, 400, 421–424
    • Note and bond futures, 249, 258, 261–263, 273, 279–281
    • Partial '01s and PV01, 145–147
    • Principal components, 172–175
    • Regression, 153–164, 166–167
    • Short‐term rate forwards and futures, 289, 294–302, 304, 306–316
    • Single‐factor, 126–127, 171
    • Term structure models, 177, 193, 206, 210, 218, 221
  • High‐quality market‐weighted (HQM) curve, 104–106, 127–132, 140, 142, 144
  • Home equity loans, 16–17, 398, 398–399 fn. 3
  • Households, 13–17
  • I
  • Indenture, 241, 351
  • Initial margin, see Margin
  • Insurance companies, 13–16, 20–21, 82
    • Asset‐liability management, 135–136
    • Collateral swaps, 230
    • Corporate debt and collateralized loan obligations (CLOs), 349–350
    • Credit risk transfer (CRT) securities, 428 fn. 17
    • Interest rate swaps (IRS), 321–322, 338
    • Replication synthetic asset transactions (RSATs), 365
  • Interest rate futures, see Short‐term rate futures
  • Interest rate swaps (IRS), 68–73, 76–77, 319–346
    • Basis swaps, 344–346
    • Cash flows and analytics, 322–329
      • DV01, 326–327
      • Floating leg, 324–325
      • Net present value, 326
      • Overnight index swap (OIS) vs. fixed‐for‐floating, 319–320, 323–324
      • Unwinding risk positions, 327–329
    • Clearing and central counterparties, 339–344
    • Counterparty credit risk, 324–335
    • Market agreed coupon (MAC), 328
    • Market size and participants, 320–322
    • Uses, 329–333
      • Bank loans, 332–333
      • Greece hedges floating‐rate debt, 330
      • Hedging future debt issuance, 330–332
      • Pension liabilities, 329–330
      • Synthetic floating‐rate debt, 333
  • Invoice price, see Accrued interest
  • Italy, 2, 35, 50, 89
    • Credit default swaps (CDS), 362, 365, 376–377
    • MF Global's repo‐to‐maturity (RTM) trades, 244, 247
  • Ito's lemma, 201
  • J
  • Japan, 1–3, 9, 33, 50, 237
    • Bank of Japan (BOJ), 33, 36–37
      • Negative rates, 36
    • Government bond futures, 249–250
    • Interest rate swaps (IRS), 343
    • London Interbank Offered Rate (LIBOR), 290, 292, 294
    • Tokyo Interbank Offered Rate (TIBOR), 290–292, 294
      • Euroyen TIBOR, 291
      • JPY TIBOR, 291
    • Tokyo Overnight Average Rate (TONAR), 36, 69–70, 290–292, 294
  • Jensen's inequality, 199–200
  • K
  • Key‐rate DV01 and duration, 136–145, 150–151
  • L
  • Law of One Price, 49, 53–57, 59, 92, 180–181
  • Legally separated operationally comingled (LSOC), 341 fn. 17
  • Leverage ratio, 30–31, 242–243
  • Liquidity coverage ratio (LCR), 242
  • Liquidity (funding) risk, 7, 343, 348
    • Banks, 18–19, 25, 30, 332–333, 344, 349, 391
    • Credit default swap (CDS)‐bond basis, 374–377
    • Liquidity management and current regulatory issues, 241–243
    • MF Global's repo‐to‐maturity (RTM) trades, 244–247
    • Money market funds, 22–24
    • Repo, 226, 230, 234, 236–237, 297
    • Treasury futures basis trades, 281–287
  • Liquidity (trading), 37–48, 94, 109, 145, 294, 316
  • Loan‐to‐value ratio (LTV), 395, 399–400, 405–406, 408, 410, 415
  • Lockout, 293
  • London Clearing House (LCH), 245–246, 343
  • London Interbank Offered Rate (LIBOR), 70, 91, 312, 429
    • Caps, floor, and swaptions, 433, 442–446
    • Corporate debt and credit default swaps (CDS), 348, 350, 356–360, 369
    • Principal component analysis, 167–175
    • Transition from, 65, 223, 234, 289–295, 319, 339, 344
  • London Whale, 363, 387–394
  • Lookback, 293–294, 404
  • M
  • Maintenance margin, see Margin
  • Make‐whole call option, 352
  • Margin
    • Basis trades in March 2020, 285–286
    • Interest rate swaps (IRS) initial and variation margin, 326, 335–339, 341–343
      • Collateralized‐to‐market (CTM), 263 fn. 5, 335–337
      • Settled‐to‐market (STM), 263 fn. 5, 336–337
    • MF Global repo‐to‐maturity trades, 245–246
    • Note and bond futures, 261, 263
    • Repo haircuts and variation margin, 224–225, 227–228, 231
  • Margin period of risk (MPOR), 337–338
  • Margin procyclicality, 343
  • Market depth, 38, 47–48
  • Market making, 37–38, 41–43, 47, 109, 226–228, 243
  • Mark‐to‐market, 263
  • Monetary policy, see Federal Reserve/Monetary policy
  • Money market funds, 14, 16, 20 fn. 12, 21–24, 29–31
    • Hedging with short‐term rate futures, 297–302
    • Repo, 223, 226, 232–233
  • Mortgages and mortgage‐backed securities (MBS), 4–5, 12, 15–19, 20 fn. 12, 26–28, 31, 39, 67, 138, 322, 395–431
    • Adjustable‐rate mortgage (ARM), 403–404
    • Amortization table, 401–403
    • Collateralized mortgage obligations (CMOs), 427–428
    • Credit risk transfer (CRT) securities, 398, 428–431
    • Dollar rolls, 424–427
    • Fixed‐rate mortgage, 401–403
    • Interest‐only (IO) strips, 428
    • Market in the United States, 396–400
    • Negative convexity, 417, 421–423
    • Origination and origination channels, 399–400, 421
      • Pipeline risk, 421
    • Planned amortization classes (PACs), 427
    • Pools, 396–397, 406–415
    • Prepayments and the prepayment option, 395, 405–406, 411–415
      • Burnout, 413–414
      • Conditional or constant prepayment rate (CPR), 409
      • Incentive, 411–412
      • Media effect, 414
      • Refinancing, 119, 395, 405–406
        • Cash‐out, 405–406
      • S‐curve, 411–412
      • Single monthly mortality (SMM) rate, 409
      • Turnover, 406, 414–415
    • Pricing, spreads, and duration, 415–417
    • Principal‐only (PO) strips, 428
    • Real estate mortgage investment conduits (REMICs), 427
    • Repo, 225 fn. 2, 233–234, 235, 237, 242, 424–427
    • Risk factors and hedging, 421–424
    • Sequential pay classes (SEQs), 427–428
    • Servicers and servicing rights, 400, 406–407, 411, 420–424, 428
    • Specified pools, 419–421
    • Targeted amortization classes (TACs), 428
    • TBAs, 398, 418–419
    • Uniform MBS (UMBS), 398, 418–420, 426
  • Municipalities and Municipal Securities, 5, 9–15, 22, 39–40, 147–150, 226, 233–234, 347
  • N
  • Negative rates, 32–33, 36, 52 fn. 3, 76
    • Euribor futures, 312–315
    • Gauss+ model, 217–218
    • SABR model, 450–451
    • Special repo rates, 239 fn. 8
  • Net stable funding ratio (NSFR), 242
  • Nonfinancial business, 1–2, 4, 12–15, 18
    • Floating loans, set in arrears, 293
    • Interest rate swaps (IRS), 321–322, 338
    • Repo, 226
  • Note and Bond Futures, 249–287
    • Basis trades in March 2020, 281–287
    • Cost of delivery and the final settlement price, 263–266
    • Daily settlement, 260–263
    • Forward bond yield, 256–257
    • Forward contracts and forward prices, 249, 250–256
    • Gross and net basis and basis trades, 262, 269–273
    • Implied repo rates, 273–274, 282–284
    • Interest rate sensitivity of a forward contract, 257–258
    • Mechanics, 258–261
    • Motivations for a delivery basket and conversion factors, 266–268
    • Price and the quality option before expiration, 274–276
    • Quality option at expiration, 268–269
    • Timing, end‐of‐month, and wild‐card options, 279–281
  • Notional amount, 3–4
  • Notional coupon, 267–268, 278–279, 441
  • Novation, 330
  • O
  • Option‐adjusted duration (OAD), 408, 417, 421, 438
  • Option‐adjusted spread (OAS), 90 fn. 4, 177, 190–193
    • Callable bonds, 437–438
    • Credit spreads, 356–357
    • Mortgages and mortgage‐backed securities (MBS), 408, 415–416
  • Options, 433–451
    • Bond futures options, 440–442
    • Caplet, 442–443
    • Caps and floors, 320, 442–445
    • Embedded call options, 433–438
      • Vasicek model, 210
    • Equity‐ or traditional‐style options, 440
    • Euribor futures options, 438–440
    • Floorlet, 445
    • Futures‐style options, 438
    • SABR and shifted‐SABR models, 450–451
    • Shifted lognormal model, 450
    • Skew, 447–451
    • Stochastic volatility models, 450–451
    • Swaptions, 319–321, 422–424, 433, 445–451
    • Volatility cube, 447–448, 451
  • Over‐the‐counter (OTC), 243, 313, 315, 338, 445
  • R
  • Realized forwards, 94–96, 97, 100, 204
  • Regression hedging, 153–167
    • Level versus change regressions, 164–165
    • Out‐of‐sample analysis, 160–161, 163–164
    • Profit and loss (P&L) and P&L volatility, 159–160, 163–164
    • Reverse regressions, 165–167
    • Risk weights, 159, 163
    • Single variable, 154–161
    • Two‐variable, 161–164
  • Replicating portfolio, 55–57, 180–183, 188, 194
  • Replication synthetic asset transactions (RSATs), 365
  • Repo, see Repurchase Agreements
  • Repurchase Agreements or Repo, 223–247
    • General collateral (GC), 230, 235–237
    • General collateral finance (GCF), 231–233
    • Haircuts and variation margin, 224–225, 227–228, 231
    • Liquidity management and current regulatory issues, 241–243
    • Market structure and size, 231–234
    • Matched books, 233
    • MF Global's repo‐to‐maturity trades, 243–247
    • Open, 228–229
    • Quarter‐end and year‐end, 236–237
    • Repo‐to‐maturity (RTM), 243
    • Reverse, 229–230
    • Secured overnight financing rate (SOFR), 234–235
    • September 2019, 28, 30–31, 237, 243
    • Special collateral, 230, 238–241
    • Sponsored, 232
    • Tri‐Party, 231–234
    • Uses, 226–230
      • Collateral swap, 230
      • Investment, 226
      • Long financing, 226–229
      • Short financing, 229–230
  • Request‐for‐quotes (RFQs), 40
  • Return, 79–82
    • Yield to maturity, 84–86
  • Reverse repo (RRP) facility, see Federal Reserve/Repo and reverse repo (RRP) facility
  • Right‐way risk, 225
  • Risk‐neutral pricing
    • Credit default swaps (CDS), 371
    • Mortgages and mortgage‐backed securities (MBS), 415
    • Options, 437–438, 440–441
    • Term structure models, 182–192, 202, 204, 205–206, 213
  • Risk premium, see Term structure/Risk premium
  • Risk premium hypothesis, 96, 204
  • Risky DV01, 379
  • Roll‐down, 97–98
  • U
  • Unchanged term structure, 94–96
  • United Kingdom, 1–4, 9, 50
    • Government bond futures, 249–250
    • Interest rate swaps (IRS), 343
      • Principal components of swap rates, 172
    • Sterling Overnight Interbank Average (SONIA), 69–70, 290–292, 294
  • U.S. Government agencies, 13, 19, 39, 234, 397
  • U.S. Treasury debt, 1–2, 5–9, 39
    • Auctions, 7–8, 42, 238–240
    • Bills, 5–8, 32, 138
    • Coupon bonds, 5–6, 50–63
    • Electronic trading, 40, 43–44
    • Floating‐rate notes (FRNs), 6–8
    • Nonmarketable, 5, 8–9
    • Notes and bonds, 5–6, 50–63
    • On‐the‐run (OTR), 8, 90, 136–138, 147, 238–241, 249–250
    • Par value, 50
    • Principal amount, 50
    • Separate Trading of Registered Interest and Principal of Securities (STRIPS), 49, 57–60
    • Spreads, high‐coupon, 92–94
    • Treasury inflation protected securities (TIPS), 6–8
  • V
  • Variation margin, see Margin
    • Collateralized‐to‐market (CTM), 335–337
    • Settled‐to‐market (STM), 336–337
  • Vasicek model, 177, 205–210, 211–212
  • Volatility
  • Volcker Rule, 41, 383
  • W
  • Wild‐card option, 259, 281
  • Wrong‐way risk, 225
  • Y
  • Yield spread, 89–90, 356–357, 360, 376
  • Yield to maturity, 79, 82–89
    • Forward, 256–257
    • Yield and relative value, 86–89
    • Yield and return, 84–86
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