Fixed Income Securities: Tools for

Today’s Markets, 3rd Edition

Bruce Tuckman & Angel Serrat
978-0-470-90403-9; © 2012
Chapter 1
Table 1.1
Table 1.2
Table 1.3
Table 1.4
Table 1.5
Table 1.6
Figure 1.1
Figure 1.2
Table 1.7
Figure 1.3
Figure 1.4
Chapter 2
Figure 2.1
Table 2.1
Figure 2.2
Figure 2.3
Figure 2.4
Table 2.2
Figure 2.5
Figure 2.6
Table 2.3
Table 2.4
Table 2.5
Chapter 3
Table 3.1
Figure 3.1
Figure 3.2
Figure 3.3
Table 3.2
Table 3.3
Chapter 4
Figure 4.1
Figure 4.2
Figure 4.3
Table 4.1
Table 4.2
Figure 4.4
Table 4.3
Table 4.4
Table 4.5
Figure 4.5
Figure 4.6
Table 4.6
Figure 4.7
Figure 4.8
Table 4.7
Chapter 5
Table 5.1
Figure 5.1
Table 5.2
Figure 5.2
Table 5.3
 Table 5.4

Table 5.4 Key-Rate 01 Profile of a Stylized Market Maker's Position and Hedges as of May
28, 2010
KEY-RATE ’01 (PER 100 FACE AMOUNT)
BOND SUM
2-YEAR 5-YEAR 10-YEAR 30-YEAR
(i) .75s of 5/31/12 .0199 .0000 .0000 .0000 .0199
(ii) 2.125s of 5/31/15 .0000 .0480 .0000 .0000 .0480
(iii) 3.5s of 5/15/20 .0000 −.0001 .0870 .0000 .0869
(iv) 0s of 5/15/40 −.0010 −.0035 −.0345 .1219 .0829
(v) 4.375s of 5/15/40 .0000 .0001 .0010 .1749 .1760
(vi) Total Position ($) 1,000 38,377 198 −39,578 0
(vii) Hedge ($) −1,000 −38,377 −198 39,578 0
(viii) Alternate Hedge ($) 31 −38,379 217 38,131 0
(ix) Total+Alt. Hedge ($) 1,031 −2 415 −1,447 0
Table 5.5
Figure 5.3
Table 5.6
Table 5.7
Chapter 6
Table 6.1
Figure 6.1
Table 6.2
Figure 6.2
Table 6.3
Table 6.4
Figure 6.3
Figure 6.4
Table 6.5
Table 6.6
Figure 6.5
Figure 6.6
Figure 6.7
Figure 6.8
Figure 6.9
Table 6.7
Table 6.8
Chapter 7
From pg. 207
From pg. 208
From pg. 208
From pg. 209
From pg. 214
From pg. 215
From pg. 215
From pg. 216
From pg. 217
From pg. 218
From pg. 220
Figure 7.1
Chapter 8
From pg. 232
From pg. 232
Figure 8.1
From pg. 234
Figure 8.2
From pg. 235
From pg. 238
From pg. 238
Figure 8.3
Figure 8.4
Table 8.1
Figure 8.5
Chapter 9
From pg. 252
From pg. 252
Figure 9.1
Figure 9.2
Table 9.1
Figure 9.3
From pg. 258
Figure 9.4
From pg. 260
From pg. 264
From pg. 264
From pg. 264
From pg. 265
From pg. 265
From pg. 266
From pg. 267
From pg. 267
Figure 9.5
Figure 9.6
Figure 9.7
Table 9.2
Figure 9.8
Chapter 10
Figure 10.1
Figure 10.2
Figure 10.3
From pg. 281
From pg. 281
From pg. 282
Chapter 11
Table 11.1
Figure 11.1
Figure 11.2
Figure 11.3
Figure 11.4
Table 11.2
Figure 11.5
Table 11.3
Figure 11.6
Table 11.4
Table 11.5
Table 11.6
Chapter 12
Figure 12.1
Figure 12.2
Figure 12.3
Table 12.1
Figure 12.4
Figure 12.5
Figure 12.6
Figure 12.7
Table 12.2
Figure 12.8
Chapter 13
Figure 13.1
Table 13.1
Figure 13.2
Table 13.2
Chapter 14
Table 14.1
Table 14.2
Table 14.3
Figure 14.1
Figure 14.2
Table 14.4
Table 14.5
Figure 14.3
Figure 14.4
Figure 14.5
Table 14.6
Table 14.7
Table 14.8
Table 14.9
 Table 14.10

Table 14.10 Cumulative Profit and Loss from the November ’08 Basis Trade, With and
Without Futures Options
Face amount basis: −100 mm
Face amount calls: 4.7 mm
Nov ’08 Option P&L from P&L from Total
Date Net Basis Price Net Basis Options P&L
2/28/00 7.45 1.516
4/3/00 11.06 3.375 −112,813 87,391 −25,422
4/10/00 22.01 4.234 −455,000   127,781 −327,219
5/19/00 3.51 .297 123,125 −57,281 65,844
Chapter 15
Table 15.1
Table 15.2
Table 15.3
Table 15.4
Table 15.5
Table 15.6
Table 15.7
Figure 15.1
Table 15.8
Table 15.9
Table 15.10
Figure 15.2
Table 15.11
Table 15.12
Figure 15.3
Table 15.13
Table 15.14
Figure 15.4
Table 15.15
Figure 15.5
Table 15.16
Chapter 16
Table 16.1
Table 16.2
Table 16.3
Chapter 17
Table 17.1
Table 17.2
Table 17.3
Table 17.4
Table 17.5
Table 17.6
Table 17.7
Table 17.8
Table 17.9
Table 17.10
Table 17.11
Table 17.12
Chapter 18
Table 18.1
Table 18.2
Table 18.3
Table 18.4
Table 18.5
Figure 18.1
Table 18.6
Table 18.7
Table 18.8
Table 18.9
Table 18.10
Figure 18.2
Figure 18.3
Figure 18.4
Table 18.11
Table 18.12
Figure 18.5
Table 18.13
Table 18.14
Chapter 19
Table 19.1
Table 19.2
Figure 19.1
Figure 19.2
Table 19.3
Figure 19.3
Figure 19.4
Table 19.4
Table 19.5
Table 19.6
Figure 19.5
Table 19.7
Table 19.8
Figure 19.6
Figure 19.7
Table 19.9
Chapter 20
Table 20.1
Figure 20.1
Table 20.2
Table 20.3
Table 20.4
Figure 20.2
Figure 20.3
Table 20.5
Table 20.6
Figure 20.4
Figure 20.5
Figure 20.6
Chapter 21
Table 21.1
Table 21.2
Table 21.3
Figure 21.1
Table 21.4