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Short Term IRS

An interest rate swap (IRS) whose maturity doesn’t exceed 2 years. A short-term interest rate swaps (STIRS) involves the settlement…

Reverse ZC Swap

A zero coupon swap (ZC swap) in which payments are reversed. That is the zero coupon payment is made at…

STIR

An abbreviation for short-term interest rate contract. STIR contracts may take the form STIR futures, STIR option, STIR swap, etc.…

Stepped Capped FRN

A type of capped floored FRN in which the capped coupon varies over the life of the note/ bond. An…

COBRA

It is an acronym for credit option on Brady bonds. By definition, it is an option whose underlying is the...

PVBP of a Bond

The price value of a basis point of a bond is a measure of the bond price volatility to interest…

MSCB

It stands for moving strike convrtible bond; in Japan, it is a convertible bond in which the conversion price is…

RCDS

It stands for recovery lock CDS; a credit default swap (CDS) entails the exchange of a floating recovery amount for…

LYON

An abbreviation for liquid yield option note; a form of zero-coupon convertible bond (convertible zero-coupon bond) that was introduced by Merrill…

LTLSS Tranche

A leveraged super senior tranche (LSS tranche) (a synthetic collateralized tranche) that is associated with a loss trigger. More specifically,...