Capital Markets Sources and Further Reading, Part 1 of 2

Sources are grouped by topic and link to the primary document where one exists. Links were last checked October 5, 2026.

Part 0: Bridge & Orientation (The Quant Toolkit)

Regulation DD (Truth in Savings), 12 CFR Part 1030, Appendix A: Annual Percentage Yield Calculation — APY formula on a 365-day basis (0.4)
Federal Reserve Bank of New York, Additional Information about Reference Rates — SOFR, SOFR Averages and Index on an actual/360 basis (0.4)
MSRB Rule G-33, Calculations — 30/360 day count for municipal securities (0.4)
Basel Framework MAR33, Internal models approach: capital requirements calculation — Expected shortfall at the 97.5th percentile, one-tailed (MAR33.3) (0.4)
Basel Committee, Explanatory note on the minimum capital requirements for market risk (January 2019) — Why the move from VaR to expected shortfall: tail risk ignored by VaR (0.4)
Mandelbrot, B. (1963), The Variation of Certain Speculative Prices, Journal of Business 36 — Fat tails in price changes (0.4)
Blume, M. (1975), Betas and Their Regression Tendencies, Journal of Finance 30(3), 785–795 — Measured betas drift toward 1; basis for adjusted beta (0.4)
Boyle, P. (1977), Options: A Monte Carlo Approach, Journal of Financial Economics 4(3), 323–338 — Monte Carlo simulation introduced to option pricing (0.4)
Federal Reserve History, Stock Market Crash of 1987 — Dow fell 22.6% (508 points) on October 19, 1987 (0.4)

Part 1: Corporate Finance and Valuation

FRED, Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity (DGS10) — 10-year Treasury 5.24% on October 1, 2026 (risk-free rate, 1.4 and 1.5)
FRED, ICE BofA BBB US Corporate Index Effective Yield — 6.19% on October 1, 2026 (cost of debt cross-check, 1.4)
Damodaran, Ratings, Interest Coverage Ratios and Default Spread (January 2026) — Coverage-to-rating table for large non-financial firms (1.4)
Damodaran Online, home page (implied equity risk premium) — Implied ERP 4.14% on September 1, 2026, against a 4.75% Treasury rate (1.5)
Federal Reserve, FOMC Summary of Economic Projections, September 16, 2026 — Longer-run medians: real GDP 2.0%, PCE inflation 2.0% (terminal growth ceiling, 1.3)
26 U.S.C. §11, Tax imposed (Cornell LII) — 21% federal corporate rate (1.3)
26 U.S.C. §163, Interest (Cornell LII) — §163(j) 30% of adjusted taxable income cap, depreciation add-back, carryforward (1.1, 1.4)
BYU Library, Bloomberg guide: Beta — Adjusted beta = 0.67 × raw + 0.33; two years of weekly data by default (1.5)
Chicago Booth, Robert Hamada faculty page — Hamada (1972), Journal of Finance, capital structure and systematic risk (1.5)
BVWire, Avoid this inconsistency with the terminal value — Mid-year convention: Gordon TV discounted N − 0.5, exit-multiple TV N (1.3)
Fama and French (1992), The Cross-Section of Expected Stock Returns (IDEAS/RePEc) — Flat beta–average return relation (1.5 FAQ)
Modigliani and Miller (1958), The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review 48(3) — Propositions I and II (1.6)
Myers (1984), The Capital Structure Puzzle, NBER Working Paper 1393 — Trade-off versus pecking order (1.6)
Graham (2000), How Big Are the Tax Benefits of Debt?, Journal of Finance 55(5) — Tax benefit 9.7% of firm value; conservative debt use (1.6)
Graham and Harvey (2001), The Theory and Practice of Corporate Finance: Evidence from the Field, Journal of Financial Economics 60 — CFO survey: target ratios, flexibility, NPV/IRR/payback usage (1.6, 1.11)
Frank and Goyal (2003), Testing the Pecking Order Theory of Capital Structure, Journal of Financial Economics 67(2) — Evidence against the pecking order (1.6)
26 U.S.C. §11 (corporate tax rate) — 21% federal rate (1.6–1.11)
IRS, Questions and answers about the limitation on the deduction for business interest expense — §163(j) 30% cap and post-2024 ATI add-back (1.6)
IRS, guidance on the additional first-year depreciation deduction amended by the One, Big, Beautiful Bill — Permanent 100% bonus depreciation after January 19, 2025 (1.11)
26 U.S.C. §355 (distribution of stock of controlled corporation) — Tax-free spin-off conditions (1.9)
Eckbo (2013), Corporate Takeovers and Economic Efficiency, ECGI Finance Working Paper 391/2013 — Winning offer premiums average about 40–50% (1.8)
Campa and Kedia (2002), Explaining the Diversification Discount, Journal of Finance 57(4) — Self-selection and the conglomerate discount (1.9)
Delaware Supreme Court, Verition Partners Master Fund v. Aruba Networks (April 16, 2019) — Deal price less synergies $19.10 vs $24.67 deal price (1.10)
FINRA Rule 5150, Fairness Opinions — Fairness opinion disclosures (1.10)
FINRA Rule 2241, Research Analysts and Research Reports — Valuation method and risk disclosure for price targets (1.12)
SEC, Regulation Analyst Certification — Analyst certification, effective April 14, 2003 (1.12)
OMB Memorandum M-25-23, Rescission and Reinstatement of Circular No. A-94 (April 8, 2025) — Federal discount-rate guidance (1.11)
SEBI circular SEBI/HO/MRD/MRD-PoD-3/P/CIR/2024/86, special call auction for investment companies (June 20, 2024) — Holding-company discount mechanism (India Lens)
Companies (Registered Valuers and Valuation) Rules, 2017 — Registered valuers under Companies Act s.247 (India Lens)
SEBI (Research Analysts) Regulations, 2014 — Research analyst registration (India Lens)

Part 2: M&A, Private Equity & Leveraged Buyouts

FTC: 2026 update of HSR jurisdictional and fee thresholds — $133.9 million size-of-transaction threshold, $26.8 million and $267.8 million size-of-person thresholds, $535.5 million all-deals threshold, effective February 17, 2026 (2.1)
17 CFR 240.14e-1 (tender offer periods) — 20-business-day minimum and 10 days after a price change (2.1, 2.10)
26 U.S.C. §197 (amortization of intangibles) — 15-year tax amortization of goodwill and customer intangibles (2.2)
26 CFR 1.338(h)(10)-1 — Deemed asset sale election and eligible targets (2.2)
26 U.S.C. §382 and 11 U.S.C. §363 — NOL limitation after ownership change; §363(f) free-and-clear sales (2.2 edge cases)
26 U.S.C. §163(j) and Paul, Weiss on the One Big Beautiful Bill Act — 30% interest limit; EBITDA-like adjusted taxable income from 2025 (2.5, 2.7)
Alston & Bird: How to Account for Earnouts — ASC 805 fair value and remeasurement of earn-outs (2.1)
Wall Street Journal: BofA’s Blunder: $40 Billion-Plus (June 2012) — Countrywide purchase price and cumulative costs (2.2)
Andrade, Mitchell & Stafford (2001), Journal of Economic Perspectives — Combined announcement returns positive, 1973–1998 (2.4)
Moeller, Schlingemann & Stulz, NBER w10200 — $240 billion acquirer loss, 12 cents per dollar, 1998–2001 (2.4)
S&P Global Market Intelligence: covenant-lite deals exceed 90% of leveraged loan issuance (Oct 2021) — Covenant-lite share (2.6)
Federal Reserve Bank of New York: SOFR — Floating-rate base for the Term Loan B (2.6)
26 U.S.C. §1061 (carried interest holding period) — Three-year holding period for long-term gain on carry (2.8)
Dechert: ILPA Principles 3.0 — Clawback gross of taxes recommendation (2.8)
Kaplan & Schoar, NBER w9807; Harris, Jenkinson & Kaplan, NBER w17874 — PE versus S&P 500 evidence (2.9)
Phalippou, An Inconvenient Fact (SSRN 3623820) — PE returns about equal to public indices since 2006; $230 billion carry (2.9)
SEC Release 33-11253 (beneficial ownership reporting) — Schedule 13D deadline of five business days (2.10)
Delaware Code Title 8 §203; Arnold & Porter on Airgas; Foley & Lardner on Versata v. Selectica — 15% interested-stockholder rule; pill cases (2.10)
SEBI FAQs on the SAST Regulations, 2011 — 25% trigger, 26% offer, creeping 5%, Regulation 26 (India Lens)
RBI press release, March 30, 2026, and Vinod Kothari on the final acquisition-finance norms — Bank acquisition finance from July 1, 2026; 75% cap, 3:1 debt-equity (India Lens)

Part 3: Fixed Income and Bond Mathematics

FRED: 10-Year Treasury Constant Maturity Minus 3-Month (T10Y3M) and Minus 2-Year (T10Y2Y) — Inversion dates, depth and run lengths, 1976–2026; spread levels on Oct 2, 2026 (Part 3.5)
NBER Business Cycle Dating — Peaks and troughs; latest peak February 2020, trough April 2020 (Part 3.5)
Federal Reserve Bank of New York: The Yield Curve as a Leading Indicator — Recession-probability model and data file; about 71% for May 2024 (Part 3.5)
Estrella and Mishkin, The Yield Curve as a Predictor of U.S. Recessions (NY Fed Current Issues, 1996) — 10-year minus 3-month spread predicts recessions two to six quarters ahead (Part 3.5)
Bauer and Mertens, Information in the Yield Curve about Future Recessions (SF Fed Economic Letter, 2018) — Comparison of spreads; ‘no clear evidence that this time is different’ (Part 3.5)
Engstrom and Sharpe, (Don’t Fear) The Yield Curve, Reprise (FEDS Notes, March 2022) — Near-term forward spread argument (Part 3.5)
BIS Quarterly Review, Yield curve inversion and recession risk (September 2019) — Term premium caveat on inversion signals (Part 3.5)
S&P Global Ratings, 2023 Annual Global Corporate Default and Rating Transition Study (March 2024) — BBB average one-year default rate 0.14% and five-year cumulative 1.38%, 1981–2023 (Part 3.6)
Huang and Huang, How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (Review of Asset Pricing Studies, 2012) — Credit spread puzzle (Part 3.6)
FRED: ICE BofA BBB US Corporate Index Option-Adjusted Spread (BAMLC0A4CBBB) — BBB spread 1.06 points on Oct 1, 2026 (Part 3.6)
FINRA Rule 11620: Computation of Interest — 30/360 accrued interest on corporate trades (Part 3.1)
FINRA TRACE — Trade reporting and dissemination for OTC bonds (Part 3.7)
SIFMA US Corporate Bonds Statistics and US Treasury Securities Statistics — Outstanding amounts and average daily volume, 2026 (Part 3.7)
SEC Commissioner Uyeda, remarks at the 2026 U.S. Treasury Market Conference (Sep 22, 2026) — Treasury clearing deadlines: cash Dec 31, 2026; repo Jun 30, 2027 (Parts 3.7, 3.8)
Federal Reserve Bank of New York: Secured Overnight Financing Rate Data — SOFR methodology (Part 3.8)
Federal Reserve press release, July 28, 2021 — Standing Repo Facility established (Part 3.8)
Federal Reserve, Review of the Supervision and Regulation of Silicon Valley Bank (April 2023) — Securities 55% of assets; HTM duration 6.2 years (Part 3.2)
Bank of England, letter on LDI to the Treasury Committee (Oct 5, 2022) — 30-year gilt yields up 160 bp in days; intervention from Sep 28, 2022 (Part 3.3)
TreasuryDirect: Treasury Inflation-Protected Securities — TIPS indexing and payment terms (Part 3.4)
Reserve Bank of India, Government Securities Market in India: A Primer — G-sec coupons, 30/360, T+1, NDS-OM, CCIL (India Lens)

Part 4: Derivatives, Properly Priced

Principles for Financial Market Infrastructures (CPMI-IOSCO, April 2012) — CCP initial margin at 99% confidence; cover-1 and cover-2 default resources (4.1)
COMEX Rulebook Chapter 113: Gold Futures (CME Group) — 100 troy ounce contract unit (4.1)
Metallgesellschaft case note (John C. Hull, McGraw-Hill) — Stack-and-roll hedge, margin calls, losses over $1 billion (4.1)
SPX Index Options fact sheet (Cboe) — European exercise and cash settlement of SPX options (4.2)
Options Exercise FAQ (Options Industry Council) — American-style equity options; $0.01 exercise-by-exception threshold (4.2)
1997 Prize in Economic Sciences press release (Royal Swedish Academy of Sciences) — Black-Scholes 1973; Merton and Scholes prize; Black’s death in 1995 (4.4)
Benzoni, Collin-Dufresne and Goldstein, NBER Working Paper 11861 (2005) — Flat implied volatilities before 1987 and the post-crash smirk (4.4)
CFTC press release 6429-12 (November 28, 2012) — First Dodd-Frank clearing determination and phase-in dates (4.5)
Announcements on the end of LIBOR (FCA, March 5, 2021) — USD LIBOR settings ceased after June 30, 2023 (4.5)
Key Trends in the Size and Composition of OTC Derivatives Markets in the Second Half of 2025 (ISDA, July 2026) — End-2025 notional, gross market value, credit exposure, IRD clearing share, CDS notional (4.5, 4.7)
ECB euro foreign exchange reference rate, USD — EURUSD 1.1355 on Sep 30, 2026 (4.6)
ECB euro area AAA yield curve, 1-year spot rate — 2.96% continuously compounded on Sep 30, 2026 (4.6)
FRED, 1-Year Treasury Constant Maturity Rate (DGS1) — 4.54% on Sep 30, 2026 (4.6)
Du, Tepper and Verdelhan, Deviations from Covered Interest Rate Parity, Journal of Finance (2018) — Persistent CIP deviations since 2008 (4.6)
BIS Quarterly Review, December 2008: Three market implications of the Lehman bankruptcy — Lehman CDS auction, 8.625% recovery, $72 billion outstanding, $5.2 billion net (4.7)
DTCC 2008 Annual Report — $400 billion speculation versus about $5.2 billion net transfer on Lehman CDS (4.7)
ISDA news release on the Big Bang Protocol (April 8, 2009) — Auction hardwiring and Determinations Committees (4.7)
Federal Reserve testimony on government assistance to AIG (Scott G. Alvarez, May 26, 2010) — AIG CDS collateral calls and the $85 billion facility of September 16, 2008 (4.7)
Allayannis and Weston, Review of Financial Studies (2001); Jin and Jorion, Journal of Finance (2006) — Evidence for and against a hedging premium in firm value (4.8)
SEBI circular on measures to strengthen the equity index derivatives framework (October 1, 2024) — Six index-derivative measures and effective dates (India Lens)
SEBI, Profitability of Individual Traders in the Equity Derivatives Segment (FY25–FY26), August 2026 — Retail F&O loss data FY22–FY26 (India Lens)
NSE press release, July 16, 2026 — NSE as world’s largest derivatives exchange by contracts in CY2025 per FIA (India Lens)

Part 5: Portfolio Theory and Quantitative Risk

Damodaran, Historical Returns on Stocks, Bonds and Bills: 1928–2025 — Annual S&P 500, 10-year Treasury and T-bill returns used for 5.1–5.4 (means, volatilities, correlations, 2008 and 2022 returns, 2025 T-bill average).
FRED, S&P 500 (SP500) — Daily index levels Oct 2016–Oct 2026 for the VaR, expected shortfall and backtest calculations (5.5, 5.6).
Kenneth R. French Data Library — Daily market returns since 1926, monthly factors, momentum and the 6 size/book-to-market portfolios (5.7, 5.8).
12 CFR 217.204, Measure for market risk — VaR capital = 3 × 60-day average; backtesting over 250 days; multiplication factor table (5.5, 5.6).
12 CFR 217.205, VaR-based measure — One-tail 99.0% confidence, 10-business-day holding period, at least one year of data (5.5).
OCC, Federal Reserve and FDIC, Regulatory Capital Rule proposal (Federal Register, March 27, 2026) — Proposed one-tail 97.5th-percentile expected shortfall measure; 2.34 calibration multiplier (5.5).
Basel Committee, Minimum capital requirements for market risk (January 2019) — Internal models approach based on expected shortfall (5.5).
Bank of England, letter from Sir Jon Cunliffe to the Treasury Committee, October 5, 2022 — LDI mechanics; over £1 trillion in LDI; 160 bp rise; 29 bp prior record; 100 bp stress assumption (5.6).
Bank of England, Bank staff paper: LDI minimum resilience (March 29, 2023) — 250 bp minimum resilience, built from about 80 bp and about 170 bp (5.6).
Bank of England, completes unwind of financial stability gilt purchases (January 12, 2023) — £19.3 billion purchased, September 28 to October 14, 2022 (5.6).
HM Treasury, The Growth Plan 2022 — Date of the fiscal statement, September 23, 2022 (5.6).
S&P Dow Jones Indices, SPIVA U.S. Year-End 2025 — 79% (1 year), 85.59% (10 years), 92.89% (20 years) of active large-cap funds trailed the S&P 500 (5.3).
William F. Sharpe, “The Arithmetic of Active Management,” Financial Analysts Journal, 1991 — Average active dollar earns the market return before costs and less after costs (5.3).
Grossman and Stiglitz, “On the Impossibility of Informationally Efficient Markets,” American Economic Review, 1980 — Bibliographic record for the informational-efficiency paradox (5.3).
Nobel Prize in Economic Sciences 2013, press release — Fama, Hansen and Shiller; short-run unpredictability, three-to-five-year predictability (5.3).
Cremers and Petajisto, “How Active Is Your Fund Manager?”, Review of Financial Studies, 2009 — Definition of active share (5.3).
Michaud, “The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?”, Financial Analysts Journal, 1989 — Optimizers maximize the effects of input errors (5.2).
McLean and Pontiff, “Does Academic Research Destroy Stock Return Predictability?”, Journal of Finance, 2016 — 97 predictors; 26% lower out of sample, 58% lower post-publication (5.8).
SEBI circular SEBI/HO/IMD/DF3/CIR/P/2020/197, Product labeling in mutual fund schemes: risk-o-meter (October 5, 2020) — Six risk levels, monthly evaluation, equity scoring tables (India Lens).
AMFI Monthly Note, August 2026 — Passive AUM ₹15,41,732 crore of ₹87,07,888 crore industry AUM (India Lens).

Part 6: Accounting, Forensically

SEC staff interpretations: Non-GAAP Financial Measures (updated Dec 13, 2022) — Questions 100.01, 100.04, 103.02: misleading adjustments, gross/net, EBITDA reconciled to net income (6.1)
IFRS 18 Presentation and Disclosure in Financial Statements — Issued April 2024, effective Jan 1, 2027; management-defined performance measures (6.1)
KPMG: IFRS 18 changes to the statement of cash flows — Interest paid to financing, interest received to investing for most companies (6.1, 6.3)
Groupon Form S-1 (June 2, 2011) and S-1/A (Sept 23, 2011) — 2010 revenue $713.4m gross restated to $312.9m net (6.2)
PwC Viewpoint 8.5: bill-and-hold arrangements (ASC 606-10-55-83) — Four bill-and-hold criteria (6.2)
House of Commons BEIS and Work and Pensions Committees: Carillion (May 2018) — 120-day terms, early payment at 45 days, ~£350m drawn of £500m, Moody’s £498m (6.3)
FINMA: Greensill proceedings against Credit Suisse (Feb 28, 2023) — About $10bn in supply-chain-finance funds closed March 2021 (6.3)
KPMG: FASB ASU 2022-04 supplier finance disclosures — Effective fiscal years beginning after Dec 15, 2022; roll-forward a year later (6.3)
Kraft Heinz Q4 2018 results (Exhibit 99.1, Feb 21, 2019) — $15.4bn impairments; $12.6bn net loss (6.4)
IASB Goodwill and Impairment project page and July 2026 staff paper — Redeliberation status; 7 of 13 members supported the package (6.4)
Li and Sloan, ‘Has Goodwill Accounting Gone Bad?’, Review of Accounting Studies (2017) — Inflated goodwill and untimely impairments under SFAS 142 (6.4)
Deloitte Roadmap: recognition of deferred tax assets, US GAAP vs IFRS — Valuation allowance (more likely than not) vs IAS 12 probable test (6.5, Tier-1 item 7)
Tesla 2023 Form 10-K — $15.00bn net income incl. $5.93bn valuation allowance release (6.5)
IRS: guidance on 100% bonus depreciation under the One Big Beautiful Bill — Permanent 100% bonus for property acquired after Jan 19, 2025 (6.5)
Amazon 2024 Form 10-K — Server lives 5→6 years (2024: −$3.2bn D&A, +$2.5bn net income); subset back to 5 years from 2025 (6.6)
SEC v. WorldCom, complaint (June 26, 2002) — $3.055bn (2001) and $797m (Q1 2002) of capitalized line costs; true results (6.7, 6.8)
Dechow, Ge, Larson and Sloan, ‘Predicting Material Accounting Misstatements’, Contemporary Accounting Research (2011) — Accruals and receivables in misstatement years; 2,190 AAERs, 676 firms (6.7)
Enron Form 8-K (Nov 8, 2001) — Restatement: −$591m net income 1997–2000, +$628m debt 2000; Chewco, JEDI, LJM (6.8)
B. Ramalinga Raju letter to the Satyam board (Jan 7, 2009), SEC exhibit — ₹5,040 crore of ₹5,361 crore cash non-existent (6.8, India Lens)
SEBI confirmatory order, Gensol Engineering (July 30, 2025) — ₹977.75 crore borrowed, 4,704 of 6,400 EVs bought, ₹262.13 crore unaccounted (India Lens)

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