Introduction to Bond Markets provides a comprehensive, authoritative description of the bond markets. The contents describe and define bonds within the context of the capital markets and the different types of bonds that are traded. The Fourth Edition has been completely updated to reflect the many changes in the industry as a result of the financial crisis. In addition, four new chapters feature the causes of the financial crisis and the implications for bond investors, risk, return and diversification, securitization, and credit derivatives. Ideal for traders, fund managers, and students in the field.

InhaltsangabeForeword. Preface. Preface to the First Edition. About the author. 1 INTRODUCTION TO BONDS. Description. Outline of market participants. Bond analysis. Financial arithmetic: the time value of money. Present value and discounting. Discount factors and boot-strapping the discount function. Bond pricing and yield: the traditional approach. Bond pricing. Bond yield. Accrued interest. Clean and dirty bond prices. Daycount conventions. Illustrating bond yield using Excel spreadsheets. Bibliography. 2 THE YIELD CURVE, SPOT AND FORWARD YIELDS. The yield curve. Yieldtomaturity yield curve. The par yield curve. The zerocoupon (or spot) yield curve. The forward yield curve. Theories of the yield curve. Spot rates. Discount factors and the discount function. The bootstrapping method: deriving the theoretical zerocoupon (spot) rate curve. Mathematical relationship. Implied forward rates. Understanding forward rates. The term structure of interest rates. Bibliography. 3 BOND INSTRUMENTS AND INTEREST-RATE RISK. Duration, modified duration and convexity. Duration. Properties of Macaulay duration. Modified duration. Convexity. Bibliography. 4 FLOATINGRATE NOTES AND OTHER BOND INSTRUMENTS. Floatingrate notes. Synthetic convertible note. Description. Investor benefits. Interest differential notes. Example of IDN. Benefits to investors. Convertible quanto note. Example of Japanese equity note. Bibliography. 5 THE MONEY MARKETS. Introduction. Securities quoted on a yield basis. Money market deposits. Certificates of deposit. CD yields. Securities quoted on a discount basis. Treasury bills. Banker's acceptances. Eligible banker's acceptance. Commercial paper. Commercial paper programmes. Commercial paper yields. Assetbacked commercial paper. Repo. Definition. The classic repo. Examples of classic repo. The sell/buyback. Examples of sell/buy-back. Repo collateral. Legal treatment. Margin. Variation margin. 5.A Currencies using money market year base of 365 days. 6 THE EUROBOND MARKET. Eurobonds. Foreign bonds. Eurobond instruments. Conventional bonds. Floating rate notes. Zerocoupon bonds. Convertible bonds. The issue process: market participants. The borrowing parties. The underwriting lead manager. The colead manager. Investors. Fees, expenses and pricing. Fees. Expenses. Pricing. Issuing the bond. The grey market. Alternative issue procedures. Covenants. Trust services. Depositary. Paying agent. Registrar. Trustee. Custodian. Form of the bond. Temporary global form. Permanent global bond. Definitive form. Registered bonds. Fiscal agent. Listing agent. Clearing systems. Market associations. International Capital Market Association. Bloomberg screens. Secondary market. Settlement. Bibliography. 7 CONVERTIBLE BONDS, MTNs AND WARRANTS. Description. Analysis. Value and premium issues. Zerocoupon convertibles. Warrants. Mediumterm notes. MTN programme. Shelf registration. Credit rating. Secondary market. Issuers and investors. MTNs and corporate bonds. 8 CREDIT RATINGS. Credit ratings. Purpose of credit ratings. Formal credit ratings. Credit rating agencies and the 2007-2008 financial market crash. 9 INFLATIONLINKED BONDS. Basic concepts. Choice of index. Indexation lag. Coupon frequency. Type of indexation. Indexlinked bond cash flows and yields. TIPS cash flow calculations. TIPS price and yield calculations. Assessing yields on index-linked bonds. Which to hold: indexed or conventional bonds? Inflationindexed derivatives. Market instruments. Applications. Bibliography. 10 AN INTRODUCTION T

Leseprobe

Foreword. Preface. Preface to the First Edition. About the author. 1 INTRODUCTION TO BONDS. Description. Outline of market participants. Bond analysis. Financial arithmetic: the time value of money. Present value and discounting. Discount factors and boot-strapping the discount function. Bond pricing and yield: the traditional approach. Bond pricing. Bond yield. Accrued interest. Clean and dirty bond prices. Day-count conventions. Illustrating bond yield using Excel spreadsheets. Bibliography. 2 THE YIELD CURVE, SPOT AND FORWARD YIELDS. The yield curve. Yield-to-maturity yield curve. The par yield curve. The zero-coupon (or spot) yield curve. The forward yield curve. Theories of the yield curve. Spot rates. Discount factors and the discount function. The boot-strapping method: deriving the theoretical zero-coupon (spot) rate curve. Mathematical relationship. Implied forward rates. Understanding forward rates. The term structure of interest rates. Bibliography. 3 BOND INSTRUMENTS AND INTEREST-RATE RISK. Duration, modified duration and convexity. Duration. Properties of Macaulay duration. Modified duration. Convexity. Bibliography. 4 FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS. Floating-rate notes. Synthetic convertible note. Description. Investor benefits. Interest differential notes. Example of IDN. Benefits to investors. Convertible quanto note. Example of Japanese equity note. Bibliography. 5 THE MONEY MARKETS. Introduction. Securities quoted on a yield basis. Money market deposits. Certificates of deposit. CD yields. Securities quoted on a discount basis. Treasury bills. Banker's acceptances. Eligible banker's acceptance. Commercial paper. Commercial paper programmes. Commercial paper yields. Asset-backed commercial paper. Repo. Definition. The classic repo. Examples of classic repo. The sell/buy-back. Examples of sell/buy-back. Repo collateral. Legal treatment. Margin. Variation margin. 5.A Currencies using money market year base of 365 days. 6 THE EUROBOND MARKET. Eurobonds. Foreign bonds. Eurobond instruments. Conventional bonds. Floating rate notes. Zero-coupon bonds. Convertible bonds. The issue process: market participants. The borrowing parties. The underwriting lead manager. The co-lead manager. Investors. Fees, expenses and pricing. Fees. Expenses. Pricing. Issuing the bond. The grey market. Alternative issue procedures. Covenants. Trust services. Depositary. Paying agent. Registrar. Trustee. Custodian. Form of the bond. Temporary global form. Permanent global bond. Definitive form. Registered bonds. Fiscal agent. Listing agent. Clearing systems. Market associations. International Capital Market Association. Bloomberg screens. Secondary market. Settlement. Bibliography. 7 CONVERTIBLE BONDS, MTNs AND WARRANTS. Description. Analysis. Value and premium issues. Zero-coupon convertibles. Warrants. Medium-term notes. MTN programme. Shelf registration. Credit rating. Secondary market. Issuers and investors. MTNs and corporate bonds. 8 CREDIT RATINGS. Credit ratings. Purpose of credit ra ...