It stands for general collateral; broadly, it is a category of collateralized securities (known as eligible collateral) with identical credit...
An abbreviation for general collateral repo; a repo agreement in which the lender of cash accepts any securities that are not special...
The spread that measures how special a security is seen in the repo market. It is the spread between the...
A repo rate that corresponds to special collateral such as Treasury securities that are on the run or have recently been issued. This rate...
The spread between the general repo rate and the special repo rate. It can be viewed as a repo dividend (it...
A repo rate that corresponds to special collateral such as Treasury securities that are on the run or have recently been issued. This rate...
The delta value of a derivative or a position multiplied by the notional principal. It is the delta hedge of a derivative position expressed in dollars. This...
A threat or opportunity that is by nature quantifiable or can be quantified using typical risk management tools and analysis....
A Bermudan derivative which constitutes a Bermudan option on a swap. It is an option on a swap that allows the holder (the option's buyer or the...
The creation of a new swap agreement, while simultaneously canceling the original or old one. This may take place if the terms...