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Applied Essentials - The UK Gilt Edged Market Handbook

Applied Essentials - The UK Gilt Edged Market Handbook

by Robin Brown
    • RRP: £55.00

    • Pages: 350
    • Edition: 1st
    • Due for publication: February 2011
    • Hardback
      ISBN:9781906659646


     from our bookshop - only £46.75

    Jacket text

    Will the UK keep or lose its AAA credit rating? Will gilt buyers and investors continue to absorb issuance or will they require much higher yields? How will these factors affect the value of the pound, the cost of fixed rate mortgages and public finances? These questions are being widely debated and no doubt the answers will become clear in due course. However, one thing is for sure; many people who were blissfully unaware of the workings of the gilt market will now have to familiarise themselves with it.

    'Applied Essentials - The UK Gilt Edged Market Handbook' provides a single post credit crunch source of reference on the gilt market. Written in plain English, and including up-to-date information that was not previously available, this book is accessible and practical.

    Whether you are a seasoned professional or new to the gilt markets, this is a must-have guide.

    Author's Site

    Capital-Consultancy and Training Company Limited
    www.capital-consultancy.co.uk

    Contents


    Chapter 1. An overview of the Gilt Market
    A short history of the Gilt Market
    The Modern Gilt Market
    Why the market exists
    The Chancellor and his role in setting the budget for the UK
    The Debt Management Office
    The Gilt Edged Market Makers
    Investors
    Electronic Trading Platforms

    Chapter 2. Gilt Market Instruments
    Conventional Gilts
    Index Linked Gilts
    Coupon Strips
    Zero Coupon Gilt
    Consols and War Loan

    Chapter 3. The Issue Process
    The Auction Calendar
    Auction Press Announcement
    The bidding process
    The Auction and Allocation Process
    Competitive and noncompetitive bids

    Chapter 4. Following a Trade in the Market
    Quotation conventions
    Types of market order
    Settlement methods
    Buying Gilts in the open market
    Coupon calculations
    Receipt of coupon
    The Gilt maturity process
    Selling Gilts before maturity
    Following a trade for:
    Conventional Gilts
    Index Linked Gilts
    Coupon Strips
    Zero Coupon Strips
    When Issued Gilts
    War Loan and Consuls
    Floating Rate Gilts

    Chapter 5. Gilt Market Calculations
    Clean Price
    Accrued Coupon
    Dirty Price
    Calculating consideration from price
    Current yield and yield to maturity
    Calculating yield from price
    Calculating price from yield
    Calculating coupon amounts on index linked gilts
    Calculating principal repayment on index linked gilts

    Chapter 6. The Gilt Repo Market
    The purpose of the gilt repo market
    Types of Repo Tranactions
    - Classic Repo
    -- Repo and Reverse Repo
    -- General Collateral
    -- Special Collateral
    - Open Repo
    - Repo by value
    - Sell / Buy back
    - Stock lending
    Following a trade from:
    - Quotation
    - Trade
    - Cash flows on the effective date
    - Substitutions
    - Revaluation and margining
    - Cash flows on the maturity date
    TBMA/ISMA Documentation
    Repo Calculations

    Chapter 7. Gilt Market Risk
    How to measure risk using Modified Duration and Convexity
    A description of Duration and Convexity
    How to calculate Modified Duration
    How to convert Modified Duration to DV01
    Using maturity ladders and DV01 to measure interest rate risk
    Calculating Gilt hedge ratios
    How to calculate Convexity
    Reducing convexity risk by using gilt options

    Chapter 8. Gilt Futures
    What is a Gilt Futures Contract
    A brief description of the Gilt Futures Market and LIFFE
    Contract Specification
    Futures quotation and trading methodology
    The relationship between the cash gilt market and gilt futures
    - Conversion factors
    - The cheapest to deliver Gilt
    - The implied repo rate
    - Calculating hedge ratios and hedge efficiency
    Following a trade
    - Opening a trade
    - Mark to market and margin calculations
    - Closing the trade
    - The delivery process
    - Calculating the invoice amount

    Chapter 9. Gilt Options
    A brief description of the properties of a Gilt Options
    Option premium calculations
    - Time Value
    - Intrinsic Value
    Option price drivers and the Greeks
    - The Gilt Price - Delta and Gamma
    - The Movement of time - Theta
    - Changes in market implied volatility - Vega
    Portfolio Hedging Techniques
    - Selling calls for income enhancement
    - Buying puts to protect against falling prices
    - Collaring Price Risk

    Chapter 10. Gilt Trading Strategies
    Yield pick-up
    Rates increasing and decreasing
    Curve flattening
    Curve Steepening
    Barbells
    Trading market volatility using options

    Appendix 1. Current Gilts in Issue
    Appendix 2. Reference Works and Resource List
    Appendix 3. Gilt Indexes

    About the author

    Robin has been associated with the financial markets since 1971, starting from the humble position of FX Instruction Clerk in the back office of Charterhouse Japhet swapping settlement instructions with other banks for foreign exchange trades. Since then he has worked for a number of banks, both large, Royal Bank of Canada and small, Henry Ansbacher. In London, in the positions of proprietary trader and sales trader, and overseas at Riyad Bank in Riyadh where he was head of the High Net Worth Individual desk advising and executing trades in the fixed income and international equity markets.

    Robin continues to be active in the financial markets, trading amongst other things equities and equity options, foreign exchange and holding gilts in his pension fund, which he manages.

    For the last twenty years Robin has had his own company involved in financial market training. He has trained extensively in Europe, the United States and the Far and Middle East on subjects as diverse as fixed income, asset backed securities, equities, foreign exchange and risk management.

    For the last 18-months Robin has had the pleasure of holding the post of Chief Examiner for the Bonds and Fixed Interest Examination for the Chartered Institute for Securities and Investments. He also holds the ACI Diploma (Dist).
    Author Photo

    More about Robin Brown

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