The Futures Bond Basis

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John Wiley & Sons, Jan 11, 2007 - Business & Economics - 256 pages
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The 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry's succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis. It also covers the concept of the cheapest to deliver; price and delivery data for a sample of gilt contracts; the drivers of the basis and its dynamics; the mechanics of basis trading; a detailed explanation of gross and net basis, and an explanation of the implied repo rate. The book uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market.
 

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Contents

THE GOVERNMENT BOND BASIS
39
BASIS TRADING AND THE IMPLIED REPO RATE
103
THE FUNDAMENTALS OF BASIS TRADING
123
REPO FINANCING AND THE CONCEPT OF THE SPECIAL
147
RELATIVE VALUE ANALYSIS BOND SPREADS
159
LIFFE LONG GILT DELIVERY HISTORY March 1996 to June 2001
175
GLOSSARY
199
ABBREVIATIONS
227
INDEX
229
Copyright

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About the author (2007)

Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.

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