Holdings: Fixed income markets and their derivatives

Fixed income markets and their derivatives:

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Bibliographic Details
Main Author:	Sundaresan, Suresh M. (Author)
Format:	Book
Language:	English
Published:	Amsterdam [u.a.] Academic Press 2009
Edition:	3. ed.
Series:	Academic Press advanced finance series
Subjects:	Festverzinsliches Wertpapier Finanzderivat Optionspreistheorie Portfolio-Management Risikomanagement Theorie USA Fixed-income securities Lehrbuch
Online Access:	Inhaltsverzeichnis
Item Description:	Literaturangaben
Physical Description:	XVI, 435 S. graph. Darst.
ISBN:	9780123704719

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adam_text	Contents Preface .....................................................................................................................xvii Acknowledgments ....................................................................................................xix PART 1 INSTITUTIONS AND CONVENTIONS __________________ CHAPTER 1 Overview of Fixed Income Markets ........................................03 1.1 Overview of Debt Contracts ...........................................................03 1.1.1 Cash-Flow Rights of Debt Securities ......................................07 1.1.2 Primary and Secondary Markets ............................................08 1.2 Players and Their Objectives ...........................................................08 1.2.1 Governments ......................................................................... 10 1.2.2 Central Banks ......................................................................... 10 1.2.3 Federal Agencies and Government-Sponsored Enterprises (GSEs) .................................................................10 1.2.4 Corporations and Banks ........................................................ 11 1.2.5 Financial Institutions and Dealers ......................................... 11 1.2.6 Buy-Side^nstitutions ............................................................11 1.2.7 Households ............................................................................11 1.3 Classification of Debt Securities .....................................................12 1.4 Risk of Debt Securities ...................................................................14 .4.1 Interest Rate Risk ...................................................................14 .4.2 Credit Risk ............................................................................. 15 .4.3 Liquidity Risk ......................................................................... 16 .4.4 Contractual Risk .................................................................... 18 .4.5 Inflation Risk .......................................................................... 19 .4.6 Event Risk ..............................................................................20 .4. Tax Risk ..................................................................................20 .4.8 FX Risk ...................................................................................20 1.5 Return-Risk History ........................................................................21 Suggested References and Readings .......................................................24 CHAPTER 2 Price-Yield Conventions ...........................................................25 2.1 Concepts of Compounding and Discounting .................................25 2.1.1 Future Values ..........................................................................25 2.1.2 Annuities ................................................................................27 2.1.3 Present Values ........................................................................29 χ Contents 2.2. Yield to Maturity or Internal Rate of Return ...................................31 2.2.1 Semiannual Compounding ....................................................32 2.3. Prices in Practice ............................................................................33 2.4. Prices andYields ofT-Bills ...............................................................34 2.4.1 Yield of аТ-ВШ with η < 182 Days ........................................35 2.4.2YieldofaT-Billwith«> 182 Days ........................................36 2.5. Prices andYields of Т -Notes and Т -Bonds........................................ 37 2.6. Price-Yield Relation Is Convex .......................................................42 2.7. Conventions in Other Markets .......................................................42 Suggested References and Readings .......................................................44 CHAPTER 3 Federal Reserve (Central Bank) and Fixed Income Markets ...............................................................45 3.1 Central Banks ..................................................................................45 3.2 Monetary Policies ...........................................................................46 3.2.1 Open Market Operations ......................................................46 3.2.2 The Discount Window ..........................................................48 3.2.3 Reserve Requirements ..........................................................49 3.3 Fed Funds Rates ..............................................................................51 3.4 Payments Systems and Conduct of Auctions ..................................53 3.5 Fed s Actions to Stem the Credit Crunch of 2007-2008.................53 Suggested Readings and References .......................................................56 CHAPTER 4 Organization and Transparency of Fixed Income Markets ...............................................................57 4.1 Introduction ....................................................................................57 4.2 Primary Markets ..............................................................................58 4.2.1 Treasury Markets ....................................................................58 4.2.2 Corporate Debt ......................................................................58 4.3 Interdealer Brokers .........................................................................59 4.4 Secondary Markets ..........................................................................60 4.4.1 Dealer Market Transparency ..................................................61 4.4.2 Indicators of Transparency ....................................................61 4.4.3 Evidence on Trading Characteristics ......................................63 4.4.4 Matrix Prices and Execution Costs ........................................64 4.5 Evolution of Secondary Markets .....................................................64 Suggested Readings and References .......................................................66 CHAPTER 5 Financing Debt Securities: Repurchase (Repo) Agreements 67 5.1 Repo and Reverse Repo Contracts .................................................67 5.1.1 Repo Contract Defined .......................................................... 6~! 5.1.2 Reverse Repo Contract Defined ............................................69 5.1.3 Repo as Secured Lending .......................................................70 5.2 Real-life Features ............................................................................70 Contents xi 5.3 Long and Short Positions Using Repo and Reverse Repo ..................................................................................74 5.4 General Collateral RepoAgreement ................................................77 5.4.1 GC Repo Contract and Market ..............................................77 5.4.2 GC Repo Rates .......................................................................78 5.5 Special Collateral RepoAgreement .................................................82 5.6 Fails in Repo Market .......................................................................84 5.7 Developments in Repo Markets ......................................................84 Suggested Readings and References .......................................................86 CHAPTER 6 Auctions of Treasury Debt Securities ....................................87 6.1 Benchmark Auctions Schedule ........................................................87 6.1.1 Auctions of Money Market Instruments .................................89 6.1.2 Auctions ofTreasury Notes ....................................................89 6.1.3 Auctions of Treasury Bonds ....................................................90 6.1.4 Auctions ofTIPS .....................................................................90 6.2 Conduct ofTreasury Auctions .........................................................91 6.2.1 Auction Announcement .........................................................91 6.2.2 When-Issued Trading and Book Building ...............................93 6.2.3 Auction Mechanisms ..............................................................93 6.2.4 Uniform Price Auctions ..........................................................94 6.2.5 Discriminatory Auctions ........................................................97 6.3 Auction Theory and Empirical Evidence .........................................99 6.31 Winner s Curse and Bid Shading ...........................................99 6.4 Auction Cycles and Financing Rates .............................................100 Suggested Readings and References .....................................................101 PART 2 ANALYTICS OF FIXED INCOME MARKETS _____________ CHAPTER 7 Bond Mathematics: DV01 , Duration, and Convexity ............................................................................105 7.1 DVOl/PVBP or Price Risk .............................................................105 7.2 Duration ........................................................................................109 7.2.1 Excel Applications ...............................................................113 7.2.2 Properties of Duration and PVBP ........................................ 116 7.2.3 PVBP and Duration of Portfolios ......................................... 116 7.3 Trading and Hedging .....................................................................118 7.3-1 Spread Trades: Curve Steepening or Curve Flattening Trades .................................................................. 118 7.4 Convexity ...................................................................................... 119 7.4.1 Bullet versus Barbell Securities (Butterfly Trade) ................. 122 7.5 Effective Duration and Effective Convexity ..................................125 Suggested Readings and References .....................................................129 xii Contents CHAPTER 8 Yield Curve and the Term Structure .....................................131 8.1 Yield-Curve Analysis ......................................................................131 8.1.1 Principal Components Analysis of Yield Curve ....................135 8.1.2 Volatility of Short and Long Rates ........................................136 8.1.3 Price-Based Versus Yield-Based Volatility ..............................138 8.1.4 Economic News Announcements and Volatility ..................138 8.1.5 YieldVersus Duration ...........................................................140 8.1.6 Coupon and Vintage Effects .................................................140 8.2 Term Structure ..............................................................................143 8.2.1 Implied Zeroes .....................................................................143 8.2.2 Bootstrapping Procedure .....................................................144 8.2.3 Par Bond Yield Curve ...........................................................150 8.3 Forward Rates of Interest .............................................................151 8.4 STRIPS Markets .............................................................................155 8.5 Extracting Zeroes in Practice ........................................................158 Suggested References and Readings .....................................................163 CHAPTER 9 Models of Yield Curve and the Term Structure .................165 9.1 Introduction ..................................................................................165 9.2 Modeling Mean-Reverting Interest Rates ......................................172 92.1 The Vasicek Model ...............................................................175 9.2.2 The Cox, Ingersoll, and Ross Model .....................................178 9.3 Calibration to Market Data ............................................................180 931 The Black, Derman, and Toy Model ......................................180 93-2 General Implementation of the BDT Approach ...................186 9.4 Interest Rate Derivatives ...............................................................188 9.5 A Review of One-Factor Models ....................................................193 Suggested Readings and References .....................................................195 CHAPTER 10 Modeling Credit Risk and Corporate Debt Securities .......................................................................197 10.1 Defaults, Business Cycles, and Recoveries ..................................197 10.2 Rating Agencies ..........................................................................201 10.3 Structural Models of Default .......................................................204 10.3-1 Probability of Default and Loss Given Default .................210 10.3.2 Market Prices ...................................................................212 10.4 Implementing Structural Models: The KMV Approach ...............213 10.4.1 Subordinated Corporate Debt .........................................216 10.4.2 Safety Covenants ..............................................................216 10.5 Costs of Financial Distress and Corporate Debt Pricing .............217 10.6 Reduced-Form Models ................................................................220 10.7 Credit Spreads Puzzle .................................................................223 Suggested Readings and References .....................................................224 Contents xiii PART 3 SOME FIXED INCOME MARKET SEGMENTS ___________ CHAPTER 11 Mortgages, Federal Agencies, and Agency Debt ....................................................................227 11.1 Overview of Mortgage Contracts ...............................................227 11.1.1 Lenders Risks ..................................................................228 11.1.1.1 Default Risk ........................................................228 11.1.1.2 Prepayments .......................................................229 11.1.1.3 Interest Rate Risk ...............................................229 11.2 Types of Mortgages .....................................................................230 11.2.1 Fixed-Rate Mortgages (FRMs) ..........................................230 11.2.2 Adjustable-Rate Mortgages (ARMs) ..................................231 11.2.3 Agency Mortgages ............................................................233 11.2.4 Jumbo Mortgages .............................................................233 11.2.5 Alt -А Mortgages ................................................................233 11.2.6 Subprime Mortgages ........................................................233 11.3 Mortgage Cash Flows andYields ................................................233 11.4 Federal Agencies .........................................................................237 11.5 Federal Agency Debt Securities ..................................................242 11.5.1 Empirical Evidence on Spreads .......................................243 Suggested Readings and References .....................................................244 CHAPTER 12 Mortgage-Backed Securities ...............................................245 12.1 Overview of Mortgage-Backed Securities ...................................245 12.1.1 Securitization ...................................................................246 12.1.2 Guarantees and Credit Enhancement ..............................247 12.1.3 Creation of an Agency MBS ..............................................249 12.1.4 Cash Flows and Market Conventions ...............................250 12.2 Risks: Prepayments .....................................................................251 12.2.1 Measuring Prepayments ...................................................251 12.2.1.1 Twelve-Year Retirement ......................................251 12.2.1.2 Constant Monthly Mortality ...............................251 12.2.2 FHA Experience ...............................................................252 12.2.3 PSA Experience ...............................................................253 12.2.4 Mortgage Cash Flows with Prepayments .........................254 12.3 Factors Affecting Prepayments ...................................................257 12.3-1 Refinancing Incentive ......................................................257 12.32 Seasonality Factor ............................................................257 12.33 Age of the Mortgage .........................................................258 12.3-4 Family Circumstances ......................................................258 12.3.5 Housing Prices .................................................................259 12.36 Mortgage Status (Premium Burnout) ...............................259 12.3.7 Mortgage Term .................................................................260 xiv Contents 12.4 Valuation Framework.................................................................. 2бО 12.5 Valuation of Pass-Through MBS................................................... 2б2 12.5.1 Empirical Behavior of an OAS ..........................................264 12.6 REMICS .......................................................................................264 12.6.1 REMIC Structure ..............................................................265 12.6.2 Sequential Structure ........................................................266 12.6.3 Planned Amortization Class Structure ..............................267 Suggested Readings and References .....................................................267 CHAPTER 13 Inflation-Linked Debt: Treasury Inflation-Protected Securities .............................................269 13.1 Overview of Inflation-Indexed Debt ..........................................269 13.2 Role of Indexed Debt .................................................................273 13.3 Design ofTIPS .............................................................................275 13.3.1 Choice of Index ...............................................................275 13.3.2 Indexation Lag .................................................................276 13.3.3 Maturity Composition ofTIPS ..........................................277 13.3.4 Strippability ofTIPS .........................................................277 13.3.5 Tax Treatment ...................................................................278 13.4 Cash-Flow Structure ...................................................................278 13.4.1 Indexed Zero Coupon Structure ......................................279 13.4.2 Principal-Indexed Structure .............................................279 13.4.3 Interest-Indexed Structure ...............................................280 13.5 Real Yields, Nominal Yields, and Break-Even Inflation ...................................................................280 13.6 Cash Flows, Prices, Yields, and Risks of TIPS ...............................283 13.7 Investor s Perspective .................................................................288 ІЗ.7.І Conclusion .......................................................................290 Suggested Readings and References .....................................................290 PART 4 FIXED INCOME DERIVATIVES ________________________ CHAPTER 14 Derivatives on Overnight Interest Rates ...........................293 14.1 Overview ....................................................................................293 14.2 Fed Funds Futures Contracts ......................................................294 14.2.1 Recovering Market Expectations of Future Actions by the FOMC ...........................................295 14.3 Overnight Index Swaps (OIS) ....................................................297 14.3.1 Contract Specifications ....................................................297 14.4 Valuation of OIS ..........................................................................299 14.5 OIS Spreads with Other Money Market Yields ...........................301 Suggested Readings and References .....................................................302 Contents xv CHAPTER 15 Eurodollar Futures Contracts ...............................................303 15.1 Eurodollar Markets and LIBOR ................................................... ЗОЗ 15.1.1 LIBOR Fixing ....................................................................304 15.1.2 Calculating Yields in the Cash Market ..............................305 15.2 Eurodollar Futures Markets and LIBOR ...................................... ЗО6 15.2.1 Eurodollar Futures Settlement to Yields ...........................308 15.3 Deriving Swap Rates from ED Futures .......................................311 15.3-1 Eurodollar Futures Versus Swap Markets .........................315 15.4 Intermarket Spreads ...................................................................315 15.5 Options on ED Futures ...............................................................316 155.1 Caps, Floors, and Collars on LIBOR ..................................317 15.6 Valuation of Caps ........................................................................321 Suggested Readings and References .....................................................324 CHAPTER 16 Interest-Rate Swaps ..............................................................325 16.1 Swaps and Swap-Related Products and Terminology .................325 16.1.1 Asset Swaps ......................................................................326 16.1.2 Diversity of Swap Contracts ............................................327 16.2 Valuation of Swaps ......................................................................328 16.2.1 Forward Swap ..................................................................334 16.2.2 ED Futures and Swap Pricing ..........................................336 16.2.3 Convexity Adjustment ......................................................338 16.3 Swap Spreads ..............................................................................339 16.3.1 Liquidity Factor or the Systemic Risk Factor ...................343 16.32 Credit Risk in the Bank Sector .........................................344 16.3-3 Agency Activities ..............................................................344 16.4 Risk Management .......................................................................345 16.4.1 Management of the Credit Risk of Swaps ........................346 16.5 Swap Bid Rate, Offer Rate, and Bid-Offer Spreads .......................347 16.6 Swaptions ...................................................................................348 16.6.1 Swaption Parity Relation ..................................................351 16.7 Conclusion ..................................................................................352 Suggested Readings and References .....................................................352 CHAPTER 17 Treasury Futures Contracts ..................................................353 17.1 Forward Contracts Defined ........................................................353 17.2 Futures Contracts Defined ..........................................................355 17.3 Design of Contractual Features .................................................. 357 17.3.1 Delivery Specifications ....................................................35^ 17.32 Price Limits ......................................................................358 17.3.3 Margins ............................................................................358 17.4 Futures Versus Forwards .............................................................359 17.5 Treasury Futures Contracts .........................................................359 xvi Contents 17.5.1 Delivery Options in Treasury Note Futures ..................... З60 17.5.2 Conversion Factor ........................................................... З6З 17.53 Seller s Option in the September 2007 Contract .............364 17.5.3.1 Basis inT-Bond Futures .......................................365 17.5.4 Determination of Delivery ............................................... З66 17.5.5 Basis after Carry, or Net Basis ...........................................369 17.5.6 Implied Repo Rate ...........................................................370 17.5.7 Duration Bias in Deliveries ..............................................373 17.58 Hedging Applications .......................................................373 Suggested Readings and References .....................................................375 CHAPTER 18 Credit Default Swaps: Single-Name, Portfolio, and Indexes ........................................................... yn 18.1 Credit Default Swaps ..................................................................377 18.2 Players ........................................................................................380 18.3 Growth of CDS Market and Evolution ........................................380 18.4 Restructuring and Deliverables ..................................................382 18.5 Settlement on Credit Events .......................................................384 18.6 Valuation of CDS .........................................................................386 18.6.1 CDS Spreads, Probability of Default, and Recovery Rates .........................................................388 18.6.2 Applications .....................................................................391 18.7 Credit-Linked Notes ....................................................................393 18.8 Credit Default Indexes ...............................................................394 Suggested Readings and References .....................................................396 CHAPTER 19 Structured Credit Products: Collateralized Debt Obligations ..........................................397 19.1 Collateralized Debt Obligations ..................................................398 1911 CDO Structure and Players ..............................................399 19.1.2 Types of Cash CDOs .........................................................400 19.1.3 Synthetic CDOs ................................................................401 19.2 Analysis of CDO Structure ..........................................................401 19.2.1 Leverage ...........................................................................402 192.2 Extent of Subordination, Overcollateralization, and Waterfalls ...................................................................402 192.3 Quality of Collateral Pool and Rating ...............................404 19.3 Growth of the CDO Market ........................................................404 19.4 Credit Default Indexes (CDX) ....................................................405 19.5 CDXTranches .............................................................................405 19.6 Valuation of CDOs ......................................................................407 Suggested Readings and References .....................................................410 Glossary of Financial Terms ..................................................................411 Index ....................................................................................................423
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spelling	Sundaresan, Suresh M. Verfasser aut Fixed income markets and their derivatives Suresh Sundaresan 3. ed. Amsterdam [u.a.] Academic Press 2009 XVI, 435 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Literaturangaben Festverzinsliches Wertpapier stw Finanzderivat stw Optionspreistheorie stw Portfolio-Management stw Risikomanagement stw Theorie stw USA stw Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf 1\p (DE-588)4123623-3 Lehrbuch gnd-content Festverzinsliches Wertpapier (DE-588)4121262-9 s DE-604 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017396211&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk
spellingShingle	Sundaresan, Suresh M. Fixed income markets and their derivatives Festverzinsliches Wertpapier stw Finanzderivat stw Optionspreistheorie stw Portfolio-Management stw Risikomanagement stw Theorie stw USA stw Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd
subject_GND	(DE-588)4121262-9 (DE-588)4123623-3
title	Fixed income markets and their derivatives
title_auth	Fixed income markets and their derivatives
title_exact_search	Fixed income markets and their derivatives
title_full	Fixed income markets and their derivatives Suresh Sundaresan
title_fullStr	Fixed income markets and their derivatives Suresh Sundaresan
title_full_unstemmed	Fixed income markets and their derivatives Suresh Sundaresan
title_short	Fixed income markets and their derivatives
title_sort	fixed income markets and their derivatives
topic	Festverzinsliches Wertpapier stw Finanzderivat stw Optionspreistheorie stw Portfolio-Management stw Risikomanagement stw Theorie stw USA stw Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd
topic_facet	Festverzinsliches Wertpapier Finanzderivat Optionspreistheorie Portfolio-Management Risikomanagement Theorie USA Fixed-income securities Lehrbuch
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017396211&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT sundaresansureshm fixedincomemarketsandtheirderivatives

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