Page 56 - PRIAA Glossary

DSMATCH
A service offering of MarkitSERV that automates matching and confirmation for a wide range of over-the-counter (OTC) derivatives products, including credit, equity and interest rate contracts.
DTCC DERIV/SERV
A provider of i) post-trade processing services through the Trade Information Warehouse (TIW) and equity cashflow matching (ECM) and ii) trade repository services through Global Trade Repository (GTR) for over-the-counter (OTC) derivatives trades.
DUBAI (DUBAI CRUDE OIL)
A benchmark crude produced in Dubai, one of the United Arab Emirates. Dubai is commonly used as a reference price for the Asia-Pacific region.
DURATION
The prices of fixed income products, such as bonds,
are most impacted by changes in credit quality (default risk) and movements in interest rates. The sensitivity to changes in interest rates can be represented by duration, measured in units of time (years) similar to maturity.
While there are many methods to calculate duration (e.g., Modified, Macaulay, Effective), a simplistic approach can be represented by identifying the point in time in a bond’s life when half the total cash flows for a bond will be received. For a zero coupon bond, where the only payment is received upon maturity, the duration equals the maturity date.
For bonds with high coupon rates, upfront payments of principal, or high likelihood of early call, duration (interest rate sensitivity) will be significantly less than the maturity of the bond. The duration, therefore, represents when yield changes along the interest rate curve (short, medium or long) will most impact the price of a particular bond.
DV01
Dollar value price change of a security resulting from a one basis point move in the relevant market interest rate. It can be calculated by multiplying the dirty market value by the modified duration.
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