Reading 54: Yield and Yield Spread Measures for Floating-Rate Instruments

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Book 3: Fixed Income

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7 Terms

1
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Which value is more stable—Fixed-Rate debt or FRNs?

FRNs

the coupon rate is reset periodically

2
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What is the coupon rate comprised of?

MRR + Fixed Margin

3
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Quoted Margin

the fixed margin above the MRR actually paid

4
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Discount Margin

the margin required to price the FRN at par

5
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At issuance, what does QM = ?

DM

6
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What are bank CDs, repos, and MRRs quoted in?

Add-On Yield on a 365-day basis

7
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What are T-Bills and CP quoted in?

Discount Yield on a 360-day basis