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Debt Markets and Analysis, + Website


Investment and management of fixed-income securities in today's dynamic market environment requires a firm grasp of debt markets as well as the uses for an increasing number of securities, markets, strategies, and methodologies. Nobody understands this better than author R. Stafford Joh nson. And with Debt Markets and Analysis, he puts the various aspects of this discipline in perspective.

Written for both the practicing financial professional and student aspiring to enter this field, Debt Markets and Analysis offers a detailed look at bonds and debt management—taking you from basic bond investment theories and fundamentals to a more in-depth understanding of their markets and strategies. Along the way, it also provides comprehensive coverage of the Bloomberg system, including insights on how Bloomberg data and analytical functions can be applied to the fixed-income and debt market topics covered here.

Divided into three informative parts, Debt Markets and Analysis delves deeply into the following issues:

  • Bond evaluation and selection
  • Debt markets and securities
  • Debt derivatives

If you're looking to gain a better understanding of the complexities and subtleties of the debt markets, look no further than this book.

R. STAFFORD JOHNSON is Professor of Finance at the Williams College of Business, Xavier University. He is the coauthor of Options and Futures, and author of Introduction to Derivatives as well as the first two editions of Bond Evaluation, Selection, and Management. Debt Markets and Analysis is the first of three books in a series: upcoming are Derivatives, and Equity Markets and Portfolio Analysis. Johnson has written many articles appearing in journals such as Applied Economics, Journal of Financial Education, International Review of Economics and Business, Journal of Economics, the Financial Review, and the Review of Quantitative Finance and Accounting.

Preface ix

Acknowledgments xiii


CHAPTER 1 Overview of the Financial System 3

Chapter 2 Overview and Guide to the Bloomberg System 29

Chapter 3 Bond Value and Return 85

CHAPTER 4 The Level and Structure of Interest Rates 135

CHAPTER 5 Bond Risk 179

CHAPTER 6 Bond Investment Strategies 225


CHAPTER 7 Corporate Debt Securities 267

CHAPTER 8 Government Securities and Markets: Treasury, Agencies, Municipals, and Sovereign Debt Securities 319

CHAPTER 9 Intermediary Debt Securities, Investment Funds, and Markets 369

CHAPTER 10 Mortgage-Backed and Asset-Backed Securities and Securitization 413


CHAPTER 11 Bond and Interest Rate Futures Contracts 479

CHAPTER 12 Bond and Interest Rate Option Contracts 517

CHAPTER 13 The Valuation of Bonds with Embedded Options and Debt Options--The Binomial Interest Rate Tree 565

CHAPTER 14 Interest Rate and Credit Default Swaps 613


Appendix A: Primer on Return, Present Value, and Future Value 667

Appendix B: Uses of Exponents and Logarithms 679

Appendix C: Directory Listing of Bloomberg Screens by Menu and Function 685

Index 697