contents
About the Authors vii
Acknowledgements viii
CHAPTER 1
Introduction 1
CHAPTER 2
Money Market Calculations 7
CHAPTER 3
U.S. Treasury Bills 23
CHAPTER 4
Agency Instruments 45
CHAPTER 5
Corporate Obligations: Commercial Paper and Medium-Term Notes 67
CHAPTER 6
Debt Obligations of Financial Institutions 85
CHAPTER 7
Floating-Rate Securities 101
CHAPTER 8
Repurchase and Reverse Repurchase Agreements 119
CHAPTER 9
Short-Term Mortgage-Backed Securities 151
CHAPTER 10
Short-Term Asset-Backed Securities 187
vi Contents
CHAPTER 11
Futures and Forward Rate Agreements 209
CHAPTER 12
Swaps and Caps/Floors 229
CHAPTER 13
Asset and Liability Management 275
CHAPTER 14
Bank Regulatory Capital 297
INDEX 315