Publications

The Futures Bond Basis

The Futures Bond Basis

Type
Link
Cost
Paid
Published
2003
Updated
2006

Basis trading is an important part of government bond markets. The Futures Bond Basis reviews the essential elements of this type of trading. It takes a 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. The Futures Bond Basis uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market.

The book features:

  • Basic concepts of forward pricing
  • The determinants of the basis
  • Repo financing
  • Hedging using bond futures
  • Trading the basis and an introduction to Trading strategy
  • The concept of the cheapest-to-deliver bond
  • The net basis and the implied repo rate