Page 106 - PRIAA Glossary

M
M SQUARED (M2)
A measure of the return of a portfolio of investments, for
a particular level of risk. Based on the Sharpe Ratio, M Squared is usually measured based on a benchmark (such as market returns).
MACAULAY DURATION
A time-weighted average of the cash flow’s value of a bond. The Macaulay Duration calculates the time horizon over which the return of a fixed income security is constant—the capital depreciation due to rising interest rates is offset by a higher re-investment rate.
MADE AVAILABLE TO TRADE
A status bestowed on a product by a swap execution facility (SEF) or designated contract market (DCM). Once declared and approved by the CFTC, the product must be traded on a SEF or DCM, when applicable.
MAINTENANCE MARGIN REQUIREMENT
The minimum amount of collateral required in order to maintain an open position on a security.
MAJOR SWAP PARTICIPANT
Individuals and entities that are subject to certain reporting and reconciliation requirements under the Commodity Futures Trading Commission (CFTC), among other things. The CFTC defines a “major swap participant” as an entity who is not a swap dealer and who satisfies any one of the following conditions:
i. A person that maintains a “substantial position” in any of the major swap categories, excluding certain hedging positions.
ii. A person whose outstanding swaps create “substantial counterparty exposure that could have serious adverse
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