Gilt-Edged Market

Gilt-Edged Market

by Moorad Choudhry, Graham Harry Cross, Jim Harrison
Released May 2003
Publisher(s): Butterworth-Heinemann
ISBN: 9780080472867

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Book description

The Gilt-Edged Market is specifically aimed at finance professionals and investors who need to understand the inner working of the United Kingdom gilt market. There is detailed coverage of the different gilt instruments, as well as a look at the structures, institutions and practices of the market itself.


Topics include:
* Bond basics
* Conventional gilts
* Index-linked gilts
* Gilt strips
* The gilt repo market
* The gilt bond future basis
* Yield spread trading using gilts

There are also personal reminiscenes that illustrate the great changes that have occurred in this market since Big Bang, as well as an exposition on the art of trading.

The Gilt-Edged Market is ideal reading for traders, salespersons, fund managers, private investors and other professionals involved to any extent in the UK gilt market.

* The latest research on index-linked gilts, gilt markets and sterling debt markets presented in an enthusiastic, readable style
* Written by gilt-edged market makers and dealers to ensure realistic, practical coverage as well as a clear explanation of the theory, so readers gain from years' experience
* Foreword written by Mike Williams, CEO of the Debt Management Office

Table of contents

  1. Front Cover
  2. The Gilt-Edged Market
  3. Copyright Page
  4. Contents (1/2)
  5. Contents (2/2)
  6. Foreword
  7. About the Authors
  8. Preface
  9. Acknowledgements
  10. Chapter 1. The Gilt-Edged Market: An Introduction (1/2)
  11. Chapter 1. The Gilt-Edged Market: An Introduction (2/2)
  12. Chapter 2. A Primer on Bond Basics
    1. 2.1 Description
    2. 2.2 Bond issuers
    3. 2.3 World bond markets
    4. 2.4 Non-conventional bonds
    5. 2.5 Pricing a conventional bond (1/2)
    6. 2.5 Pricing a conventional bond (2/2)
    7. 2.6 Clean and dirty bond prices
    8. 2.7 Market yield
    9. 2.8 Bond pricing and yield
    10. 2.9 The price/yield relationship
    11. 2.10 Duration, modified duration and convexity (1/3)
    12. 2.10 Duration, modified duration and convexity (2/3)
    13. 2.10 Duration, modified duration and convexity (3/3)
  13. Chapter 3. The Gilt-Edged Market I: Structure and Institutions
    1. 3.1 Market instruments
    2. 3.2 Taxation
    3. 3.3 Market structure
    4. 3.4 Market makers and brokers
    5. 3.5 Issuing gilts
    6. 3.6 The DMO and secondary market trading
    7. 3.7 Settlement
    8. 3.8 HM Treasury and the remit of the DMO
    9. 3.9 Exchange-traded gilt derivatives
    10. 3.10 The Minimum Funding Requirement
    11. 3.11 Developments in electronic trading
    12. 3.12 Market developments in 2001-2002
  14. Chapter 4. The Gilt-Edged Market II: Index-Linked Gilts
    1. 4.1 Index-linked gilts
    2. 4.2 Index-linked gilts analytics
    3. 4.3 Calculating break-even inflation
    4. 4.4 Duration matching
    5. 4.5 An implied forward inflation rate curve
    6. 4.6 The DMO's index-linked gilts redesign (1/2)
    7. 4.6 The DMO's index-linked gilts redesign (2/2)
  15. Chapter 5. The Gilt-Edged Market III: The Gilt Strips Market
    1. 5.1 Gilt strips
    2. 5.2 Zero-coupon bond trading and strategy
    3. 5.3 Strips market anomalies
    4. 5.4 Trading strategy
    5. 5.5 Illustration: yield and cash flow analysis
    6. 5.6 Future developments in strips
  16. Chapter 6. The Gilt Repo Market
    1. 6.1 Introduction
    2. 6.2 The basics of repo
    3. 6.3 The classic repo
    4. 6.4 The sell/buy-back
    5. 6.5 Stock lending
    6. 6.6 Market structure (1/2)
    7. 6.6 Market structure (2/2)
    8. 6.7 Gilt settlement and CREST/CGO
    9. 6.8 Repo netting and the LCH RepoClear system
    10. 6.9 Code of best practice
  17. Chapter 7. The Gilt Bond Basis I
    1. 7.1 An introduction to forward pricing
    2. 7.2 The LIFFE long gilt future
    3. 7.3 Futures pricing
    4. 7.4 The bond basis: basic concepts (1/3)
    5. 7.4 The bond basis: basic concepts (2/3)
    6. 7.4 The bond basis: basic concepts (3/3)
    7. 7.5 Selecting the cheapest-to-deliver bond
    8. 7.6 Trading the basis
  18. Chapter 8. The Gilt Bond Basis II
    1. 8.1 Analysing the basis
    2. 8.2 Bond delivery factors (1/2)
    3. 8.2 Bond delivery factors (2/2)
  19. Chapter 9. Information Content of the Gilt Yield Curve
    1. 9.1 Using the yield curve
    2. 9.2 Yield to maturity yield curve
    3. 9.3 The zero-coupon (or spot) yield curve
    4. 9.4 The forward yield curve (1/2)
    5. 9.4 The forward yield curve (2/2)
    6. 9.5 Analysing and interpreting the yield curve (1/3)
    7. 9.5 Analysing and interpreting the yield curve (2/3)
    8. 9.5 Analysing and interpreting the yield curve (3/3)
    9. 9.6 Interpreting the yield curve
    10. 9.7 The DMO's yield curve model
  20. Chapter 10. The Art of Government Bond Trading (1/2)
  21. Chapter 10. The Art of Government Bond Trading (2/2)
  22. Chapter 11. Approaches to Yield Spread Trading Using Gilts
    1. 11.1 Introduction
    2. 11.2 Coupon spreads
    3. 11.3 Butterfly trades (1/2)
    4. 11.3 Butterfly trades (2/2)
  23. Chapter 12. Being Some Reminiscences of the Gilt Market… (1/2)
  24. Chapter 12. Being Some Reminiscences of the Gilt Market… (2/2)
  25. Glossary (1/4)
  26. Glossary (2/4)
  27. Glossary (3/4)
  28. Glossary (4/4)
  29. Index (1/2)
  30. Index (2/2)

Product information

  • Title: Gilt-Edged Market
  • Author(s): Moorad Choudhry, Graham Harry Cross, Jim Harrison
  • Release date: May 2003
  • Publisher(s): Butterworth-Heinemann
  • ISBN: 9780080472867