Overview

"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."

Full Product Details

Author:   Robin Brown
Publisher:   Harriman House Publishing
Imprint:   Harriman House Publishing
ISBN:  

9781906659646

ISBN 10:   1906659648
Pages:   350
Publication Date:   08 April 2013
Audience:   General/trade ,  General
Format:   Hardback
Publisher's Status:   Unknown
Availability:   Out of stock  

Table of Contents

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 2. Gilt Market Instruments Conventional Gilts Index Linked Gilts Coupon Strips Zero Coupon Gilt Consols and War Loan 3. The Issue Process The Auction Calendar Auction Press Announcement The bidding process The Auction and Allocation Process Competitive and noncompetitive bids 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 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 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 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 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 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 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

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Author Information

Author Website:   http://www.harriman-house.com/pages/authors.htm?Index=17265&Author=Robin_Brown

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).

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Author Website:   http://www.harriman-house.com/pages/authors.htm?Index=17265&Author=Robin_Brown

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