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money markets
The Global
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THE FRANK J. FABOZZI SERIES
Fixed Income Securities, Second Edition by Frank J. Fabozzi
Focus on Value: A Corporate and Investor Guide to Wealth Creation by James L.
Grant and James A. Abate
Handbook of Global Fixed Income Calculations by Dragomir Krgin
Managing a Corporate Bond Portfolio by Leland E. Crabbe and Frank J. Fabozzi
Real Options and Option-Embedded Securities by William T. Moore
Capital Budgeting: Theory and Practice by Pamela P. Peterson and Frank J. Fabozzi
The Exchange-Traded Funds Manual by Gary L. Gastineau
Professional Perspectives on Fixed Income Portfolio Management, Volume 3 edited
by Frank J. Fabozzi
Investing in Emerging Fixed Income Markets edited by Frank J. Fabozzi and
Efstathia Pilarinu
Handbook of Alternative Assets by Mark J. P. Anson
The Exchange-Traded Funds Manual by Gary L. Gastineau
The Handbook of Financial Instruments edited by Frank J. Fabozzi
money markets
FRANK J. FABOZZI
STEVEN V. MANN
MOORAD CHOUDHRY
John Wiley & Sons, Inc.
The Global
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FJF
To my wife, Donna,
and my children, Karly, Patricia, and Francesco
SVM
To my wife Mary and our daughters Meredith and Morgan.
MC
To Olga—like the wild cat of Scotland,
both elusive and exclusive…
2002 by Frank J. Fabozzi. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey
Published simultaneously in Canada
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any form or by any means, electronic, mechanical, photocopying, recording, scanning, or oth-
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Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best
efforts in preparing this book, they make no representations or warranties with respect to the accu-
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ISBN: 0-471-22093-0
Printed in the United States of America
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The views, thoughts and opinions expressed in this book are those of the authors in their pri-
vate capacity and should not be taken to be representative of any employing institution or
named body. The views of Moorad Choudhry are those of his in his individual capacity and
should not in any way be attributed to JPMorgan Chase Bank, or to Moorad Choudhry as a
representative, officer or employee of JPMorgan Chase Bank.
While every effort has been made to ensure accuracy, no responsibility for loss occasioned to
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