Brainscape's Knowledge GenomeTM


Top Flashcards (Certified)
All Flashcards

Fixed Income > Untitled spreadsheet - Sheet1 > Flashcards

Untitled spreadsheet - Sheet1 Flashcards

(70 cards)

Start Studying
2
Q

2’s

A

2yr notes

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
3
Q

5’s

A

5yr notes

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
4
Q

10’s

A

10yr notes

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
5
Q

ABX Index

A

A series of credit default swaps based on 20 bonds comprised of subprime mortgages.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
6
Q

Across the Curve

A

Every bond in the yield curve.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
7
Q

Back End

A

The long end of the yield curve. The opposite ofFront End.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
8
Q

Basis Point (BP)

A

.01%

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
9
Q

Belly

A

The intermediate part of the yield curve. SeeWings.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
10
Q

Beta

A

a number that measures the correlation if the returns of a security or portfolio to the returns of the market. A beta of zero means there is no correlation. A positive beta indicates that the asset moves in the same direction as the market, and a negative beta means the asset moves in the opposite direction of the market.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
11
Q

Big Bid

A

High demand for a security.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
12
Q

Breakeven Curve

A

A yield curve of the yield spread betweenTIPSandNominals.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
13
Q

Cheapest to Deliver (CTD)

A

For a futures contract that can be settled by the delivery of more than one debt issue, this is the issue that is most profitable (cheapest) to deliver.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
14
Q

Capitulation

A

To give up on trying to recover market losses by exiting from a losing trade.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
15
Q

CapU

A

Short for capacity utilization, an economic indicator the measures the percentage of current economic output to the potential maximum output.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
16
Q

Carry

A

The accrued interest minus the cost of financing a securities position.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
17
Q

Cash Bonds

A

Actual bonds as opposed to bond futures.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
18
Q

Consolidate (Consolidative)

A

A downward correction after a market has been rising.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
19
Q

Convexity Buying

A

Whenconvexity playersbuy treasuries in a falling rate environment to hedge against the risk ofnegative convexity. The opposite ofConvexity Selling. Also referred to asConvexity Hedging.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
20
Q

Convexity Flows

A

Convexity buyingorselling.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
21
Q

Convexity Paying

A

SeeConvexity Selling.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
22
Q

Convexity Players

A

Mortgage Backed Securities investors, mortgage servicers, and mortgage relatedGSEsthat use treasuries to hedge against the risk ofnegative convexity. Convexity players will buy treasuries in a falling rate environment because the price of the treasuries will increase and offset the effects of thenegative convexityof the mortgages.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
23
Q

Convexity Selling

A

Whenconvexity playerssell treasuries in a rising rate environment to unwind hedges that they put on to hedge against the risk ofnegative convexity. The opposite ofconvexity buying.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
24
Q

Credit Default Swap (CDS)

A

A swap contract in which the buyer purchases protection against the default of a credit instrument from the swap seller.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
25
Q

Decent Bid

A

Decent demand for a security.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
26
Directs
 A direct bidder in a treasury auction- a primary dealer.  The opposite of Indirects.
27
Dove (Dovish)
 Used by traders to describe the Federal Reserve FOMC attitudes towards interest rates to indicate a desire to have low interest rates; the opposite of Hawk (Hawkish).
28
Fast Money
 Leveraged buying of securities, typically by hedge funds.  The opposite of Real Money.
29
Flatter (Flatten)
 Used by traders to describe changes in the yield curve to indicate a decrease in the difference short-term rates and long-term rates; the opposite of Steeper.
30
Flight to Quality
 A phenomenon in which investors sell riskier assets into safer assets (often short-term U.S. Treasuries) during times of economic uncertainty and fear.
31
Flows
 The flow of money into or out of a market.
32
Front End
 The short end of the yield curve.  The opposite of Back End.
33
Good Bid
 Good demand for a security.
34
Great Bid
 Great demand for a security.
35
Hawk (Hawkish)
 Used by traders to describe the Federal Reserve FOMC attitudes towards interest rates to indicate a desire to have high interest rates.  The opposite of Dovish.
36
HC
 Short for high coupon.
37
Hit
 When a trader takes a market maker’s bid and sells the security.
38
Implied Volatility (IV)
 An estimated measure of the volatility of a security’s price.  Implied volatility generally increases in a bear market, and decreases in a bull market.
39
Indexers
 Money managers that create portfolios to match an index like the Lehman Aggregate Bond Index. Similar concepts exist in the equity markets when money managers are indexed to the S&P 500.
40
Indirects
 An indirect bidder in a treasury auction that places their bid through a dealer.  Because they are often foreign buyers of treasuries, traders often use this as an indication of how much foreign buying there has been in a treasury auction.  The opposite of Directs.
41
Lift
 When a trader takes a market maker’s offer and buys the security.
42
Liquidity Premium
 Traders prefer to buy highly liquid securities over less liquid securities.  As a result, these liquid securities usually trade at higher prices.  This price difference is the liquidity premium.
43
Long End
 A reference to the long end of the yield curve, or longer maturity bonds.
44
Loop Effect
 The phenomenon that certain technical factors will cause market price movements to feed upon themselves and accelerate the price movement.  For example, rising prices can cause short sellers to buy into the rally to cover their shorts and limit their losses.  This buying accelerates the rising prices.
45
Negative Convexity
 A phenomenon attributable to callable bonds (particularly mortgage back securities) that causes the price to increase less, or even decrease, when interest rates decrease.  The reason is that it becomes more likely that the principal is likely to be repaid and will have to be reinvested at the new lower rates.
46
Nominals
 Regular treasury securities
47
Old Bonds
 Off -the-run bonds, as opposed to current or on-the-run bonds.
48
Option Adjusted Duration (OAD)
 The measurement of duration adjusted for the first option (put or call, but usually a call) provision.  Adjusting for a call provision will shorten the duration of a bond.
49
Option Adjusted Spread (OAS)
 A spread to the treasury yield that accounts for imbedded options in a bond  that could result in an early redemption.  It is usually used to account for the potential negative impact of mortgage prepayments on an MBS when interest rates fluctuate.
50
Play Large (Big)
 When the market aggressively participates in a treasury auction.
51
Play Small
 When the market does not aggressively participate in a treasury auction.
52
Prime X Index
 An index that allows investors to take positions on prime mortgage-backed securities through credit default swaps.
53
Real Money
 Unleveraged buying of securities typically by money managers.  The opposite of Fast Money.
54
Real Rates
 The real level of interest rates that is free of credit risk premium and inflation premium.  Also referred to as Real Yield.
55
Real Rate Longs
 A trade position of being long TIPS.
56
Real Yield Curve
 The yield curve comprised of TIPS, or real yields.
57
Rock
 Trader lingo for par. For example, I just traded some 10’s at the rock!
58
Secular
 Long term.
59
Short End
 A reference to the short end of the yield curve, or shorter maturity bonds.
60
Steeper (Steepen)
 Used by traders to describe changes in the yield curve to indicate an increase in the difference short-term rates and long-term rates; the opposite of Flatter.
61
Stop
 The highest yield accepted in a treasury auction.
62
Swap Spreads
 A swap is an over the counter agreement to exchange cash flows.  Most often it is an exchange of a fixed interest rate payment with a floating one.  There is default risk in a swap.  The swap spread is the yield spread between swaps and the default risk free return of treasuries.  Swap spreads are an indication of the markets aversion to risk.  Because of the size and liquidity of the swap market, it is thought of as a better indicator than credit spread.
63
Tail
 The spread, in basis points, between the when-issued yield of a treasury security just prior to auction and the highest yield (the Stop) of the auction.  A tail indicates weak demand with demand being inversely related to the size of the tail (the larger the tail, the less demand for the bond).
64
Tailed
 An auction that resulted in a tail, indicating a lack of demand.
65
Tick
 In reference to the price of a bond as expressed as a percentage of par, a tick is 1/32nd or .03125 of a point.
66
Two-Way Flows
 Active buying and selling from investors in a security.
67
Ultralongs
 The 30-year bond.
68
Waving it in
 When a trader likes a security so much that they want to buy large quantities.  Also referred to as backing up the truck.
69
Wings
 The short end and long end of the yield curve. See belly.
70
Yard
 A billion dollar trade.
71
Zero Volatility Option Adjusted Spread
 A measure of cash flow spread of an MBS over the treasury yield curve that takes into account the prepayment risk of the MBS.  A measure of cash flow spread of an MBS over the treasury yield curve that takes into account the prepayment risk of theMBS.

Fixed Income (2 decks)

Brainscape helps you reach your goals faster, through stronger study habits.
© 2025 Bold Learning Solutions. Terms and Conditions