The Futures Bond Basis, Second Edition

Table of contents

1. Cover Page
2. Title Page
3. Copyright
4. Dedication
5. Contents
6. Preface
7. ABOUT THE AUTHOR
8. Chapter 1: BOND FUTURES CONTRACTS
   1. 1.1 INTRODUCTION
   2. 1.2 FUTURES PRICING
   3. 1.3 HEDGING USING BOND FUTURES
   4. Appendix 1.A CONVERSION FACTOR FOR THE LONG GILT FUTURE
   5. SELECTED BIBLIOGRAPHY
9. Chapter 2: THE GOVERNMENT BOND BASIS
   1. 2.1 AN INTRODUCTION TO FORWARD PRICING
   2. 2.2 FORWARDS AND FUTURES VALUATION
   3. 2.3 THE BOND BASIS: BASIC CONCEPTS
   4. 2.4 SELECTING THE CHEAPEST-TO-DELIVER BOND
   5. 2.5 TRADING THE BASIS
   6. 2.6 EXERCISES
   7. SELECTED BIBLIOGRAPHY
10. Chapter 3: BASIS TRADING AND THE IMPLIED REPO RATE
    1. 3.1 ANALYSING THE BASIS
    2. 3.2 BOND DELIVERY FACTORS
    3. Appendix 3.A GENERAL RULES OF THE CTD BOND
    4. Appendix 3.B A GENERAL MODEL OF THE CTD BOND
    5. SELECTED BIBLIOGRAPHY
11. Chapter 4: THE FUNDAMENTALS OF BASIS TRADING
    1. 4.1 RATES AND SPREAD HISTORY
    2. 4.2 IMPACT OF THE REPO RATE
    3. 4.3 BASIS TRADING MECHANICS
    4. 4.4 TIMING THE BASIS TRADE USING THE IRR
    5. SELECTED BIBLIOGRAPHY
12. Appendix A: REPO FINANCING AND THE CONCEPT OF THE ‘SPECIAL’
    1. A.1 CLASSIC REPO
    2. A.2 BASKET REPO: ILLUSTRATION USING MALAYSIAN GOVERNMENT BONDS
    3. A.3 SPECIAL BONDS IN REPO
13. Appendix B: RELATIVE VALUE ANALYSIS: BOND SPREADS
    1. B.1 SWAP SPREAD AND TREASURY SPREAD
    2. B.2 ASSET–SWAP SPREAD
    3. B.3 Z-SPREAD
    4. B.4 CASH–CDS BASIS
    5. REFERENCES
14. Appendix C: LIFFE LONG GILT DELIVERY HISTORY
15. GLOSSARY
16. ABBREVIATIONS
17. INDEX