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

Part I: Bond Evaluation and Selection

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

Part II: Debt Markets and Securities

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

Part III: Debt Derivatives

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

Supplemental Appendices

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