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Definition of Maturity spread
The spread between any two maturity sectors of the bond market.
The average time to maturity of securities held by a mutual fund. Changes in interest rates
Any large principal payment due at maturity for a bond or loan with or without a a sinking
A spread strategy in which an investor buys an out-of-the-money put option, financing it by
Current time to maturity on an outstanding debt instrument.
The gross underwriting spread adjusted for the impact of the announcement of the common
The fraction of the gross proceeds of an underwritten securities offering that is paid as
A debt security for which the investing entity has both the positive
The simultaneous purchase and sale of two options that differ only in their exercise date.
An exchange of one bond for another based on the manager's projection of a
The spread between two issues of the same maturity within a market sector. For
For a bond, the date on which the principal is required to be repaid. In an interest rate swap, the
The date or the number of days until a security is due to be paid or
Time at which a bond can be redeemed for its face value.
The time when a policy or annuity reaches the end of its span.
The date when the issuer returns the final face value of a bond
Date on which a debt is due for payment.
Factoring arrangement that provides collection and insurance of accounts receivable.
A phase of company development in which earnings continue to grow at the rate of the
Extra average return from investing in longversus short-term Treasury securities.
Related: par value.
Option-adjusted spread (OAS)
1) The spread over an issuer's spot rate curve, developed as a measure of
maturity at issue. For example, a five year note has an original maturity of 5 years; one
Projected maturity date
With CMOs, final payment at the end of the estimated cash flow window.
Also called credit spread, the spread between Treasury securities and non-Treasury securities
Relative yield spread
The ratio of the yield spread to the yield level.
The length of time remaining until a bond's maturity.
A variant of pure expectations theory which suggests that the return that an
1) The gap between bid and ask prices of a stock or other security.
For options, a combination of call or put options on the same stock
Difference between public offer price and price paid by underwriter.
The difference between items typically between two rates of interest or currencies.
Also called margin income, the difference between income and cost. For a depository
A strategy that involves a position in one or more options so that the cost of buying an
A computer program that organizes numerical data into rows and columns on a terminal screen,
For the CMO tranche, the date the last payment would occur at zero CPR.
Difference between U.S. Treasury bill rate and eurodollar rate; used by some traders as a
Term to maturity
The time remaining on a bond's life, or the date on which the debt will cease to exist and
Term to Maturity
Period of time from the present to the redemption date of a bond.
Time to maturity
The time remaining until a financial contract expires. Also called time until expiration.
Simultaneous purchase and sale of two options that differ only in their exercise price. See:
Weighted average maturity
The WAM of a MBS is the weighted average of the remaining terms to maturity
Weighted average remaining maturity
The average remaining term of the mortgages underlying a MBS.
Yield spread strategies
Strategies that involve positioning a portfolio to capitalize on expected changes in
Yield to maturity
The percentage rate of return paid on a bond, note or other fixed income security if you
Yield to Maturity
The measure of the average rate of return that will be earned on a
Yield to maturity
A measure of the average rate of return that will be earned
yield to maturity
Interest rate for which the present value of the bond’s payments equals the price.
spread The spread between the interest rate offered in two sectors of the bond market for
The reward for holding the risky market portfolio rather than the risk-free asset. The spread
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