The Futures Bond Basis

Basis trading is an important part of the government bond markets. In this book we review the essential elements of this type of trading. Written by a former government bond market maker and proprietary bond trader, the book features:

1. Basic concepts of forward pricing
2. The determinants of the basis
3. Repo financing
4. Hedging using bond futures
5. Trading the basis and an introduction to trading strategy
6. The concept of the cheapest-to-deliver bond
7. The net basis and the implied repo rate

The book is illustrated with in-depth practical examples and written in an accessible style. It will be of vital use to anyone with an interest or involvement in the government bond futures market.