Preface.

About the Author.

PART I. BANKING BUSINESS, BANK CAPITAL AND DEBT MARKET INSTRUMENTS.

Chapter 1. Bank Business and Bank Capital.

Chapter 2. Financial Statements and Ratio Analysis.

Chapter 3. The Money Market.

Chapter 4. The Bond Instrument.

PART II. BANK TREASURY ASSET-LIABILITY MANAGEMENT.

Chapter 5. Asset-Liability Management I.

Chapter 6. Asset-Liability Management II.

Chapter 7. ALM Trading Principles.

Chapter 8. Asset-Liability Management III: The ALCO.

Chapter 9. The Yield Curve.

Chapter 10. The Determinants of the Swap Spread and Understanding the Term Premium.

Chapter 11. Introduction to Relative Spread Analysis.

PART III. FINANCIAL INSTRUMENTS, APPLICATIONS AND HEDGING.

Chapter 12. Repo Instruments.

Chapter 13. Money Market Derivatives.

Chapter 14. Interest-rate Swaps and Overnight-index Swaps.

Chapter 15. Hedging Using Bonds Futures Contracts.

Chapter 16. Credit Risk and Credit Derivatives.

Chapter 17. Value-at-Risk (VaR) and Credit VaR.

PART IV. FUNDING AND BALANCE SHEET MANAGEMENT USING SECURITISATION AND STRUCTURED CREDIT VEHICLES.

Chapter 18. Introduction to Securitisation.

Chapter 19. Structured, Synthetic and Repackaged Funding Vehicles.

Chapter 20. Mortgage-backed Securities and Covered Bonds.

Chapter 21. Asset-backed Securities.

Chapter 22. Collateralised Debt Obligations.

Chapter 23. Synthetic Collateralised Debt Obligations.

Chapter 24. Synthetic Mortgage-backed Securities.

Chapter 25. Structured Investment Vehicles.

PART V. BANK REGULATORY CAPITAL.

Chapter 26. Bank Regulatory Capital and the Basel Rules.

Chapter 27. A Primer on Base II.

PART VI. TREASURY MIDDLE OFFICE OPERATIONS.

Chapter 28. Funding and Treasury Procedures for Banking Corporations.

PART VII. APPLICATIONS SOFTWARE ENCLOSED WITH THE BOOK.

Chapter 29. Applications Software and Spreadsheet Models.

Appendix. Financial Market Arithmetic.

Glossary.

Index.