BondStats

BONDSTATS DERIVATIVES REFERENCE

Derivatives & Hedging Encyclopedia

Rates derivatives, credit derivatives, volatility and hedging mechanics explained.

An institutional reference to derivatives pricing, rates futures, swaps, credit derivatives, options, volatility, margining and risk-transfer mechanics.

128 ENTRIES6 CATEGORIESCRAWLABLE A–Z REFERENCE

A–Z MARKET REFERENCE

Futures-Forward Convexity Adjustment

Rates Futures & Forwards

Futures-Forward Convexity Adjustment is an adjustment that reconciles pricing differences created when nonlinear interest-rate exposure makes a futures-implied rate differ from an otherwise comparable forward rate.

Minimum Variance Hedge Ratio

Hedging & Risk Transfer

Minimum Variance Hedge Ratio is the amount of a hedging instrument used relative to an underlying exposure, chosen to reduce a specified risk such as price, rate, spread or variance risk.

Optimal Hedge Ratio

Hedging & Risk Transfer

Optimal Hedge Ratio is the amount of a hedging instrument used relative to an underlying exposure, chosen to reduce a specified risk such as price, rate, spread or variance risk.

Central Clearing of Derivatives

OTC Infrastructure & Documentation

Central Clearing of Derivatives is part of the post-trade risk framework for derivatives, governing how trades are novated, margined, guaranteed or supported after execution.

Term Structure of Volatility

Options & Volatility

Term Structure of Volatility is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Credit Derivatives

CDS Auction is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Credit Derivatives

CDS Maturity is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Credit Derivatives

CDS-Bond Basis is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Hedging & Risk Transfer

DV01 Hedge is a fixed-income hedging concept used to offset sensitivity to yields, curve movements or the value change associated with a small move in interest rates.

Hedging & Risk Transfer

Default Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Duration Mismatch

Hedging & Risk Transfer

Duration Mismatch is a fixed-income hedging concept used to offset sensitivity to yields, curve movements or the value change associated with a small move in interest rates.

Hedging & Risk Transfer

Hedge Ratio is the amount of a hedging instrument used relative to an underlying exposure, chosen to reduce a specified risk such as price, rate, spread or variance risk.

Hedging & Risk Transfer

PV01 Hedge is a fixed-income hedging concept used to offset sensitivity to yields, curve movements or the value change associated with a small move in interest rates.

Repo-Financed Forward

Rates Futures & Forwards

Repo-Financed Forward is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Swaption Volatility

Interest-Rate Derivatives

Swaption Volatility is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Bond Futures Contract

Rates Futures & Forwards

Bond Futures Contract is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

CDS Curve Flattener

Credit Derivatives

CDS Curve Flattener is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

CDS Curve Steepener

Credit Derivatives

CDS Curve Steepener is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

CDS Premium Leg

Credit Derivatives

CDS Premium Leg is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

CDS Protection Leg

Credit Derivatives

CDS Protection Leg is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Credit Derivatives

CDS Roll Date is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Cash Settlement CDS

Credit Derivatives

Cash Settlement CDS is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Constant Maturity Swap

Interest-Rate Derivatives

Constant Maturity Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Credit Index Tranche

Credit Derivatives

Credit Index Tranche is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Derivatives Clearing Organization

OTC Infrastructure & Documentation

Derivatives Clearing Organization is part of the post-trade risk framework for derivatives, governing how trades are novated, margined, guaranteed or supported after execution.

Digital Default Swap

Credit Derivatives

Digital Default Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Dispute Resolution Process

OTC Infrastructure & Documentation

Dispute Resolution Process is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Futures Invoice Price

Rates Futures & Forwards

Futures Invoice Price is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Negative Basis Trade

Credit Derivatives

Negative Basis Trade describes a relative-value relationship between two linked derivative or cash-market prices whose difference reflects funding, delivery, credit, liquidity or market-structure effects.

Non-Parallel Curve Hedge

Hedging & Risk Transfer

Non-Parallel Curve Hedge is a fixed-income hedging concept used to offset sensitivity to yields, curve movements or the value change associated with a small move in interest rates.

Parallel Shift Hedge

Hedging & Risk Transfer

Parallel Shift Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Physical Settlement CDS

Credit Derivatives

Physical Settlement CDS is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Positive Basis Trade

Credit Derivatives

Positive Basis Trade describes a relative-value relationship between two linked derivative or cash-market prices whose difference reflects funding, delivery, credit, liquidity or market-structure effects.

Residual Basis Risk

Hedging & Risk Transfer

Residual Basis Risk describes a relative-value relationship between two linked derivative or cash-market prices whose difference reflects funding, delivery, credit, liquidity or market-structure effects.

Tenor Basis Swap

Interest-Rate Derivatives

Tenor Basis Swap describes a relative-value relationship between two linked derivative or cash-market prices whose difference reflects funding, delivery, credit, liquidity or market-structure effects.

Carry Cost of Hedging

Hedging & Risk Transfer

Carry Cost of Hedging is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Roll Cost of Hedging

Hedging & Risk Transfer

Roll Cost of Hedging is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

American Swaption

Interest-Rate Derivatives

American Swaption is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Bachelier Volatility

Options & Volatility

Bachelier Volatility is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Interest-Rate Derivatives

Basis Swap describes a relative-value relationship between two linked derivative or cash-market prices whose difference reflects funding, delivery, credit, liquidity or market-structure effects.

Credit Derivatives

Basket CDS is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Bermudan Swaption

Interest-Rate Derivatives

Bermudan Swaption is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Hedging & Risk Transfer

Beta Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Black Volatility

Options & Volatility

Black Volatility is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Rates Futures & Forwards

Bond Forward is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Butterfly Hedge

Hedging & Risk Transfer

Butterfly Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

OTC Infrastructure & Documentation

CCP Clearing is part of the post-trade risk framework for derivatives, governing how trades are novated, margined, guaranteed or supported after execution.

Credit Derivatives

CDS Coupon is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Credit Derivatives

CDS Notional is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Credit Derivatives

CDS Spread is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Credit Derivatives

CDS Upfront is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Clearing Member

OTC Infrastructure & Documentation

Clearing Member is part of the post-trade risk framework for derivatives, governing how trades are novated, margined, guaranteed or supported after execution.

Client Clearing

OTC Infrastructure & Documentation

Client Clearing is part of the post-trade risk framework for derivatives, governing how trades are novated, margined, guaranteed or supported after execution.

Collateral Call

OTC Infrastructure & Documentation

Collateral Call is part of the collateral and margin framework used to control counterparty exposure on derivatives by defining when value must be posted, transferred or maintained.

Rates Futures & Forwards

Convexity Bias is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Convexity Mismatch

Hedging & Risk Transfer

Convexity Mismatch is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedging & Risk Transfer

Credit Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedging & Risk Transfer

Curve Hedge is a fixed-income hedging concept used to offset sensitivity to yields, curve movements or the value change associated with a small move in interest rates.

OTC Infrastructure & Documentation

Default Fund is part of the post-trade risk framework for derivatives, governing how trades are novated, margined, guaranteed or supported after execution.

Delivery Basket

Rates Futures & Forwards

Delivery Basket is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Rates Futures & Forwards

Delivery Month is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Hedging & Risk Transfer

Dynamic Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Eligible Collateral

OTC Infrastructure & Documentation

Eligible Collateral is part of the collateral and margin framework used to control counterparty exposure on derivatives by defining when value must be posted, transferred or maintained.

European Swaption

Interest-Rate Derivatives

European Swaption is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

First-to-Default Swap

Credit Derivatives

First-to-Default Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Forward Moneyness

Options & Volatility

Forward Moneyness is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Rates Futures & Forwards

Forward Yield is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Forward-Starting Swap

Interest-Rate Derivatives

Forward-Starting Swap is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Interest-Rate Derivatives

Funding Leg is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Rates Futures & Forwards

Futures Roll is a rates-derivatives or bond-futures concept that links current cash-market conditions with future delivery, financing and forward valuation.

Haircut Schedule

OTC Infrastructure & Documentation

Haircut Schedule is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedge Effectiveness

Hedging & Risk Transfer

Hedge Effectiveness is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedging & Risk Transfer

Hedge Slippage is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Implied Volatility

Options & Volatility

Implied Volatility is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Credit Derivatives

Index CDS is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Lognormal Volatility

Options & Volatility

Lognormal Volatility is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Hedging & Risk Transfer

Macro Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

OTC Infrastructure & Documentation

Margin Call is part of the collateral and margin framework used to control counterparty exposure on derivatives by defining when value must be posted, transferred or maintained.

Hedging & Risk Transfer

Micro Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Normal Volatility

Options & Volatility

Normal Volatility is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Nth-to-Default Swap

Credit Derivatives

Nth-to-Default Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedging & Risk Transfer

Overlay Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest-Rate Derivatives

Payer Swaption is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Hedging & Risk Transfer

Proxy Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Receiver Swaption

Interest-Rate Derivatives

Receiver Swaption is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Credit Derivatives

Recovery Lock is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Credit Derivatives

Recovery Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedging & Risk Transfer

Rolling Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Rates Futures & Forwards

SOFR Future is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Rates Futures & Forwards

SONIA Future is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Single-Name CDS

Credit Derivatives

Single-Name CDS is a credit-derivatives concept used to transfer, price or settle default and spread risk on a reference entity, credit index or defined tranche of credit exposure.

Hedging & Risk Transfer

Slope Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Hedging & Risk Transfer

Static Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest-Rate Derivatives

Swap Maturity is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest-Rate Derivatives

Swaption Skew is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Interest-Rate Derivatives

Swaption Smile is a concept in the swaption market describing the option, volatility or exercise structure associated with the right to enter an interest-rate swap on specified terms.

Hedging & Risk Transfer

Tail Hedge is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Volatility Cube

Options & Volatility

Volatility Cube is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Volatility Surface

Options & Volatility

Volatility Surface is a volatility concept used to describe how the market prices uncertainty across expiries, strikes, rates or option structures rather than through a single volatility number.

Additional Termination Event

OTC Infrastructure & Documentation

Additional Termination Event is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Automatic Early Termination

OTC Infrastructure & Documentation

Automatic Early Termination is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

CMS Spread Option

Interest-Rate Derivatives

CMS Spread Option is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Calculation Agent Dispute

OTC Infrastructure & Documentation

Calculation Agent Dispute is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Credit Support Annex

OTC Infrastructure & Documentation

Credit Support Annex is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Early Termination Amount

OTC Infrastructure & Documentation

Early Termination Amount is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Fed Funds Future

Rates Futures & Forwards

Fed Funds Future is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

First Notice Day

Rates Futures & Forwards

First Notice Day is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Government Bond Future

Rates Futures & Forwards

Government Bond Future is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

ISDA Master Agreement

OTC Infrastructure & Documentation

ISDA Master Agreement is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest Rate Cap

Interest-Rate Derivatives

Interest Rate Cap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest Rate Floor

Interest-Rate Derivatives

Interest Rate Floor is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Inverse Floater Swap

Interest-Rate Derivatives

Inverse Floater Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Last Trading Day

Rates Futures & Forwards

Last Trading Day is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Market Asset Swap

Interest-Rate Derivatives

Market Asset Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Minimum Transfer Amount

OTC Infrastructure & Documentation

Minimum Transfer Amount is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Overnight Index Swap

Interest-Rate Derivatives

Overnight Index Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest-Rate Derivatives

Par Asset Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Range Accrual Swap

Interest-Rate Derivatives

Range Accrual Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest-Rate Derivatives

Real Rate Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Swap Accrual Period

Interest-Rate Derivatives

Swap Accrual Period is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Interest-Rate Derivatives

Swap Day Count is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Swap Execution Facility

OTC Infrastructure & Documentation

Swap Execution Facility is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Swap Payment Date

Interest-Rate Derivatives

Swap Payment Date is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Swap Reset Date

Interest-Rate Derivatives

Swap Reset Date is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Total Return Swap

Interest-Rate Derivatives

Total Return Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Wild Card Option

Rates Futures & Forwards

Wild Card Option is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Year-on-Year Inflation Swap

Interest-Rate Derivatives

Year-on-Year Inflation Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

Zero-Coupon Inflation Swap

Interest-Rate Derivatives

Zero-Coupon Inflation Swap is a derivatives-market concept used to describe pricing, risk transfer, settlement or hedging of interest-rate, credit or volatility exposure.

No matching entry.