Further Fixed Income

In addition to your class tuition and study materials, you will receive the following:


Case Study

• New issue pricing

Other Extras

• Certificate of attendance

Level: Intermediate


Synopsis:
You know a little about fixed income, but need to know more? This course explains the practicalities of analysing fixed income securities and trading strategies, covering government bonds, corporates and swaps. Translate your knowledge into trading strategies and understand the key issues which drive today's markets.


At the end of the course participants will be able to: Understand processes of new bond issuance . Describe the credit rating process . Identify factors which influence swap spreads . Appreciate relationships between governments, corporates, swaps and repo . Find fixed income trading opportunities . Understand and evaluate a wide range of bond and swap trading strategies . Calculate and interpret the term structure of interest rates . Understand fundamental bond mathematics .


Prerequisites:
Understanding Fixed Income or equivalent


Suitable For:
Individuals familiar with fixed income instruments who want to gain a greater understanding of the major issues in today's bond markets.


The current state of today's fixed income markets

• Structure and trends in the bond markets
• Key features of governments versus corporates
• Conventional versus inflation-linked securities
• Structured notes: 'anything goes'

Review of bond valuation

• Yield-to-maturity and its problems
• Bootstrapping and deriving the spot-yield curve
• Forward rates and forward curves

Swap valuation

• Exact swap valuation with a zero-curve
• Approximate swap valuation
• Pricing swap rate from a futures strip

The role of credit

• The 4Cs of credit analysis
• The rating agencies
• Credit ratings and credit spreads

Repurchase agreements

• Repos and reverse repos
• The users of repos
• Repo pricing and calculation
• Determinants of repo pricing

Investors in bonds

• The different investor types
• 'Real money' versus leveraged investors
• Typical investment strategies and benchmarks

Government bond issuance

• Government issuance: the auction process
• Auction calendars and mechanisms
• Analysis of an auction

Corporate bond issuance

• The role of the lead manager
• The borrower's perspective
• The issuance process

Bonds and the swap markets

• Liability and asset swaps
• Swap rates and swap spreads
• Credit default swaps
• Hedging bonds and swaps

Actively trading fixed income

• Spotting trading opportunities
• Cost of holding positions
• Yield curve strategies
• Identifying cheap/dear bonds
• Relative value between cash, futures and swaps