ABS | Asset-backed securities |
ADV | Average daily volume |
AFX | American Financial Exchange |
Ameribor | American Interbank Offered Rate |
AP | Authorized participant |
ARM | Adjustable-rate mortgage |
ATM | At-the-money |
AUD | Australian dollar |
AXI | Across-the-Curve Credit Spread Index |
BIS | Bank for International Settlements |
BOJ | Bank of Japan |
BRL | Brazilian real |
BSBY | Bloomberg Short-Term Bank Yield Index |
BSM | Black-Scholes-Merton |
CAD | Canadian dollar |
CCP | Central counterparty |
CDS | Credit default swaps |
CHF | Swiss franc |
CLO | Collateralized loan obligation |
CLOB | Central limit order book |
CMO | Collateralized mortgage obligation |
CMT | Constant-maturity Treasury |
CP | Commercial paper |
CPR | Conditional or constant prepayment rate |
CRT | Credit risk transfer |
CTD | Cheapest-to-deliver |
CTM | Collateralized-to-market |
CVA | Credit value adjustment |
DTS | Duration times spread |
DVP | Delivery versus payment |
DV01 | Dollar value of an '01 |
EC | European Commission |
ECB | European Central Bank |
EFFR | Effective fed funds rate |
ENNs | Entity-netted notionals |
EONIA | Euro Overnight Index Average |
ESG | Environmental, social, and governance |
ESTER | Euro Short-Term Rate |
ETF | Exchange-traded fund |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FCM | Futures commission merchant |
FHLMC | Freddit Mac or Federal Home Loan Mortgage Corporation |
FICC | Fixed Income Clearing Corporation |
FNMA | Fannie Mae or Federal National Mortage Association |
FOMC | Federal Open Market Committee |
FRA | Forward rate agreement |
FRN | Floating-rate note |
FVA | Funding value adjustment |
GBP | British pound |
GC | General collateral |
GCF | General collateral finance |
GSE | Government-sponsored enterprise |
HFT | high-frequency trading |
HQLA | High-quality liquid assets |
HQM | High-quality market-weighted |
IDB | Interdealer broker |
IM | Initial margin |
IMM | Inside market midpoint |
IMM | International money market |
IO | Interest only |
IOER | Interest on excess reserves |
IORB | Interest on reserve balances |
IRS | Interest rate swap |
JPY | Japanese yen |
LCH | London Clearing House |
LCR | Liquidity coverage ratio |
LIBOR | London Interbank Offered Rate |
LTRO | Long-term refinancing operations |
LTV | Loan-to-value |
MAC | Market agreed coupon |
MBS | Mortgage-backed securities |
MPOR | Margin period of risk |
MRO | Main refinancing operations |
MTN | Medium-tern note |
NAV | Net asset value |
NOI | Net open interest |
NPV | Net present value |
NSFR | Net stable funding ratio |
LSOC | Legally separated operationally comingled |
OAD | Option-adjusted duration |
OAS | Option-adjusted spread |
OIS | Overnight index swap |
ON | Overnight |
OTC | Over-the-counter |
OTR | On-the-run |
PAC | Planned amortization class |
PCA | Principal component analysis |
PO | Principal only |
PTF | Principal trading firm |
P | #38;L Profit and loss |
REMIC | Real estate mortgage investment conduit |
RFQ | Request for quote |
RRP | Reverse repo |
RSAT | Replication synthetic asset transaction |
RTM | repo-to-maturity |
SARON | Swiss average rate overnight |
SATO | Spread at origination |
SDR | Swap data repositories |
SEF | Swaps execution facility |
SEK | Swedish krona |
SEQ | Sequential pay class |
SIMM | Standard initial margin model |
SLUGs | State and local government series |
SMM | Single monthly mortality |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average |
STM | Settled-to-market |
STRIPS | Separate Trading of Registered Interest and Principal of Securities |
TAC | Targeted amortization class |
TIBOR | Tokyo Interbank Offered Rate |
TIPS | Treasury Inflation Protected Securities |
TLTRO | Targeted long-term refinancing operations |
TONAR | Tokyo Overnight Average Rate |
UMBS | Uniform mortgage-backed securities |
USD | United States dollar |
VM | Variation margin |
WAC | Weighted-average coupon |
WALA | Weighted-average loan age |
WAM | Weighted-average maturity |