Certified Fixed Income Professional

Overview of Fixed Income Markets

• Overview of Debt Contracts
• Players and Their Objectives
• Classification of Debt Securities
• Risk of Debt Securities
• Return-Risk History

Price-Yield Conventions

• Concepts of Compounding and Discounting
• Yield to Maturity or Internal Rate of Return
• Prices in Practice
• Prices and Yields of T-Bills
• Prices and Yield of T-Notes and T-Bonds
• Price-Yield Relation Is Convex
• Conventions in Other Markets

Federal Reserve(Central Bank) and Fixed Income Markets

• Central Banks
• Monetary Policies
• Fed Funds Rates
• Payments Systems and Conduct of Auctions

Organization and Transparency of Fixed Income Markets

• Primary Markets
• Interdealer Brokers
• Secondary Markets
• Evolution of Secondary Markets

Financing Debt Securities: Repurchase (Repo) Agreements

• Repo and Reverse Repo Contracts
• Real-Life Features
• Long and Short Positions Using Repo and Reverse Repo
• General Collateral Repo Agreement
• Fails in Repo Market

Auctions of treasury Debt Securities

• Benchmark Auctions Schedule
• Conduct of Treasury Auctions
• Auction Theory and Empirical Evidence
• Auction Cycles and Financing Rate

Bond Mathematics: DVO, Duration and Convexity

• DV/PVBP or Price Risk
• Trading and Hedging
• Convexity
• Effective Duration and Effective Convexity Suggested Reading and References

Yield Curve and The Term Structure

• Yield Curve Analysis
• Term Structure
• Forward Rates of Interest
• STRIPS Markets
• Extracting Zeroes in Practice

Models of Yield Curve and the Term Structure

• Modeling Mean-Reverting Interest Rates
• Calibration to Market Data
• Interest Rate Derivatives
• A Review of One-Factor Models

Modeling Credit Risk and Corporate Debt Securities

• Defaults, Business Cycles, and Recoveries
• Rating Agencies
• Structural Models of Default
• Implementing Structural Models The KMV Approach
• Cost of Financial Distress and Corporate Debt Pricing
• Reduced-Form Models
• Credit Spreads Puzzle

Mortgages, Federal Agencies and Agency Debt

• Overview of Mortgage Contracts
• Types of Mortgages
• Mortgage Cash Flows and Yields
• Federal Agencies
• Federal Agency Debt Securities

Mortgage-Backed Securities

• Overview of Mortgage-Backed Securities
• Risks: Prepayments
• Factors Affecting prepayments
• Valuation Framework
• Valuation of Pass-Through MBS
• REMICS

Inflation-Linked Debt: Treasury Inflation-Protected Securities

• Overview of Inflation-Indexed Debt
• Role of Indexed Debt
• Design of TIPS
• Cash-Flow Structure
• Real Yields Nominal yields, and
• Cash Flows, Prices, Yields and Risks of Tips

Derivatives on Overnight Interest Rates

• Overview
• Fed Funds Futures Contracts
• Overnight Index Swaps (OIS)
• Valuation of OIS
• OIS Spreads with Other Money Market Yields

Eurodollar Futures Contracts

• Eurodollor Markets and LIBOR
• Eurodollor Future Markets and LIBOR
• Deriving Swap Rates form ED Futures
• Intermarket Spreads
• Options on ED Futures
• Valuation of Caps

Interest-Rate Swaps

• Swaps and Swap- Related Products and Terminology
• Valuation of Swaps
• Swap Spreads
• Risk Management
• Swap Bid Rate, Offer Rate, and Bid -Offer Spreads
• Swaptions

Treasury Futures Contracts

• Forward Contracts Defined
• Futures Contracts Defined
• Futures Versus Forwards
• Treasury Futures Contracts

Credit Default Swaps: Single-Name, Portfolio, and Indexes

• Credit Default Swaps
• Players
• Growth of CDS Market and Evolution
• Restructuring and Deliverables
• Settlement on Credit Events
• Valuation of CDS
• Credit-Linked Notes
• Credit Default Indexes

Structured Credit Products: Collateralized Debt Obligations

• Collateralized Debt Obligations
• Analysis of CDO Structure
• Growth of the CDO Market
• Credit Default Indexes (CDX)
• CDX Tranches