Bond & Fixed-Income Abbreviations
42 abbreviations · part of Business & Finance Abbreviations
Abbreviations from the bond market: government and corporate debt securities, yield measures, securitized products, credit and interest rate derivatives, credit ratings and benchmark interest rates such as SOFR and EURIBOR. Bond traders, portfolio managers, corporate treasurers and borrowers use them daily, and many of these rates feed directly into mortgages and business loans. Entries explain how each instrument or measure works, how it is quoted and how it differs from similar terms.
| Abbreviation | Stands for | Description |
|---|---|---|
| AAA | Highest credit rating (triple-A) | Top credit rating assigned by S&P Global Ratings and Fitch Ratings (written Aaa at Moody's), indicating an extremely strong capacity to meet financial commitments and… |
| ABS | Asset-backed security | Bond backed by a pool of loans or receivables other than standard mortgages, such as auto loans, credit card balances, student loans or equipment leases. |
| AT1 | Additional Tier 1 capital | Layer of bank regulatory capital ranking below Common Equity Tier 1, made up mainly of perpetual contingent convertible bonds that can be written down or converted to… |
| BTP | Buono del Tesoro Poliennale (Italian multi-year Treasury bond) | Italian government bond with a maturity of more than one year, the main instrument through which Italy finances its large public debt. |
| CDO | Collateralized debt obligation | Structured security that pools debt, such as corporate bonds, loans or mortgage-backed securities, and slices the cash flows into tranches ranked by seniority, from… |
| CDS | Credit default swap | Derivative contract that works like insurance against a borrower's default: the buyer pays a periodic premium, and the seller compensates the buyer if a specified… |
| CDX | Credit default swap index | Family of tradable credit derivative indices, administered by S&P Dow Jones Indices, that track baskets of North American and emerging-market credit default swaps. |
| CLO | Collateralized loan obligation | Actively managed structured vehicle that buys a diversified pool of leveraged loans to companies, mostly private-equity-backed borrowers, and funds it by issuing… |
| CMBS | Commercial mortgage-backed security | Bond backed by a pool of loans on commercial properties such as offices, shopping centers, hotels, warehouses and apartment buildings. |
| CMO | Collateralized mortgage obligation | Mortgage-backed bond that redirects cash flows from a pool of mortgages or MBS into multiple tranches with different maturities and prepayment risks, so investors can… |
| CoCo | Contingent convertible bond | Bank bond that automatically converts into equity or is written down if the bank's capital falls below a preset trigger or regulators declare it non-viable, absorbing… |
| CP | Commercial paper | Unsecured short-term debt issued by large companies and financial institutions, typically maturing in 270 days or less in the US, to fund payroll, inventory and other… |
| DV01 | Dollar value of a basis point | Change in a bond's or portfolio's price for a one-basis-point (0.01 percent) change in yield, expressed in dollars. |
| ESTR | Euro short-term rate (€STR) | Overnight benchmark interest rate for the euro area, published by the European Central Bank since October 2019, reflecting the cost of unsecured overnight borrowing by… |
| EURIBOR | Euro Interbank Offered Rate | Benchmark rate for euro lending between banks, published daily for terms from one week to 12 months by the European Money Markets Institute. |
| FRA | Forward rate agreement | Over-the-counter contract that locks in an interest rate for a future period on a notional amount, settled in cash at the start of that period based on the difference… |
| FRN | Floating-rate note | Bond whose coupon resets periodically, typically every one to three months, based on a reference rate such as SOFR or EURIBOR plus a fixed spread. |
| GO | General obligation bond | Municipal bond backed by the full faith, credit and taxing power of the state or local government that issues it, rather than by revenue from a specific project. |
| HY | High yield | Bonds rated below investment grade, BB+ or lower by S&P and Fitch or Ba1 or lower by Moody's, which pay higher yields to compensate for greater default risk. |
| IG | Investment grade | Credit rating category for bonds and issuers rated BBB- or higher by S&P and Fitch or Baa3 or higher by Moody's, indicating relatively low default risk. |
| IRS | Interest rate swap | Derivative contract in which two parties exchange interest payments on a notional amount, most commonly fixed-rate payments for floating-rate payments tied to a… |
| JGB | Japanese government bond | Debt security issued by the government of Japan, with maturities from a few months to 40 years. |
| LIBOR | London Interbank Offered Rate | Former benchmark interest rate representing what major banks said they would pay to borrow from each other unsecured, published daily for several currencies and… |
| MBS | Mortgage-backed security | Bond backed by a pool of home or commercial mortgages, whose investors receive the principal and interest borrowers pay. |
| MTN | Medium-term note | Debt security issued continuously or in tranches under a pre-registered program, letting companies and banks sell notes of varying maturities, often 1 to 10 years… |
| NRSRO | Nationally recognized statistical rating organization | Credit rating agency registered with the US Securities and Exchange Commission, whose ratings may be used for certain regulatory purposes. |
| OAS | Option-adjusted spread | Yield spread of a bond over a benchmark curve, usually Treasuries, after removing the value of embedded options such as call features or mortgage prepayment rights. |
| OAT | Obligation assimilable du Trésor (French Treasury bond) | Long-term bond issued by the French government, with maturities typically from 2 to 50 years and managed by the Agence France Trésor. |
| OIS | Overnight index swap | Interest rate swap in which one party pays a fixed rate and the other pays a floating rate compounded from an overnight benchmark, such as SOFR, SONIA or €STR, over the… |
| SOFR | Secured Overnight Financing Rate | US benchmark interest rate measuring the cost of borrowing cash overnight with Treasury securities as collateral, calculated from actual repo transactions and published… |
| SONIA | Sterling Overnight Index Average | Benchmark interest rate for sterling, measuring the average rate banks pay to borrow sterling overnight unsecured from other financial institutions, administered by the… |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities | US Treasury program that lets eligible notes and bonds be split into separate zero-coupon securities, one for each interest payment and one for the principal, which… |
| T-bill | Treasury bill | Short-term US government debt security maturing in one year or less, issued at a discount to face value and redeemed at par, with the difference serving as interest. |
| T-bond | Treasury bond | Long-term US government debt security, currently issued with maturities of 20 or 30 years and paying a fixed coupon every six months. |
| T-note | Treasury note | US government debt security with a maturity of 2, 3, 5, 7 or 10 years that pays a fixed coupon every six months. |
| TIPS | Treasury Inflation-Protected Securities | US Treasury securities whose principal is adjusted with changes in the consumer price index, so interest payments and the amount repaid at maturity rise with inflation. |
| TRS | Total return swap | Derivative in which one party pays the total return on an asset, including income and price changes, and receives a financing rate such as SOFR plus a spread. |
| UST | United States Treasury securities | Market shorthand for US Treasury securities, the bills, notes and bonds issued by the US Department of the Treasury to finance the federal government. |
| WAL | Weighted average life | Average time until each dollar of a security's principal is repaid, weighted by the amount repaid at each date. |
| YTC | Yield to call | Annual return on a callable bond assuming the issuer redeems it at the first, or a specified, call date and price rather than at maturity. |
| YTM | Yield to maturity | Total annual return an investor would earn by buying a bond at its current price and holding it until maturity, assuming all coupons are reinvested at the same rate. |
| YTW | Yield to worst | Lowest potential yield an investor can receive on a bond without the issuer defaulting, calculated across all possible call, put and maturity dates. |
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