The Futures Bond Basis, Second Edition

INDEX

accrued interest

see also conversion factors

‘arbitrary calculation’ 42

concepts 6–8, 20–1, 28–31, 34–8, 42–3, 66–7, 77–81, 87–92, 105–12

American options 116

see also options

appendices 147–97

arbitrage

basis trades 8, 20, 40–1, 62, 94–7, 130–6

concepts 8–9, 12–21, 53–6, 62, 93–4, 130–6, 171–2

no-arbitrage assumptions 53–60, 104–12

pricing 12–21, 104–12

pure arbitrage 14–15

risk-free arbitrage 14–16, 53

short squeezes 134–6

arbitrage-free futures pricing, concepts 16–21

‘arbitrary calculation’, accrued interest 42

Asia-Pacific region 148–9

asset swaps

see also interest-rate swaps

definition 163

asset–swap spreads

concepts 160, 162, 163–5

relative value analysis 160, 162, 163–5

Z-spread 165–6

ASW screen 164–5

back office activities, equity repos 148

backwardation, concepts 58–9

banks, organisation 148

basis

see also Cash–CDS spreads

analysis 104–12

concepts 8–9, 21–2, 39–101, 104–22, 160, 169–72

definition 9, 21–2, 40, 43, 57–8, 160, 169–70

driving factors 41, 43, 104–22, 172

forward discount 43

forward instruments 40, 41–6, 75–8

government bonds 39–101

historical analysis 124–8, 140–3

implied repo rates 59–60, 78–81, 82–92, 103–22, 128–9, 139–43

zero-basis futures 105–12, 125–8

basis point value (BPV) 23–6, 74–5, 153–5, 160–1, 165–6

concepts 23–6, 74–5

hedge ratios 23–6, 74–5

basis risk

concepts 22, 31, 58–9

definition 22

basis trades

see also cash-and-carry trading

arbitrage 8, 20, 40–1, 62, 94–7, 130–6

Bloomberg illustration 143–5

concepts 8, 20, 40–1, 62, 75–8, 85–92 ...