School of Bonds and Fixed Income

Agenda Summary Pricing Principles Bonds and Fixed Income Mechanics Practical Bond Pricing Techniques Yield Curves The Use of Benchmarks in Bond Pricing Investment Skills An Introduction to Curve Trading The Bond Markets Today Pricing Floating Rate Notes Managing Interest Rate Risk Contingent Convertible Capital Instruments Using Duration as a Hedging or Trading Technique Curve Trading Bond Portfolio Management Getting to Grips With Repos and Reverses Interest Rate Derivatives Use Strips as a Benchmark for Pricing Nonstandard Bonds Term Structure of Interest Rates Liability Swaps and the Bond Markets Asset-Backed Securities Asset Swaps and Bond Markets Swap Pricing Swap Valuation Credit Curves, Benchmarking and Corporate Bond Spreads Case Studies and Exercises FMC Corporation 5.2% December 2019 Philip Morris International Inc 2.875% May 2029 Haliburton 6.75% February 2027 Interpolating the US Treasury Curve Benchmarking Corporate Bonds to an Interpolated Curve Risk Management Fundamentals Trading the Yield Curve Calculating Clean and Dirty Floater Prices, Millenium BCP, Euribor + 90, December 2017 Duration Weighted Hedging Understanding CoCos Using Duration to Calculate Hedge Ratios Hedging the Interest Rate Risk in a Portfolio Using Derivatives to Manage Duration The Uses of Repos and Reverses Working Out the Term Structure of Interest Rates Debt Origination Asset Swap Pricing and Valuation