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The Money Markets Handbook: A Practitioner's Guide

Book Description

In The Money Markets Handbook Moorad Choudhry provides, in one comprehensive volume, the description, trading, analysis and calculations of the major markets around the world, providing worked examples and exercises throughout to provide a landmark publication on this important topic. Unique features, including a list of conventions and trading rules in virtually every market in the world, means that this book is relevant to virtually every money market in the world.

  • Includes an in depth treatment of repo markets, asset and liability management, banking regulatory requirements and other topics that would usually be found only in separate books

  • Written with clarity in mind, this book is vital reading for anyone with an interest in the global money markets

  • Features coverage of derivative money market products including futures and swaps, and the latest developments not covered in current texts

Table of Contents

  1. Cover
  2. Contents
  3. Title
  4. Copyright
  5. Dedication
  6. Foreword
  7. Preface
  8. About the Author
  9. Introduction to the money markets
    1. Financial Transactions
    2. Characteristics of the money market
    3. Money market conventions
  10. Chapter 1: The money markets
    1. Introduction
    2. Securities quoted on a yield basis
    3. Certificates of Deposit
    4. US Dollar market rates
    5. Securities quoted on a discount basis
    6. Commercial paper
    7. Asset-Backed Commercial Paper
    8. Extendable Note commercial paper
    9. Conduit structuring
    10. Commercial paper dealing sheet
    11. Money market screens on Bloomberg
    12. BBVA money market rate screens on Bloomberg
    13. Appendices
  11. Chapter 2: Foreign exchange markets
    1. Spot exchange rates
    2. Forward exchange rates
  12. Chapter 3: Floating-rate notes
    1. Floating-rate note conventions
    2. Yield measurement
    3. Inverse / reverse floating-rate notes
    4. Appendix 3.1: FRN discount margin using discount factor
  13. Chapter 4: Repo instruments and structured funding vehicles
    1. Introduction to repo
    2. Uses and economic functions of repo
    3. Repo mechanics
    4. Bloomberg screens
    5. Basket repo
    6. Synthetic repo via the Total Return Swap
    7. Other repo structures
    8. Pricing and margin
    9. Legal issues
    10. The United Kingdom gilt repo market
    11. Repo market structures
    12. Structured funding vehicles
    13. Asset-backed MTN programme
    14. Combined Note and Total-return swap funding structure
    15. Further synthetic repo structures used for liquidity and balance sheet management
    16. The synthetic ABCP conduit
    17. Multi-SPV synthetic conduit funding structure
    18. Replacing the liquidity line: the Committed Repo facility
    19. Appendices
  14. Chapter 5: Money market derivatives
    1. Forward rate agreements
    2. FRA mechanics
    3. Forward contracts
    4. Short-term interest rate futures
    5. The TED Spread
    6. Using Microsoft Excel to check the market forward rate
    7. Interest-rate swaps and Overnight-index swaps
    8. Zero-coupon swap pricing
    9. Appendix 5.1: Calculating futures strip rates and implied swap rates
  15. Chapter 6: The money market yield curve
    1. Using the yield curve
    2. Yield to maturity yield curve
    3. The par yield curve
    4. The zero-coupon (or spot) yield curve
    5. The forward yield curve
    6. The Term Structure
  16. Chapter 7: Asset and liability management
    1. Introduction
    2. The ALM desk
    3. Liquidity and interest-rate risk
    4. Critique of the traditional approach
    5. The cost of funding
    6. Securitisation
  17. Chapter 8: Bank regulatory capital
    1. Introduction
    2. Banking Regulatory Capital Requirements
    3. Capital adequacy requirements
    4. Action in the event of failure
    5. The Basel II Accord
    6. Basel II framework
    7. Appendices
  18. Appendix
  19. Glossary
  20. Index