Efnisyfirlit

• Front Cover
• Fixed Income Markets and Their Derivatives
• Copyright Page
• Contents
• Preface
• Acknowledgments
• PART 1 INSTITUTIONS AND CONVENTIONS
  • CHAPTER 1 Overview of Fixed Income Markets
    • 1.1 Overview of Debt Contracts
      • 1.1.1 Cash-Flow Rights of Debt Securities
      • 1.1.2 Primary and Secondary Markets
    • 1.2 Players and Their Objectives
      • 1.2.1 Governments
      • 1.2.2 Central Banks
      • 1.2.3 Federal Agencies and Government-Sponsored Enterprises (GSEs)
      • 1.2.4 Corporations and Banks
      • 1.2.5 Financial Institutions and Dealers
      • 1.2.6 "Buy-Side" Institutions
      • 1.2.7 Households
    • 1.3 Classification of Debt Securities
    • 1.4 Risk of Debt Securities
      • 1.4.1 Interest Rate Risk
      • 1.4.2 Credit Risk
      • 1.4.3 Liquidity Risk
      • 1.4.4 Contractual Risk
      • 1.4.5 Inflation Risk
      • 1.4.6 Event Risk
      • 1.4.7 Tax Risk
      • 1.4.8 FX Risk
    • 1.5 Return-Risk History
    • Suggested References and Readings
  • CHAPTER 2 Price-Yield Conventions
    • 2.1 Concepts of Compounding and Discounting
      • 2.1.1 Future Values
      • 2.1.2 Annuities
      • 2.1.3 Present Values
    • 2.2. Yield to Maturity or Internal Rate of Return
      • 2.2.1 Semiannual Compounding
    • 2.3. Prices in Practice
    • 2.4. Prices and Yields of T-Bills
      • 2.4.1 Yield of a T-Bill with n < 182 Days
      • 2.4.2 Yield of a T-Bill with n > 182 Days
    • 2.5. Prices and Yields of T-Notes and T-Bonds
    • 2.6. Price-Yield Relation Is Convex
    • 2.7. Conventions in Other Markets
    • Suggested References and Readings
  • CHAPTER 3 Federal Reserve (Central Bank) and Fixed Income Markets
    • 3.1 Central Banks
    • 3.2 Monetary Policies
      • 3.2.1 Open Market Operations
      • 3.2.2 The Discount Window
      • 3.2.3 Reserve Requirements
    • 3.3 Fed Funds Rates
    • 3.4 Payments Systems and Conduct of Auctions
    • 3.5 Fed's Actions to Stem the Credit Crunch of 2007–2008
    • Suggested Readings and References
  • CHAPTER 4 Organization and Transparency of Fixed Income Markets
    • 4.1 Introduction
    • 4.2 Primary Markets
      • 4.2.1 Treasury Markets
      • 4.2.2 Corporate Debt
    • 4.3 Interdealer Brokers
    • 4.4 Secondary Markets
      • 4.4.1 Dealer Market Transparency
      • 4.4.2 Indicators of Transparency
      • 4.4.3 Evidence on Trading Characteristics
      • 4.4.4 Matrix Prices and Execution Costs
    • 4.5 Evolution of Secondary Markets
    • Suggested Readings and References
  • CHAPTER 5 Financing Debt Securities: Repurchase (Repo) Agreements
    • 5.1 Repo and Reverse Repo Contracts
      • 5.1.1 Repo Contract Defined
      • 5.1.2 Reverse Repo Contract Defined
      • 5.1.3 Repo as Secured Lending
    • 5.2 Real-Life Features
    • 5.3 Long and Short Positions Using Repo and Reverse Repo
    • 5.4 General Collateral Repo Agreement
      • 5.4.1 GC Repo Contract and Market
      • 5.4.2 GC Repo Rates
    • 5.5 Special Collateral Repo Agreement
    • 5.6 Fails in Repo Market
    • 5.7 Developments in Repo Markets
    • Suggested Readings and References
  • CHAPTER 6 Auctions of Treasury Debt Securities
    • 6.1 Benchmark Auctions Schedule
      • 6.1.1 Auctions of Money Market Instruments
      • 6.1.2 Auctions of Treasury Notes
      • 6.1.3 Auctions of Treasury Bonds
      • 6.1.4 Auctions of TIPS
    • 6.2 Conduct of Treasury Auctions
      • 6.2.1 Auction Announcement
      • 6.2.2 When-Issued Trading and Book Building
      • 6.2.3 Auction Mechanisms
      • 6.2.4 Uniform Price Auctions
      • 6.2.5 Discriminatory Auctions
    • 6.3 Auction Theory and Empirical Evidence
      • 6.3.1 Winner's Curse and Bid Shading
    • 6.4 Auction Cycles and Financing Rates
    • Suggested Readings and References
• PART 2 ANALYTICS OF FIXED INCOME MARKETS
  • CHAPTER 7 Bond Mathematics: DV01, Duration, and Convexity
    • 7.1 DV01/PVBP or Price Risk
    • 7.2 Duration
      • 7.2.1 Excel Applications
      • 7.2.2 Properties of Duration and PVBP
      • 7.2.3 PVBP and Duration of Portfolios
    • 7.3 Trading and Hedging
      • 7.3.1 Spread Trades: Curve Steepening or Curve Flattening Trades
    • 7.4 Convexity
      • 7.4.1 Bullet versus Barbell Securities (Butterfly Trade)
    • 7.5 Effective Duration and Effective Convexity
    • Suggested Readings and References
  • CHAPTER 8 Yield Curve and the Term Structure
    • 8.1 Yield-Curve Analysis
      • 8.1.1 Principal Components Analysis of Yield Curve
      • 8.1.2 Volatility of Short and Long Rates
      • 8.1.3 Price-Based Versus Yield-Based Volatility
      • 8.1.4 Economic News Announcements and Volatility
      • 8.1.5 Yield Versus Duration
      • 8.1.6 Coupon and Vintage Effects
    • 8.2 Term Structure
      • 8.2.1 Implied Zeroes
      • 8.2.2 Bootstrapping Procedure
      • 8.2.3 Par Bond Yield Curve
    • 8.3 Forward Rates of Interest
    • 8.4 STRIPS Markets
    • 8.5 Extracting Zeroes in Practice
    • Suggested References and Readings
  • CHAPTER 9 Models of Yield Curve and the Term Structure
    • 9.1 Introduction
    • 9.2 Modeling Mean-Reverting Interest Rates
      • 9.2.1 The Vasicek Model
      • 9.2.2 The Cox, Ingersoll, and Ross Model
    • 9.3 Calibration to Market Data
      • 9.3.1 The Black, Derman, and Toy Model
      • 9.3.2 General Implementation of the BDT Approach
    • 9.4 Interest Rate Derivatives
    • 9.5 A Review of One-Factor Models
    • Suggested Readings and References
  • CHAPTER 10 Modeling Credit Risk and Corporate Debt Securities
    • 10.1 Defaults, Business Cycles, and Recoveries
    • 10.2 Rating Agencies
    • 10.3 Structural Models of Default
      • 10.3.1 Probability of Default and Loss Given Default
      • 10.3.2 Market Prices
    • 10.4 Implementing Structural Models: The KMV Approach
      • 10.4.1 Subordinated Corporate Debt
      • 10.4.2 Safety Covenants
    • 10.5 Costs of Financial Distress and Corporate Debt Pricing
    • 10.6 Reduced-Form Models
    • 10.7 Credit Spreads Puzzle
    • Suggested Readings and References
• PART 3 SOME FIXED INCOME MARKET SEGMENTS
  • CHAPTER 11 Mortgages, Federal Agencies, and Agency Debt
    • 11.1 Overview of Mortgage Contracts
      • 11.1.1 Lenders' Risks
        • 11.1.1.1 Default Risk
        • 11.1.1.2 Prepayments
        • 11.1.1.3 Interest Rate Risk
    • 11.2 Types of Mortgages
      • 11.2.1 Fixed-Rate Mortgages (FRMs)
      • 11.2.2 Adjustable-Rate Mortgages (ARMs)
      • 11.2.3 Agency Mortgages
      • 11.2.4 Jumbo Mortgages
      • 11.2.5 Alt-A Mortgages
      • 11.2.6 Subprime Mortgages
    • 11.3 Mortgage Cash Flows and Yields
    • 11.4 Federal Agencies
    • 11.5 Federal Agency Debt Securities
      • 11.5.1 Empirical Evidence on Spreads
    • Suggested Readings and References
  • CHAPTER 12 Mortgage-Backed Securities
    • 12.1 Overview of Mortgage-Backed Securities
      • 12.1.1 Securitization
      • 12.1.2 Guarantees and Credit Enhancement
      • 12.1.3 Creation of an Agency MBS
      • 12.1.4 Cash Flows and Market Conventions
    • 12.2 Risks: Prepayments
      • 12.2.1 Measuring Prepayments
        • 12.2.1.1 Twelve-Year Retirement
        • 12.2.1.2 Constant Monthly Mortality
      • 12.2.2 FHA Experience
      • 12.2.3 PSA Experience
      • 12.2.4 Mortgage Cash Flows with Prepayments
    • 12.3 Factors Affecting Prepayments
      • 12.3.1 Refinancing Incentive
      • 12.3.2 Seasonality Factor
      • 12.3.3 Age of the Mortgage
      • 12.3.4 Family Circumstances
      • 12.3.5 Housing Prices
      • 12.3.6 Mortgage Status (Premium Burnout)
      • 12.3.7 Mortgage Term
    • 12.4 Valuation Framework
    • 12.5 Valuation of Pass-Through MBS
      • 12.5.1 Empirical Behavior of an OAS
    • 12.6 REMICS
      • 12.6.1 REMIC Structure
      • 12.6.2 Sequential Structure
      • 12.6.3 Planned Amortization Class Structure
    • Suggested Readings and References
  • CHAPTER 13 Inflation-Linked Debt: Treasury Inflation-Protected Securities
    • 13.1 Overview of Inflation-Indexed Debt
    • 13.2 Role of Indexed Debt
    • 13.3 Design of TIPS
      • 13.3.1 Choice of Index
      • 13.3.2 Indexation Lag
      • 13.3.3 Maturity Composition of TIPS
      • 13.3.4 Strippability of TIPS
      • 13.3.5 Tax Treatment
    • 13.4 Cash-Flow Structure
      • 13.4.1 Indexed Zero Coupon Structure
      • 13.4.2 Principal-Indexed Structure
      • 13.4.3 Interest-Indexed Structure
    • 13.5 Real Yields, Nominal Yields, and Break-Even Inflation
    • 13.6 Cash Flows, Prices, Yields, and Risks of TIPS
    • 13.7 Investor's Perspective
      • 13.7.1 Conclusion
    • Suggested Readings and References
• PART 4 FIXED INCOME DERIVATIVES
  • CHAPTER 14 Derivatives on Overnight Interest Rates
    • 14.1 Overview
    • 14.2 Fed Funds Futures Contracts
      • 14.2.1 Recovering Market Expectations of Future Actions by the FOMC
    • 14.3 Overnight Index Swaps (OIS)
      • 14.3.1 Contract Specifications
    • 14.4 Valuation of OIS
    • 14.5 OIS Spreads with Other Money Market Yields
    • Suggested Readings and References
  • CHAPTER 15 Eurodollar Futures Contracts
    • 15.1 Eurodollar Markets and LIBOR
      • 15.1.1 LIBOR Fixing
      • 15.1.2 Calculating Yields in the Cash Market
    • 15.2 Eurodollar Futures Markets and LIBOR
      • 15.2.1 Eurodollar Futures Settlement to Yields
    • 15.3 Deriving Swap Rates from ED Futures
      • 15.3.1 Eurodollar Futures Versus Swap Markets
    • 15.4 Intermarket Spreads
    • 15.5 Options on ED Futures
      • 15.5.1 Caps, Floors, and Collars on LIBOR
    • 15.6 Valuation of Caps
    • Suggested Readings and References
  • CHAPTER 16 Interest-Rate Swaps
    • 16.1 Swaps and Swap-Related Products and Terminology
      • 16.1.1 Asset Swaps
      • 16.1.2 Diversity of Swap Contracts
    • 16.2 Valuation of Swaps
      • 16.2.1 Forward Swap
      • 16.2.2 ED Futures and Swap Pricing
      • 16.2.3 Convexity Adjustment
    • 16.3 Swap Spreads
      • 16.3.1 Liquidity Factor or the Systemic Risk Factor
      • 16.3.2 Credit Risk in the Bank Sector
      • 16.3.3 Agency Activities
    • 16.4 Risk Management
      • 16.4.1 Management of the Credit Risk of Swaps
    • 16.5 Swap Bid Rate, Offer Rate, and Bid-Offer Spreads
    • 16.6 Swaptions
      • 16.6.1 Swaption Parity Relation
    • 16.7 Conclusion
    • Suggested Readings and References
  • CHAPTER 17 Treasury Futures Contracts
    • 17.1 Forward Contracts Defined
    • 17.2 Futures Contracts Defined
    • 17.3 Design of Contractual Features
      • 17.3.1 Delivery Specifications
      • 17.3.2 Price Limits
      • 17.3.3 Margins
    • 17.4 Futures Versus Forwards
    • 17.5 Treasury Futures Contracts
      • 17.5.1 Delivery Options in Treasury Note Futures
      • 17.5.2 Conversion Factor
      • 17.5.3 Seller's Option in the September 2007 Contract
        • 17.5.3.1 Basis in T-Bond Futures
      • 17.5.4 Determination of Delivery
      • 17.5.5 Basis after Carry, or Net Basis
      • 17.5.6 Implied Repo Rate
      • 17.5.7 Duration Bias in Deliveries
      • 17.5.8 Hedging Applications
    • Suggested Readings and References
  • CHAPTER 18 Credit Default Swaps: Single-Name, Portfolio, and Indexes
    • 18.1 Credit Default Swaps
    • 18.2 Players
    • 18.3 Growth of CDS Market and Evolution
    • 18.4 Restructuring and Deliverables
    • 18.5 Settlement on Credit Events
    • 18.6 Valuation of CDS
      • 18.6.1 CDS Spreads, Probability of Default, and Recovery Rates
      • 18.6.2 Applications
    • 18.7 Credit-Linked Notes
    • 18.8 Credit Default Indexes
    • Suggested Readings and References
  • CHAPTER 19 Structured Credit Products: Collateralized Debt Obligations
    • 19.1 Collateralized Debt Obligations
      • 19.1.1 CDO Structure and Players
      • 19.1.2 Types of Cash CDOs
      • 19.1.3 Synthetic CDOs
    • 19.2 Analysis of CDO Structure
      • 19.2.1 Leverage
      • 19.2.2 Extent of Subordination, Overcollateralization, and Waterfalls
      • 19.2.3 Quality of Collateral Pool and Rating
    • 19.3 Growth of the CDO Market
    • 19.4 Credit Default Indexes (CDX)
    • 19.5 CDX Tranches
    • 19.6 Valuation of CDOs
    • Suggested Readings and References
• Glossary of Financial Terms
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