Debt Markets and Analysis by Johnson, R. Stafford -- Read -- Imperial Library of Trantor

Index

Cover Series Title Page Copyright Dedication Preface Acknowledgments Part I: Bond Evaluation and Selection

Chapter 1: Overview of the Financial System

Real and Financial Assets Types of Debt Claims Financial Markets Types of Financial Markets Regulations Efficient Financial Markets Characteristics of Assets Conclusion Website Information Selected References Notes

Chapter 2: Overview and Guide to the Bloomberg System

Introduction Bloomberg System—Bloomberg Keyboard Accessing Some of the Information Discussed in Chapter 1 Currency Indexes Functionality Screens Monitor and Portal Screens Bond Monitors: FIT, WB, RATT, RATC, CSDR, IM, and BTMM Portfolios and Baskets Screening and Search Functions The Bloomberg Excel Add-In: Importing Bloomberg into Excel Launchpad Other Bloomberg Functions Conclusion Bloomberg Exercises

Chapter 3: Bond Value and Return

Introduction Bond Valuation The Yield to Maturity and Other Rates of Return Measures Rates on Zero-Coupon Bonds Total Return Spot Rates and Equilibrium Prices Geometric Mean Conclusion Website Information Selected References Bloomberg Exercises

Chapter 4: The Level and Structure of Interest Rates

Introduction Level of Interest Rates The Structure of Interest Rates Term Structure and the Yield Curve Market Segmentation Theory Preferred Habitat Theory Pure Expectation Theory Liquidity Premium Theory Constructing the Benchmark Yield Curve Other Yield Curves Conclusion Website Information Selected References Bloomberg Exercises Notes

Chapter 5: Bond Risk

Introduction Default and Credit Risks Call Risk Interest Rate Risk Duration and Convexity Conclusion Website Information Selected References Bloomberg Exercises Notes

Chapter 6: Bond Investment Strategies

Introduction Active Investment Strategies High-Yield Bond Funds Passive Bond Management Strategies Bond Immunization Strategies Surplus Management and Duration Gap Analysis Conclusion Website Information Selected References Bloomberg Exercises Notes

Part II: Debt Markets and Securities

Chapter 7: Corporate Debt Securities

Introduction Corporate Bonds Corporate Bonds with Special Features Medium-Term Notes Commercial Paper Bankruptcy Preferred Stock The Markets for Corporate Bonds Global Bond Investments Conclusion Website Information Selected References Bloomberg Exercises Notes

Introduction Treasury Securities and Markets Agency Securities and Markets Municipal Securities and Markets Sovereign Government Debt Conclusion Website Information Selected References Bloomberg Exercises Notes

Chapter 9: Intermediary Debt Securities, Investment Funds, and Markets

Introduction Commercial Banks: Intermediary Securities Investment Funds Insurance Companies, Pension Funds, and Investment Banks Conclusion Website Information Selected References Bloomberg Exercises Notes

Chapter 10: Mortgage-Backed and Asset-Backed Securities and Securitization

Introduction Residential Mortgage Loans Mortgage Portfolio Mortgage-Backed Securities Features of Mortgage-Backed Securities Collateralized Mortgage Obligations and Strips Evaluating Mortgage-Backed Securities Commercial Mortgage-Backed Securities Asset-Backed Securities Conclusion Website Information Selected References Bloomberg Exercises Notes

Part III: Debt Derivatives

Chapter 11: Bond and Interest Rate Futures Contracts

Introduction The Market and Characteristics of Futures on Debt Securities The Nature of Futures Trading and the Role of the Clearinghouse and Margins Futures Hedging Speculating with Interest Rate Derivatives Synthetic Debt and Investment Positions Futures Pricing Conclusion Website Information Selected References Bloomberg Exercises Notes

Chapter 12: Bond and Interest Rate Option Contracts

Introduction Option Terminology Markets and Types of Interest Rate Options Option Positions Hedging Fixed-Income Positions with Options Option Trading—Microstructure Interest Rate Calls and Puts, Caps and Floors Option Price Relationships Conclusion Website Information Selected References Bloomberg Exercises Notes

Introduction Binomial Interest Rate Model Convertible Bonds Valuation of Bond and Interest Rate Options Estimating the Binomial Tree Option-Adjusted Spread, Duration, and Convexity The Black-Scholes and Black Option Pricing Model Conclusion Website Information Selected References Bloomberg Exercises Notes

Chapter 14: Interest Rate and Credit Default Swaps

Introduction Generic Interest Rate Swaps Swap Market Swap Valuation Comparative Advantage and the Hidden Option Swaps Applications Credit Risk Forward Swaps Hedging a Future Investment Swaptions Nongeneric Swaps Credit Default Swaps Conclusion Website Information Bloomberg Exercises Selected References Notes

Appendix A: Primer on Return, Present Value, and Future Value

Holding Period Yield Annualized HPY Required Rates of Return and Value for a Single-Period Cash Flow Future and Present Values Future Value Future Value of an Annuity Present Value Present Value of an Annuity Valuing a Bond

Appendix B: Uses of Exponents and Logarithms

Exponential Functions Logarithms Rules of Logarithms Uses of Logarithms Solving for R Logarithmic Return Time Selected Reference

Appendix C: Directory Listing of Bloomberg Screens by Menu and Function Index