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Definition of Effective duration
The duration calculated using the approximate duration formula for a bond with an
A committee formed in response to SEC chairman Arthur Levitt's initiative to improve the financial
The product of modified duration and the initial price.
A common gauge of the price sensitivity of an asset or portfolio to a change in interest rates.
The weighted average of the time until maturity of each of the
The expected life of a fixed-income security considering its coupon
The time it takes for a policy or annuity to reach maturity.
An annual measure of the time value of money that fully reflects the effects of
Interest rate that is annualized using compound interest.
Annualized interest rate on a security computed using compound interest techniques.
Annualized rate of return on a security computed using compound
The strike price in an optional redemption provision plus the accrued interest to the
The convexity of a bond calculated with cash flows that change with yields.
In an interest rate swap, the date the swap begins accruing interest.
The weighted average of several exchange rates, where the weights are determined by the extent of our trade done with each country.
The rate of interest actually earned on an investment. It is
Effective margin (EM)
Used with SAT performance measures, the amount equaling the net earned spread, or
A measure of the time value of money that fully reflects the effects of compounding.
The gross underwriting spread adjusted for the impact of the announcement of the common
Effective Tax Rate
The total tax provision divided by pretax book income from continuing
a measure of how well an organization’s goals
The weighted-average term to maturity of the cash flows from the bond, where the
A widely used measure of price sensitivity to yield
The ratio of Macaulay duration to (1 + y), where y = the bond yield. Modified duration is
The Macaulay duration discounted by the per-period
A modification of standard duration to account for the impact on duration of MBSs of
A situation in which the price of the MBS moves in the same direction as interest rates.
Panel on Audit Effectiveness
A special committee of the Public Oversight Board that was created
Theory that anticipated policy has no effect on output.
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