Fixed income

163 terms · each links to a full explanation with a worked example and the exam traps

Accrued interestCoupon earned from the last coupon date up to settlement, paid by the buyer to the seller on top of the negotiated price, because the issuer will pay the whole coupon to whoever holds the bond next.
All India Financial InstitutionsA named group of four RBI-regulated development institutions — Exim Bank, NABARD, NHB and SIDBI — treated as non-retail users for IRD participation and given their own, wider window for issuing Certificates of Deposit.
Amortising bondsBonds in which the borrower repays principal over the life of the bond along with interest, rather than all at maturity — so the stated maturity is only the date of the last instalment.
AT1 bondAn Additional Tier 1 bond — an unsecured, perpetual, non-convertible bond that banks issue under Basel III, satisfying RBI's conditions, to shore up their core capital.
Barbell strategyA bond portfolio concentrated at the short and long ends of duration with little in the middle, used when rates could move sharply in either direction.
Bond Equivalent YieldThe annualised simple-interest return on a money market instrument, computed on price and a 365-day year, so instruments of different maturities can be compared on one basis.
Bond index fundA passive fixed-income strategy that holds the same, or nearly the same, securities and weights as a chosen bond benchmark, so the manager's job is to mimic the index rather than pick bonds.
Bond swapSelling one bond and simultaneously buying another with the sale proceeds — two ordinary bond transactions, not a derivative contract, used to reposition a fixed income portfolio.
Callable bondA bond that the issuer may redeem before its original maturity date — typically exercised when interest rates fall, leaving the investor to reinvest at lower rates.
Call moneyUncollateralised overnight lending and borrowing of funds between scheduled commercial banks and primary dealers — the shortest segment of the Indian money market.
Cash Management BillsVery short-term discounted Treasury Bills of under 91 days, issued by the Government of India to bridge temporary mismatches in its own cash flow.
Certificate of DepositA negotiable, unsecured money market instrument issued by a bank against funds deposited with it, sold at a discount and repaid at face value within one year.
Clean priceThe quoted price of a coupon bond, excluding interest accrued since the last coupon date. Bonds trade at the clean price and settle at the dirty price, which adds accrued interest.
Co-mingling riskThe risk, in securitised debt, that a servicer briefly mixes investor collections with its own funds before remitting them, so a servicer default in that gap causes investors a loss.
Commercial PaperA short-term, unsecured, discounted money market instrument through which eligible companies raise funds for 7 days to one year, issued in Rs 5 lakh multiples.
Constituent SGL accountThe Subsidiary General Ledger account a depository holds with RBI on behalf of its clients, through which investors hold government securities in their ordinary demat accounts.
Convertible bondA bond carrying an embedded option that lets the holder exchange it for a specified number of the issuer's equity shares — a plain bond plus an equity conversion right.
Convertible debenturesDebentures that turn into equity shares on terms fixed at issue — the investor draws a coupon until conversion, and the company settles the debt in shares instead of cash.
ConvexityThe curvature of the price-yield relationship — the correction duration misses, because duration is a straight line and the true relationship bends.
Corporate Bond FundAn open-ended debt scheme that must invest at least 80 percent of total assets in corporate bonds rated AA+ and above — the higher-quality counterpart to the credit risk fund.
Corporate Debt Market Development FundA close-ended Category I AIF, formed as a trust with a 15-year tenure, that buys investment-grade corporate bonds from debt mutual fund schemes when SEBI declares a market dislocation.
Corporate Fixed DepositA fixed-term deposit placed with a company, financial institution or NBFC rather than a bank, under Section 76 of the Companies Act — unsecured, leaving a defaulting company's depositor nothing to recover against.
Coupon bondAn ordinary bond that pays periodic interest — the coupon — over its tenure and returns the face value at maturity, taxed differently depending on whether it is listed and how long it is held.
Coupon effectThe fact that two bonds with the same issuer and maturity but different coupons show different yields to maturity even when both are priced correctly off the same zero curve — why YTM cannot judge mispricing.
Coupon rateThe rate of interest a bond pays, applied to its face value and never to its market price — which is why the coupon tells you the cash flow but not the return.
CovenantsClauses in a bond's indenture specifying the rights of bondholders and restrictions on the issuer. Positive covenants say what the issuer must do; negative covenants say what it must not do.
Credit enhancementA method by which a bond issuer improves the creditworthiness of its debt through additional collateral, insurance or a third-party guarantee — lowering its borrowing cost and improving the rating grade.
Credit eventAn adverse credit development, such as a rating downgrade by a SEBI-registered CRA or an actual default, that permits a debt fund to create a segregated portfolio. In a CDS it triggers the protection payment.
Credit ratingAn opinion on how likely a borrower is to service an instrument on time, reduced to a symbol by a SEBI-registered rating agency — and reviewed continuously, not fixed for the life of the bond.
Credit risk fundAn open-ended debt scheme investing at least 65% of total assets in corporate bonds rated AA or below (excluding AA+) — accepting higher credit risk in pursuit of higher yields.
Credit spreadThe extra yield a non-government borrower must pay over a government security of the same tenor — the market price of credit risk, quoted as an add-on over the risk-free rate.
Current yieldA bond's annual coupon in rupees divided by its current market price — the cash income the bond throws off this year, ignoring any gain or loss at redemption.
Dated Government SecurityA long-term Government security, issued by the RBI on behalf of the Centre or a state, paying a fixed or floating coupon half-yearly, with tenors from 5 to 40 years — taxed the same way as a listed bond.
Day count conventionThe rule for counting days in a holding period to calculate accrued interest. Indian bonds use 30/360; the Indian money market, including T-bills, uses actual/365.
Day count fractionThe agreed rule for turning a period into a fraction of a year — the numerator counts days in the period, the denominator days in the year — and it decides every accrual figure in the market.
DebentureIn Indian usage, a long-term debt instrument issued by a company, bank or financial institution — as opposed to a bond, the term reserved for debt issued by a government or its undertakings.
Debenture trusteeThe SEBI-registered trustee of the trust deed securing an issue of debentures — the debenture holders' agent, standing between them and the issuer for the life of the paper.
Debt capitalMoney a company borrows — through debentures, bonds, commercial paper or bank loans — which must pay interest and be repaid on maturity, whether or not the company is doing well.
Debt securityA written agreement to repay a loan, usually with interest, within a set time. Bonds, debentures, CP, CDs, G-Secs and T-Bills are all debt securities, and any type can be admitted to the depository.
Deemed residual maturityThe maturity SEBI tells mutual funds to assume when valuing perpetual AT1 and AT2 bank bonds and computing their duration. For AT1 bonds it is 100 years from issuance from April 1, 2023.
Deep Discount BondA zero-coupon bond of very long tenure, issued at a steep discount to its face value and redeemed at par. IDBI issued such bonds; the Kisan Vikas Patra is another example.
Directional callAn active fixed-income strategy of adjusting portfolio duration based on a forecast of rising or falling interest rates — cutting duration if rates are expected to rise, raising it if they are expected to fall.
Dirty priceThe clean price of a bond plus the interest accrued since the last coupon date — what a buyer settling between coupon dates actually pays the seller.
Discount bondA bond whose market price sits below its par value because the prevailing market interest rate is higher than its coupon — a market-price condition of an ordinary bond, not a distinct bond type.
Discount yieldThe return on a discount instrument expressed against its face value on a 30-day month and 360-day year — the convention the 91-day T-Bill futures contract is quoted and settled on.
Diversification in debt fundsSpreading a debt scheme's money across many issuers of a similar credit rating, so one default does not sink the portfolio — the safety edge debt funds have over a single bond or deposit.
Domestic bondA bond issued by an authorised entity of a country, in the bond market of its own home country, and denominated in its own home currency.
Downgrade riskThe risk that a rating agency lowers an issuer's credit rating after an investor has bought its bonds, pushing the market price of those bonds down even if no payment is ever missed.
DurationA measure of how sensitive a bond's price is to changes in interest rates — the higher the duration, the larger the price swing for a given change in rates.
Duration managementA debt fund manager's deliberate strategy of lengthening or shortening a portfolio's duration based on a view on interest rates, used only where the scheme's mandate allows it.
Effective interest rateThe rate actually earned over a year once compounding within the year is counted — always at or above the quoted nominal rate, and equal to it only when interest is paid once a year.
Effective yieldThe annual rate that would leave an investor with the same amount after one year as the quoted nominal rate does once its more frequent interest payments are taken into account.
E KuberRBI's core banking system for government securities, through which an SGL counterparty initiates a transfer request when securities move into a depository's Constituent SGL account.
Electronic Book ProviderThe stock exchange platform on which privately placed debt securities above SEBI's thresholds must be bid for electronically, with published issue details and system-computed cut-offs.
Euro bondAn external bond issued in a foreign country in a currency that is not the local currency of that country — nothing to do with Europe or with the euro.
Event riskThe risk that a sudden, unplanned event — not tied to normal market movement — forces the value of an investment to drop sharply, often severely enough that the issuer cannot service its debt.
FBILFinancial Benchmarks India Pvt. Ltd., one of the agencies a Category III AIF uses to obtain the security-level prices it needs to mark its money market and debt holdings to market.
FIMMDAThe Fixed Income Money Market and Derivatives Association of India, a self-regulatory body that issues operational guidelines for India's debt, money market and derivatives markets.
Fixed DepositMoney placed with a bank for a fixed term at an agreed rate of interest. Safe and simple, but the interest is taxable, and TDS applies once interest crosses a stipulated amount.
Fixed income portfolioA portfolio built from debt instruments such as government securities, corporate bonds and money market paper, offering more predictable returns than equity at generally lower risk.
Fixed income securityA debt instrument under which the issuer promises a fixed coupon at regular intervals and repayment of the face value at maturity — government bonds, corporate bonds, debentures and T-bills.
Fixed Maturity PlanA close-ended debt scheme whose portfolio maturity is aligned to the scheme's own maturity date, so the investor who stays to the end has a reasonably visible outcome — though never a guaranteed one.
Fixed Maturity Plan rolloverExtending an FMP's tenure by CBDT-approved rollover is not treated as a transfer, so no capital gains arise on the extension — though the workbook flags this exemption as now largely academic.
Floating rate bondA bond whose coupon is not fixed but reset at intervals against a benchmark rate plus a stated mark-up — so the interest paid moves with market rates over the life of the bond.
Foreign bondAn external bond issued in a foreign country and denominated in the local currency of that same foreign country — such as an Indian company issuing US dollar bonds in the United States.
Foreign Currency Convertible BondA bond issued by an Indian company to investors in foreign currency, paying interest and principal in that currency and convertible into ordinary shares at a price usually set above the market price.
Form of TransferRBI's prescribed document to transfer physical government securities, printed on a single sheet of semi-security paper, submitted with the DRF-GS to dematerialise or move book-entry G-Secs.
Forward rateThe interest rate for a period that starts in the future, implied today by two spot rates — because rolling a short investment must return the same as locking in a long one, or arbitrage follows.
Four Cs of creditThe workbook's own credit-analysis framework — Capacity, Collateral, Covenants and Capital — used by a portfolio manager to independently assess default risk rather than rely on a rating alone.
Gilt-edged instrumentsGovernment securities — treasury bills and government bonds — called gilt-edged because sovereign backing means they carry no risk of default.
Government Securities LendingLending a specific government security for a fee against the collateral of other government securities for a fixed period, under RBI's GSL Directions, 2023 — both securities are returned at the end.
Government SecurityA tradeable debt instrument issued by the Central Government or a State Government — treated as free of default risk, and the benchmark against which other rupee interest rates are priced.
G-Sec cellThe department of a depository that handles government securities as an R&T Agent function, activating ISINs, matching DRF-GS details against RBI messages, and rejecting mismatched demat or remat requests.
Guaranteed but variableA return category between fixed and market-linked — the workbook's description of products like PPF, where interest is guaranteed but its rate is reset periodically rather than fixed for the whole tenure.
High yield or junk bondsBonds rated below BBB by a SEBI-registered rating agency, carrying a high probability of default — many institutional investors are barred from holding them.
Holding period returnThe total of coupons, income earned on reinvesting them and any capital gain, expressed as a percentage of the purchase price — a crude return for the period actually held, with no compounding in it.
ImmunizationStructuring a bond portfolio so its value at a target date is protected from interest-rate changes — by matching the portfolio's duration to the liability's timing.
IndentureThe legal agreement between a bond issuer and its bondholders setting out every term of the debt — par value, coupon, maturity, collateral, seniority, options and covenants.
Inflation Indexed BondsGovernment securities issued by the RBI whose fixed real coupon is applied to an inflation-adjusted principal, with the higher of face value and adjusted principal repaid at maturity.
Instrument descriptorThe human-readable string a depository uses alongside a debt security's ISIN, encoding the issuer name, coupon rate, security name, redemption date and face value in one line.
Intrinsic value of a bondThe sum of the present values of all a bond's future cash flows, discounted at the investor's required rate of return. Buy if it exceeds the market price; sell if it is below.
Inverse floaterA bond whose coupon moves opposite to its reference benchmark — it pays more as market rates fall and less as they rise, the reverse of an ordinary floating-rate bond.
Inverted yield curveA yield curve on which short-term interest rates are higher than long-term rates — the reverse of the normal upward slope, read as a signal that the economy may go into recession.
Investment gradeThe higher band of the AAA-to-D credit rating scale, denoting lower default risk — the workbook splits bond markets into investment grade and non-investment grade (speculative) on this basis.
IPA certificateThe certificate an Issuing and Paying Agent provides on the allotment date of a commercial paper issue, confirming the allotment, and which the seller must forward to the buyer in every secondary-market trade.
Issuing & Paying AgentThe agent through which a commercial paper issue is allotted: it receives investors' demat details from the issuer, issues the IPA certificate and provides the allotment file used to credit CPs to demat accounts.
Kisan Vikas PatraA government-guaranteed post office certificate that doubles the amount invested over a fixed term — 124 months in the workbook — with no tax incentive and interest taxed on accrual.
Letter of AllotmentThe provisional instrument a company allots for a secured debenture before the charge over its assets is created — once the charge is created, the same ISIN's descriptor changes from LOA to debenture.
Leveraged LoansSub-ordinate debt lent to a company that already carries a large amount of senior debt on its balance sheet, priced for the extra risk of ranking behind the existing lenders.
Loan to Value (LTV) ratioIn securitised debt, the share of a financed asset's cost that came from a loan rather than the borrower's own money — the lower the LTV, the more the borrower loses by defaulting, and the safer the pool.
Macaulay durationThe weighted average time, in years, to receive a bond's cash flows, each weighted by the present value of that cash flow — the bond's effective payback period.
Macaulay duration bucketThe duration band an index provider uses to sort bonds — NIFTY bond indices run six such buckets, from Ultra-Short at 3 to 6 months up to Long Duration above 7 years.
Mahila Samman Savings CertificateA two-year small savings certificate for women and girls at 7.5 percent compounded quarterly, capped at Rs 2 lakh, whose enrolment window ran from April 2023 and closed on 31 March 2025.
Market Linked DebentureA debenture whose return is linked to an underlying index or security rather than being a fixed coupon; since Section 50AA its gains are short-term capital gains taxed at slab, whatever the holding period.
Masala bondA bond issued outside India by an Indian company but denominated in Indian rupees, so the foreign investor — not the Indian issuer — bears the risk of the rupee falling.
Modified DurationMacaulay's duration divided by (1 + yield) — the percentage by which a bond's price moves for a one percentage point change in interest rates, and so the standard measure of interest rate risk.
Money Market InstrumentsDebt instruments with maturity of one year or less. Under the PM Regulations they include commercial paper, trade bills, treasury bills, certificates of deposit and usance bills.
National Savings CertificateA 5-year, government-guaranteed post office certificate with annual compounding paid at maturity, a Rs 1,000 minimum, no maximum, and an old-regime deduction on the investment.
NDS-OMRBI's anonymous, order-matching electronic trading platform for government securities, now extended — through demat accounts with bank Participants — to retail investors, not only SGL/CSGL account holders.
NIFTY G-Sec IndicesIndices of Government of India bonds across 6 Macaulay duration buckets, each holding up to 3 liquid bonds with over Rs 5,000 crore outstanding, weighted by amount outstanding and rebalanced monthly.
NIFTY T-Bills IndicesA family of NSE indices tracking Treasury bills across five maturity buckets — 30, 60 and 91 day, 182 day and 1 year — plus one all-maturity index, reconstituted at every T-bill auction.
Non-competitive biddingBidding in RBI's government securities auctions without quoting a price or yield — the bidder is allotted at the weighted average price or yield that emerges from the competitive bids.
Notice moneyUnsecured lending or borrowing between banks for a period beyond overnight and up to 14 days, dealt and reported on the RBI's NDS-CALL platform.
Online Bond Platform ProviderA person operating an online bond platform — an electronic system, other than a stock exchange or EBP, where listed or to-be-listed debt securities are offered and transacted, chiefly for non-institutional investors.
On-the-run bondThe most recently issued, most actively traded Government of India security of a given maturity — the specific named bond that India's live cash-settled single-bond interest rate futures are written on.
Overnight MIBORThe benchmark overnight rupee interbank rate administered by FBIL, and the underlying of India's money market interest rate futures contract, which is quoted as a rate rather than a price.
Parallel shiftA change in the term structure in which all rates move in the same direction by the same extent, leaving the spread between short and long rates unchanged — the only kind of move duration handles well.
Pari Passu ChargeOne common charge created over the same pool of security in favour of several lenders who all want the same level of charge, so none of them can be paid ahead of the others out of that security.
Perpetual bondA bond with no maturity date at all — it keeps paying coupons unless called, so it is valued as the present value of an endless coupon stream rather than as a bond that returns principal on a fixed date.
Positive convexityThe favourable asymmetry of an option-free bond: when yields fall its price rises more than duration predicts, and when yields rise it falls less — so buying convexity is an active fixed income strategy.
Post Office Recurring DepositA five-year post office deposit built from monthly instalments of at least Rs 100, at government-fixed quarterly rates compounded quarterly and paid only at maturity, with no tax benefit.
Post Office Time DepositA government-guaranteed post office deposit of one, two, three or five years with a Rs 1,000 minimum and no maximum, of which only the five-year deposit qualifies for a tax deduction.
Premium bondA bond whose market price sits above its par value because the prevailing market interest rate is lower than its coupon — the mirror image of a discount bond.
Pre-redemption liquidity of debt instrumentsThe workbook's observation that exiting a debt instrument in India before its maturity is typically difficult, and where a market does exist, the seller usually has to accept a materially lower price to find a buyer.
Price Value of a Basis PointThe rupee change in a bond's price for a one basis point change in its yield — the unit in which a fixed income desk actually measures and hedges interest rate risk.
Primary DealerAn entity licensed by the RBI to underwrite government securities, bid in RBI auctions and resell the securities in the secondary market — the one issue intermediary not registered with SEBI.
Primary SGLA Subsidiary General Ledger account opened directly with RBI by an entity meeting RBI's eligibility criteria, usable only for that entity's own government-securities investments.
Priority of ClaimsThe order in which a borrower's money reaches its providers: secured debt by seniority of charge, then unsecured debt in full, then preference capital, and only then equity.
Provisional ratingA credit rating marked "provisional" because some compliance or documentation is still pending — prefixed to the symbol on every rating letter, press release and rationale until resolved.
Public Debt OfficeThe RBI office that handles all issue management, settlement, interest distribution and redemption of government securities, and with which physical G-Sec certificates and Primary/Secondary SGL accounts are registered.
Pull to parThe movement of a bond's price toward its face value as maturity approaches — premium bonds drift down to par, discount bonds drift up to par, and at maturity every bond is worth face value.
Puttable bondA bond that gives the investor the right to seek redemption from the issuer before maturity — useful when interest rates have risen and better-paying bonds are available.
RBI Retail Direct SchemeThe RBI facility launched on 12 November 2021 that lets a resident individual open a Retail Direct Gilt account with the RBI itself, free of cost, and buy government securities without going through a bank.
Realised YieldThe annualised, compounding return earned on a bond sold before maturity, factoring in coupons, the interest earned reinvesting them, and the sale price — sharper than holding period return.
Recurring DepositA bank deposit where you put in a fixed amount every month for a set term. It earns more than a savings account, and TDS applies beyond a stipulated amount of interest.
Redemption valueWhat the issuer pays at maturity other than the coupon. Above face value the bond is redeemed at a premium, below it at a discount, and equal to it at par.
RepoA ready forward contract: borrowing money by selling securities with an agreement to buy them back later at a higher price that includes the interest.
Request for Quote (RFQ) platformThe exchange platform, launched in early 2020, on which participants seek and respond to quotes to execute and settle trades in debt securities, with an audit trail that brings pre-trade transparency to an OTC market.
Reset-linked instrumentsDeposits and certificates whose interest rate is not fixed for the whole tenor but re-fixed at intervals to reflect current market rates — the small savings schemes, which the workbook resets every quarter.
Risk-free rateThe rate on a sovereign borrowing in its own currency, where credit risk is absent because the government can print the money — the benchmark every other valuation is measured against.
Roll downAn active fixed income strategy that profits from the passage of time: on an upward-sloping yield curve a bond's remaining maturity shortens, its yield falls, and its price rises.
RRF-GSThe Rematerialisation Request Form for Government Securities, used to convert electronic G-Sec balances in a Constituent SGL account back into physical certificates or another SGL entity's book-entry form.
Savings Bank (SB) accountAn ordinary bank savings account paying low, liquid interest, with no TDS on the interest itself — distinct from the zero-balance Basic Savings Bank Deposit Account.
Seasoning of a poolHow much of a securitised loan pool's repayment schedule has already been completed without default — a pool where most instalments are already repaid is judged safer than a newly originated one.
Secondary SGLThe SGL facility an RBI-eligible entity offers to route its own constituents' government securities holdings, keeping separate sub-accounts for each investor while RBI sees only the consolidated balance.
Secured Overnight Rupee RateA trade-based overnight benchmark, derived from actual repo transactions and introduced by FBIL to replace MIBOR, for better transparency and alignment with global benchmark reform.
SecuritisationThe process of turning a lender's illiquid loans into a liquid pool of tradable bonds, by transferring the loans to a Special Purpose Vehicle that funds itself by issuing securitised debt against them.
Securitised Debt InstrumentA tradable security created by pooling loans or other receivables in a special purpose vehicle and repackaging the cash flows into instruments that pay a pre-determined periodic income.
Special Bank Term Deposit SchemeA five-year, tax-saving bank term deposit eligible for a Section 80C deduction, with no premature withdrawal and no loan against it allowed.
Spot rateThe true return on money invested today for one stated term with no interim cash flow — read straight off a zero-coupon instrument, and the only rate a cash flow should be discounted at.
Spread riskThe risk that a floating rate security loses value because its spread over the benchmark moves adversely, even though the benchmark yield itself has not changed.
State Development LoanA dated security issued by a State Government or Union Territory. States borrow in the G-Sec market solely through dated securities; only the Centre also issues Treasury Bills.
Stock Broker ConnectThe RBI-defined mechanism through which a stock broker gives its individual demat-account clients access to NDS-OM, the RBI order-matching system for trading Government Securities.
STRIPSZero coupon bonds created by breaking a Government Security into its individual cash flows, so each coupon and the principal repayment trade separately as independent securities.
Subordinated debtDebt that ranks below senior debt in a liquidation, paid out just before equity holders — so it carries a higher coupon; Indian banks issue it to shore up Tier II capital.
Target Maturity FundA debt mutual fund designed to mature on a specific date, holding bonds that mature around the same time — minimising reinvestment risk and giving a more predictable return to a defined horizon.
Tax-free bondsBonds issued in the past by infrastructure public sector enterprises such as HUDCO, NHAI, PFC, REC and IRFC whose interest is not taxed, so they carry a lower coupon than comparable taxable bonds.
Term moneyUnsecured lending or borrowing between banks for a period of 15 days to 1 year, dealt and reported on the RBI's NDS-CALL platform, the longest tenor of the interbank call market.
Term PremiumThe extra return investors demand for lending long rather than short, because a longer horizon means more uncertainty about future cash flows than money market paper of one year or less.
Term spreadThe difference in yield between two bonds of the same issuer at different maturities — the workbook's own example is the gap between a 10-year and a 2-year G-Sec.
Term structure of interest ratesInterest rate plotted against term — one curve per credit quality, with the risk-free curve as the base and every other borrower quoted as a spread over it.
Three S's of the yield curveThe workbook's own name for the three ways a yield curve can move — Shift, Slope and Shape — that a fixed income manager watches when taking an interest-rate view.
Transferable debt contractA debt instrument whose terms let the holder sell it to another investor before maturity, as against a non-transferable one, such as a company deposit, which must be held to maturity.
Treasury BillA short-term Government of India debt instrument issued at a discount in tenors of 91, 182 or 364 days; it pays no interest, and the gain on redemption is taxed as a short-term capital gain.
Triparty repoA repo in which a third party, the Triparty Agent, handles collateral selection, payment and settlement, custody and management between borrower and lender.
TwistA steepening or flattening of the yield curve in which short-term and long-term rates move in opposite directions — as distinct from a convexity change, where they move the same way by different amounts or one stays put.
Unrated bondsBonds carrying no current, valid rating from an external credit rating agency — more illiquid than rated bonds, and consequently priced to offer a higher yield.
Value Free TransferA transfer of government securities between SGL accounts with no simultaneous movement of funds, used to bring a holder's G-Secs into the depository's CSGL account and for eligible inter-depository G-Sec transfers.
Volume Weighted Average YieldThe average yield of a debt security's trades, weighted by traded volume. Category III AIFs value T-bills and G-Secs on the VWAY of the last hour's trades, and other debt on the whole day's trades.
Weighted average maturityThe average time to maturity of a debt portfolio, each security weighted by its share of the portfolio — a simple indicator of how sensitive a debt scheme's NAV is to interest rate changes.
Yield to CallThe annualised return on a callable bond if the issuer redeems it at the first call date for the call price — YTM with the call price and call date substituted.
Yield to MaturityThe single discount rate at which a bond's future coupons and redemption amount add up to exactly its market price today — the return you actually earn if you hold it to maturity.
Zero coupon bondA bond that pays no coupons: it is issued below face value and repays the face value at maturity, so its duration equals its maturity.