Glossary

The relationship between interest rates or bond yields and different terms of maturity. Type: Coupon bonds yield curve, Spot curve, Par curve

A category of structured financial instruments which increases risk exposure in the hope of realising a higher expected return. Example: Credit-Linked Note

For fixed income securities, the yield spread of a bond is the difference between its yield-to-maturity and the benchmark yield. Yield spread = Yield-to-maturity – Benchmark yield The spread is affected by microeconomic factors such as the credit risk of the issuer, its credit ratings, liquidity of the bond, and tax status of the bond. Types: Benchmark spread, G-spread, I-spread ...

For a callable bond, the annualised yield to an investor if the investor buys and holds the bond to a specific call date.

The annualised rate of return to a bond investor if the bond is purchased today and held until maturity. Fluctuates according to the market price of the bond, which is influenced by the prevailing interest rate and company risk factors. Investor will only realise the yield-to-maturity if: Bond is held to maturity The issuer does not default on any of ...

For a callable bond, the lowest of yield-to-maturity and the various yields-to-call.