Marcia Stigum - Stigums Money Market, 4E

FOURTH EDITION

MARCIA STIGUM
ANTHONY CRESCENZI

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DOI: 10.1036/0071448454

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To the many market participants who gave, with grace and enthusiasm, their time that I might write this story

Marcia Stigum

To all the survivors, who despite obstacles and challenges in their daily lives, each day find the inner strength to endure and to excel

To my beautiful wife, Cynthia, and our enchanting daughters, Brittany, Victoria, and Isabella

To my nurturing parents, Anita and Joseph, my brother Joseph and my sisters Theresa, Gina, and Nicole, to all of my family and friends, and to the great city of New York

Anthony Crescenzi

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This book is a comprehensive guide to the money marketU.S. and Eurodollar. It is intended for people working in banks, in dealerships, and in other financial institutions; for people running liquidity portfolios; and for accountants, lawyers, students, and others who have an interest in the markets discussed.

The book begins with an introduction to what goes on in fixed-income financial marketsfinancial intermediation and money creationplus an introduction to how fixed-income securities work, including various concepts of yield, the meaning and importance of the yield curve and the messages embedded in it, and the concepts and calculation of duration and convexity.

Next, the book analyzes the operations (domestic and Eurodollar) of money center banks, of money market dealers and brokers, of the Federal Reserve, and of managers of liquidity portfolios. In this section we detail the transformation of the industry from its bygone Glass-Steagall days. Then, with this background, the book turns to the individual markets that comprise the money market. For each such marketfed funds to interest-rate swapsthe book describes the instrument traded; its risks, liquidity, and return offered; its uses; and how the market for it is made by money market brokers, dealers, and investors. We also show how these markets have evolved to become what they are today.