International Monetary Fund. Monetary and Capital Markets Department
Published Date:
April 2012
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Accrual rate

The rate at which an individual’s entitlement to pension benefits builds up over time. Annual accrual rates are expressed as a fraction of pensionable earnings, which are usually related to final or average pay. For example, with an accrual rate of 2.5 percent, the employee would receive ¼0th of their pensionable earnings for each year of eligible service.

Actuarial information

Information relating to calculations of risk for insurance companies and pension funds, especially statistical calculations of the age to which people are expected to live.

Adverse selection

In a context with asymmetric information, an unfavorable sorting of individuals (from a social welfare point of view) as a result of their own choices. For example, people with the most dangerous lifestyles or careers are the most likely to buy life insurance. See also Asymmetric information.

Aging (population aging)

The increase in the proportion of older people in society. See also Old-age dependency ratio.


A contract that provides a periodic payment for a specified period of time, such as a number of years or for life.

Asset-backed commercial paper (ABCP)

A form of commercial paper that is collateralized by other financial assets. Typically, ABCP is a short-term instrument that is issued by a bank or other type of financial institution and matures between 1 and 180 days from issuance.

Asset-backed security (ABS)

Any security, including commercial paper, that is collateralized by the cash flows from a pool of underlying assets, such as loans, leases, and receivables. When the cash flows are collateralized by real estate, an ABS may be called a mortgage-backed security (MBS); when the cash flows are divided into tranches, an ABS may be called a structured credit product.

Asset manager

A financial institution that manages assets on behalf of investors.

Asset price bubble

A sharp rise in the price of an asset above its economically fundamental value over a specific period for reasons other than random shocks.

Asymmetric information

Situation in which one party in a transaction has more or better information than the other. This imbalance in information can potentially affect the nature of the transaction.

Basel Committee on Banking Supervision (BCBS)

A committee of banking supervisory authorities that provides a forum for regular cooperation on banking supervisory matters. Its objective is to enhance understanding of key supervisory issues and improve the quality of banking supervision worldwide. The BCBS also develops guidelines and supervisory standards in various areas, including the international standards on capital adequacy, the Core Principles for Effective Banking Supervision, and the Concordat on cross-border banking supervision.

Basel II

A 2004 accord among national banking supervisory authorities (the Basel Committee on Banking Supervision) that revised the Committee’s 1988 adequacy standards for bank capital. Basel II proposals made the capital requirement more sensitive to variations in the riskiness of the bank’s assets. Basel II also revised its recommended supervision processes and proposed increased disclosure by banks. Pillar 1 of the Accord covers the minimum capital adequacy standards for banks; Pillar 2 focuses on enhancing the supervisory review process; and Pillar 3 encourages market discipline through increased disclosure of banks’ financial conditions.

Basel III

A comprehensive set of reform measures introduced in the aftermath of the global financial crisis to improve the banking sector’s ability to absorb financial and economic shocks, enhance banks’ risk management and governance, and increase banks’ transparency and disclosure. These measures revise the existing Basel capital adequacy standards and propose, for the first time, minimum liquidity adequacy standards for banks. See also Capital adequacy ratio.

Basis risk

The risk that offsetting investments in a hedging strategy will not result in price changes in entirely opposite directions from each other. In the context of longevity swaps, basis risk may exist if the payout is linked to an index of a sample population rather than the actual pool of retirees.


A bilateral transaction that transfers risk from a risk holder (a pension plan or its sponsor) to another party (usually an insurer). In a buy-in, the sponsor pays an up-front premium in return for periodic payments that match the pension payments. See also Buy-Out.


A bilateral transaction that transfers risk from a risk holder (a pension plan or its sponsor) to another party (usually an insurer). In a buy-out, all pension scheme assets and liabilities are transferred from the sponsor to the other party for an up-front premium. See also Buy-In.

Capital adequacy ratio (CAR)

The ratio of regulatory capital to risk-weighted assets of a financial institution. Regulatory capital is the sum of common equity and additional Tier 1 capital and Tier 2 capital. See also Basel III.

Capital Requirements Directive (CRD)

The Directive issued by the European Union for the financial services industry that introduced a supervisory framework reflecting the Basel II rules on capital measurement and capital standards. See also Basel II.

Cash surrender value

The sum of money an insurance company will pay to the policyholder or annuity holder in the event his policy is voluntarily terminated before the maturity or the insured event occurs.

Central counterparty (CCP)

An entity that interposes itself between counterparties, becoming the buyer to sellers and the seller to buyers in what would otherwise be bilateral arrangements between sellers and buyers.

Cliff effect

An abrupt and outsized change (most commonly a drop) in the value of a financial asset or firm beyond expectations based on past prices and the variance around these prices.

Cobb-Douglas production function

A production function that describes the relationship of the aggregate output (Q) of the economy to the use of labor (L) and capital (K) inputs, as follows: Q = ALαKβ; where total factor productivity (A) and the output elasticities of labor and capital (α and β, respectively), are viewed as constants that are determined by available technology at a point in time.


People in a particular demographic section of the population born in a particular year or period.


Assets pledged or posted to a counterparty to secure an outstanding exposure, derivative contract, or loan.


The act where a borrower pledges an asset as recourse to the lender in the event that the borrower fails to meet the required repayment.

Commercial paper (CP)

An unsecured promissory note with a fixed maturity of 1 to 270 days.

Comprehensive Quantitative Impact Study (QIS)

In this GFSR, a field-testing exercise conducted in 2010 by the Basel Committee to assess the impact of capital adequacy standards announced in July 2009 and the Basel III capital and liquidity proposals published in December 2009. A total of 263 banks from 23 Committee member jurisdictions participated in the QIS exercise. See also Basel Committee on Banking Supervision (BCBS) and Basel III.

Contingent liability

Liabilities that may or may not materialize, depending on the outcome of a future event.

Counterparty risk

The risk faced by one party in a contract that the other, the counterparty, will fail to meet its obligations under the contract.

Credit default swap (CDS)

A credit derivative whose payout is triggered by a “credit event,” often a default. CDS settlements can either be “physical”—whereby the protection seller buys a defaulted reference asset from the protection buyer at its face value—or in “cash”—where by the protection seller pays the protection buyer an amount equal to the difference between the reference asset face value and the price of the defaulted asset. A single-name CDS contract references a single firm or government agency, whereas CDS index contracts reference standardized indices based on baskets of single-name CDS contracts. See also Derivative.

Credit rating

A measure of the ability of a borrower to meet its financial commitments on a timely basis. Credit ratings are typically expressed as discrete letter grades. For example, Fitch Ratings and Standard & Poor’s use a scale in which AAA represents the highest creditworthiness and D the lowest.

Credit rating agency

A company that assigns credit ratings to borrowers as a measure of their ability to meet their financial commitments on a timely basis.

Credit risk

The risk that a party to a financial contract will incur a financial loss because a counterparty is unable or unwilling to meet its obligations.

Credit spread

The difference in yield between a benchmark debt security and another debt security that is comparable to the benchmark instrument in all respects except that it is of lower credit quality and hence, typically, of higher yield.

Default fund

See Guarantee fund.

Defined-benefit pension plan

A plan in which an employer pays its employees a predefined lifetime benefit at the time of retirement. The amount of the benefit is usually based on factors including age, earnings, and years of service. See also Defined- contribution pension plan.

Defined-contribution pension plan

A plan in which each participating employee typically has an account to which the employer makes a specified contribution. The employee’s benefit is based on the amounts credited to the account (through employer contributions and, if applicable, employee contributions) and any investment earnings on the account. The level of future retirement benefits is not guaranteed. See also Defined-benefit pension plan.


A financial instrument with a value dependent on the expected future price of its underlying asset, such as a stock or currency. Examples of derivatives include stock options, currency and interest rate swaps, and credit default swaps.

Discount rate

The interest rate used in discounted cash flow analysis to determine the net present value of future cash flows. The discount rate takes into account the time value of money (the idea that money available now is worth more than the same amount of money available in the future because it could be earning interest). See also Present value.


A risk management technique that mixes a wide variety of investments within a portfolio. The rationale behind this technique is that a portfolio of different kinds of investments will pose a lower risk than any individual investment found within the portfolio, as the positive performance of some investments will offset to some extent the negative performance of others.

European Financial Stability Facility (EFSF)

An institution set up by the euro area countries to preserve financial stability. The EFSF has the ability to issue bonds or other debt instruments in the market to raise the funds needed to provide temporary financial assistance to euro area Member States in economic difficulty.

Exposure at default (EAD)

A bank’s gross exposure to a counterparty in the event of, and at the time of, that counterparty’s default.


The natural capability of producing offspring. As a measure, “fertility rate” is the number of children born per couple, person, or population.

Final-salary formula

A traditional form of defined-benefit plan under which the pension paid is equal to the number of years worked, multiplied by the member’s salary at retirement (the final salary), multiplied by a factor known as the accrual rate. See also Accrual rate.

Financial depth

In this GFSR, the sum of total financial assets and liabilities (domestic and external) of a given group of countries, divided by two to avoid double counting (weighted by each country’s GDP as a proportion of the sum of the GDP of all the countries).

Financial Stability Board

An international group of finance ministries, central banks, and international financial bodies that monitors and makes recommendations about the global financial system.


In this GFSR, the process by which banks issue or assume liabilities associated with assets on their balance sheets.

Fiscal sustainability

The ability of a government to sustain its current spending, tax, and other policies in the long term without defaulting on its liabilities or promised expenditures. See also Solvency.

Funding ratio

The ratio of the value of assets accumulated by a defined-benefit pension plan to the present value of promised benefits. See also Present value.

Group of Four (G4)

The euro area, Japan, the United Kingdom, and the United States.

Group of Twenty (G20)

The Group of Twenty Finance Ministers and Central Bank Governors established in 1999 as a forum for officials from systemically important advanced and emerging economies to discuss key issues related to the global economy. It consists of leaders from the European Union and the following 19 countries: Argentina, Australia, Brazil, Canada, China, France, Germany, India, Indonesia, Italy, Japan, Mexico, Russia, Saudi Arabia, South Africa, Republic of Korea, Turkey, the United Kingdom, and the United States.

Guarantee fund

A fund established by a central counterparty (CCP) to compensate non-defaulting participants from losses they may suffer in the event that one or more participants default on their obligations as counterparties. Also known as Default fund. See also Central counterparty (CCP).


A discount that a lender applies to the current market value of collateral received as security for a loan. The haircut reflects the risk that, at a later date, if the borrower defaults, the collateral may be worth less or be less easy to sell.

Hedge fund

An investment pool, typically organized as a private partnership, that faces few restrictions on its portfolio and transactions. Hence, compared with more regulated financial institutions, hedge funds use a wider variety of investment techniques—including short positions, derivatives transactions, and leverage—in their effort to boost returns and manage risk.


The practice of offsetting existing risk exposures by taking opposite positions in instruments or contracts with identical or similar risk—for example, in related derivatives contracts.

Implied probability of default (PD)

An estimate of the likelihood of default over a particular time horizon based on market prices.


The automatic adjustment of an economic variable, such as wages, taxes, or pension benefits, to a cost-of-living index, so that the rate of growth of the variable rises or falls in accordance with the rate of inflation. Also known as Inflation correction.

Inflation correction

See Indexation.

Inflation-indexed bond

A bond where the coupons and principal are indexed to inflation. With an inflation-indexed bond, the real rate of return is known in advance, and the nominal return varies with the rate of inflation realized over the life of the bond. Hence, neither the purchaser nor the issuer faces a risk that an unanticipated increase or decrease in inflation will erode or boost the purchasing power of the bond’s payments.

Initial margin

Deposits made by holders of contracts in proportion to their open positions that act as buffers against potential losses to the central counterparties (CCPs) following a clearing member default.

Institutional investor

A bank, insurance company, pension fund, mutual fund, hedge fund, brokerage, or other financial group that takes investments from clients or invests on its own behalf.

Investment grade and noninvestment grade

An entity or transaction is considered investment grade if its credit rating is BBB– or better (Baa3 on the Moody’s scale). Otherwise, it is considered noninvestment grade.

Interest Earning Facility 4 (IEF4)

A program at the Chicago Mercantile Exchange that enables participants to pledge securities into a tri-party account at designated custody banks to meet performance bond requirements. For over-the-counter (OTC) interest rate swaps (but not credit default swaps) the IEF4 can be used to pledge corporate bonds.

Internal ratings-based (IRB) approach

A system of determining capital requirements under Basel II guidelines, in which a bank may use its own models to estimate the risk. The framework allows for both a foundation method and more advanced methodologies. In the foundation method, banks estimate the probability of default associated with each borrower, and the bank supervisors supply the other inputs. In the advanced methodology, a bank with a sufficiently developed internal capital allocation process is permitted to supply other necessary inputs as well.

Investment risk

The risk that an investment’s actual return will deviate from the one that is expected.

Lee-Carter model

An extrapolative method that forecasts future developments in mortality using historical trends. Since its introduction in 1992 it has become a standard model in the forecast literature and the preferred forecasting methodology used by the U.S. Census Bureau and the Social Security Administration.


The proportion of debt to equity (also assets to equity or capital to assets in banking). Leverage can be built up by borrowing (on-balance-sheet leverage, commonly measured by debt-to-equity ratios) or by using off-balance-sheet transactions.

Life curve

A visual representation that tracks the proportion of a population cohort that remains alive at various ages.

Life expectancy

The expected number of years of life remaining at a given age.

Life settlement

The act of exchanging a life insurance policy for an amount below the face value of the policy (i.e., the amount paid when the policyholder dies). The purchaser becomes responsible for making premium payments in return for collecting death benefits.

Life table

A table that shows, for each age, what the probability is that a person of that age will die before his or her next birthday. A number of inferences can be derived, such as the probability of surviving any particular year of age and the remaining life expectancy for people at different ages. Also called Mortality table.

Liquidity coverage ratio (LCR)

A standard developed by the Basel Committee for supervisors to use in liquidity risk supervision. It is defined as the ratio of high-quality liquid assets to short-term liquidity needs under a specified acute stress scenario. Two types of liquid assets are included, both of which are supposed to have high credit quality and low market risk: Level 1 assets are meant to exhibit characteristics akin to the safest assets; those in Level 2 are subject to a haircut and a limit on their quantity in the overall liquidity requirement.

Liquidity risk

The risk that increases in assets cannot be funded or obligations met as they come due, without incurring unacceptable losses. Market liquidity risk is the risk that asset positions that are normally traded in reasonable size with little price impact can only be transacted at a substantial premium/discount, if at all. Funding liquidity risk is the risk that solvent counterparties have difficulty borrowing immediate means of payment to meet liabilities falling due.

London interbank offered rate (LIBOR)

An index of the interest rates at which banks declare they would be willing to offer to lend unsecured funds to other banks in the London wholesale money market.

Longevity bond

Bonds that pay a coupon proportional to the number of survivors in a selected birth cohort, creating an effective hedge against longevity risk.

Longevity risk

The risk that people live longer than expected.

Longevity swap

A swap in which a pension fund sponsor makes periodic fixed “premium” payments to a counterparty in return for periodic payments based on the difference between the pension fund’s actual and expected payouts.


The amount that the holder of a financial instrument has to deposit (with a broker or exchange) to cover some or all of the risk associated with that instrument.


The valuation of a position or portfolio by reference to the most recent price at which a financial instrument can be bought or sold in normal volumes. The marked-to-market value might equal the current market value—as opposed to historic accounting or book value—or other objective method of establishing the “fair” value, such as the present value of expected future cash flows.

Market liquidity

The degree to which an asset or security can be bought or sold in the market without affecting its price. Liquidity is characterized by a high level of trading activity. Assets that can be easily bought or sold are known as liquid assets.

Maturity extension program

A program by the Federal Reserve to sell $400 billion of shorter-term Treasury securities by end-June 2012 and use the proceeds to buy longer-term Treasury securities, thus extending the average maturity of the securities in the Federal Reserve’s portfolio. It was introduced to exert a downward pressure on long- term interest rates and support more accommodative financial conditions. Also known as Operation Twist.

Mean-variance efficient frontier

A set of points showing the minimum return volatilities for any given level of expected returns of portfolios.

Minimum variance portfolio

On the mean-variance efficient frontier, the portfolio that attains the lowest level of risk. See also Mean-variance efficient frontier.

Money market mutual fund (MMMF)

An open-ended mutual fund that invests in short-term debt securities such as U.S. Treasury bills and commercial paper.

Mortality table

See Life table.

Mortgage-backed security (MBS)

A security, backed by pooled mortgages on real estate assets, that derives its cash flows from principal and interest payments on those mortgages. MBS can be backed by residential mortgages (residential mortgage-backed securities, RMBS) or mortgages on commercial properties (commercial mortgage-backed securities, CMBS). A private-label MBS is typically a structured credit product. RMBSs that are issued by a government-sponsored enterprise are not structured. See also Structured credit product.

National accounts identity

An identity that results from the implementation of complete and consistent accounting techniques for measuring the economic activity of a nation. National accounts broadly present output, expenditure, and income activities of the economic actors (households, corporations, government) in an economy.

Nonbank financial institutions

A financial institution that does not have a full banking license or is not supervised by a national or international banking regulatory agency. These institutions facilitate financial services, such as investment, risk pooling, contractual savings, and trading and brokering, and can include money market mutual funds, investment banks, finance companies, insurance firms, pension funds, hedge funds, currency exchanges, and microfinance organizations.

Old-age dependency ratio

The ratio of the population 65 years and older to the population 15 to 64 years.


In the case of financial securities, those that are traded directly between two parties rather than on a financial exchange.

Payroll contribution rate

The share of a wage or salary that an employee and his or her employer contribute to a social security program.

Present value

The value today of a series of net cash flows made at another time in the future. Payments in the future are discounted to reflect the time value of money (the idea that money available now is worth more than the same amount of money available in the future because it could be earning interest). See also Discount rate.


Covered bonds used in Germany for mortgage funding. Created by an executive order of Frederick II of Prussia in 1769.

Pillar 2 (of Basel II)

One of the three mutually supporting pillars that form the Basel II accord. Pillar 2 focuses on enhancing the supervisory review process, for example by giving supervisors discretion to increase regulatory capital requirements if weaknesses are found in a lender’s internal capital assessment process. See also Basel II.

Primary dealer

A financial institution that is authorized to deal directly with the central bank in the buying and selling of government securities.


The tendency of changes in asset prices and valuations to move with the same periodicity as macroeconomic business and financial cycles, but with greater amplitude. For example, during the recent credit cycle, the marked-to-market valuation of collateral in secured funding markets worked procyclically to exaggerate price movements.

Quantitative easing (QE)

An expansion of a central bank’s balance sheet through purchases of government securities and other assets, funded through the creation of base money (cash and bank reserve balances). The second round of quantitative easing by the Federal Reserve to stimulate the U.S. economy following the recession that began in 2007–08 was initiated in the fourth quarter of 2010 and is referred to as Quantitative Easing 2 (QE2).


Developments in longevity that have made the life curve more rectangular over time. These developments include lower child mortality and lower deaths at preretirement ages. If all people died at the same age, the life curve would be a rectangle, with 100 percent of the population being alive before that age, and 0 percent after that age. See also Life curve.


Statistical technique for modeling and analyzing the relationship between different economic variables.


The sale (for a premium) of insurance contracts by insurance companies that are looking to manage their risk exposures. These contracts are usually bought by reinsurance companies.

Replacement rate

The average income necessary to keep a retired person’s standard of living at its preretirement level measured as a percentage of the average preretirement income. A reasonable replacement rate may differ across countries, but the literature generally puts it in the range of 60 to 80 percent.

Repo (repurchase) agreement

A sale of a security coupled with an agreement to repurchase the security at an agreed price at a future date. This transaction occurs between a cash borrower (or securities lender), typically a fixed-income securities broker-dealer, and the cash lender (or securities borrower), such as a money market mutual fund or a custodial bank. The securities lender receives cash in return and pledges the legal title of a security as collateral.

Reverse mortgage

A product that allows a homeowner to convert part of the equity in his or her home into cash or a credit line. The lender advances payments to the borrower, the loan continues to accrue interest, for which the borrower is responsible, and is settled using the proceeds from selling the property when the borrower dies.

Risk premium

The extra expected return on an asset that investors demand in exchange for accepting its higher risk.

Risk weighting

In the context of Basel capital adequacy requirements, the adjustment of the value of an asset by a factor representing its riskiness and potential for default. See also Capital adequacy ratio (CAR) and Basel II.

Search for yield

Investors’ inclination to look for additional income or other return from their investments by moving into riskier asset classes such as those that are more illiquid, more complex, or contain more duration and credit risks.


The creation of securities from a portfolio of existing assets or future receivables that are placed under the legal ownership or control of investors through a special intermediary created for this purpose—a “special purpose vehicle” (SPV) or “special purpose entity” (SPE).


A risk management method in which an individual or company sets aside a calculated amount of money to compensate for a potential future loss, as an alternative to buying traditional insurance.

Social security scheme

An officially organized insurance system providing protection against socially recognized conditions, including poverty, old age, disability, unemployment, and others.


The ability of an individual, company, or government to meet its obligations (liabilities) over time.

Solvency II

A Directive of the European Union (Solvency II Directive 2009/138/EC) that codifies and harmonizes insurance regulations in the European Economic Area. As part of its provisions, the directive determines the amount of capital that insurance companies must hold to reduce the risk of insolvency.

Sovereign wealth fund (SWF)

An investment fund created by a sovereign government for macroeconomic purposes. SWFs hold, manage, or administer assets to achieve financial objectives and employ a set of investment strategies that may include investing in foreign financial assets. SWFs are commonly established variously from balance of payments surpluses, official foreign currency operations, the proceeds of privatizations, fiscal surpluses, and receipts resulting from commodity exports.

Special drawing rights (SDR)

An international reserve asset, created by the IMF in 1969 to supplement its member countries’ official reserves. Its value is based on a basket of four key international currencies (the euro, the Japanese yen, the pound sterling, and the U.S. dollar). SDRs can be exchanged for freely usable currencies.

Statutory retirement age

The age at which a person is expected or required to cease work. This usually corresponds to the age at which they may be entitled to receive an old-age pension or other government benefits.

Stress test

A process that evaluates the ability of an individual institution or the aggregate financial system to withstand adverse situations such as negative macroeconomic and financial shocks.

Structured credit product

An instrument that pools and tranches credit risk exposure, including mortgage-backed securities and collateralized debt obligations.


An agreement between counterparties to exchange periodic payments based on different reference financial instruments or indices on a predetermined notional amount. See also Swap spread.

Swap spread

The differential between the government bond yield and the fixed rate on an interest rate swap of the equivalent maturity. See also Swap.

Tax wedge

Income and payroll taxes as a share of labor earnings.

Tier 1 capital

A regulatory measure of capital supporting the lending activity of a bank. It consists primarily of common stock, retained earnings, and perpetual preferred stock and is the most loss-absorbing capital. The more loss-absorbing capital held by the bank, the greater the protection of uninsured depositors and other bank creditors in an event of a bank failure.

Tier 2 capital

A regulatory measure of the supplementary capital supporting the lending activity of a bank. Less loss-absorbing than Tier 1 capital, it includes undisclosed reserves, general loss reserves, and subordinated term debt.

Trading book

An accounting book that includes all securities that the institution regularly buys and sells on the market. These securities are accounted for in a different way than those in the banking book, as securities in the banking book are meant to be held by the institution until they mature and are not usually affected by market activity.

Tranche (of a security)

A slice of a security—typically an asset-backed security—associated with a specific order for payment and level of risk and that is sold to investors separately. Tranche holders are paid starting with the “senior” tranches (least risky) and then working down through one or more “mezzanine” levels to the “equity” tranche (most risky). If some of the expected cash flows are not received, and after any cash flow buffers are depleted, the payments to the equity tranche are reduced. If the equity tranche is depleted, then payments to the mezzanine tranche holders are reduced, and so on up to the senior tranches.

Tripartite (or tri-party) repo

A repo transaction in which a custodian bank or international clearing organization (the tri-party agent) acts as an intermediary between the two parties. The tri-party agent is responsible for the administration of the transaction, including collateral allocation, marking to market, and substitution of collateral.

Underfunded plan

A defined-benefit pension plan in which the value of assets accumulated is smaller than the present value of promised benefits.

Variation margin

Funds that are paid by (or received by) a counterparty to settle any losses (gains) resulting from marking open positions to market. In some markets the term is also used to describe the posting of collateral by a counterparty to cover a margin deficit. See also Margin.

Viatical settlement

The sale of a policy owner’s existing life insurance policy to a third party for more than its cash surrender value, but less than its net death benefit. Such a sale provides the policy owner with an immediate cash payment. The third party becomes the new owner of the policy, pays the remaining monthly premiums, and receives the full benefit of the policy when the insured dies.


Chicago Board Options Exchange Volatility Index that measures market expectations of financial volatility over the next 30 days. The VIX is constructed from S&P 500 option prices.

Yield curve

The relationship between the interest rate (or yield) and the time to maturity for debt securities of equivalent credit risk. In this GFSR, the interest (term) spread between the 10-year Treasury bond and the 3-month Treasury bill.

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