- The Product Universe
- Government and corporate bonds
- Credit ratings and credit spreads
- Eurobonds and domestics
- Asset-backed securities
- Equity-linked
- Interest Rate Risk Analysis
- The determinants of sensitivity
- Macaulay and modified duration
- Convexity
- Bond Issuance
- Government issuance: The auction mechanism
- Corporate bonds: The syndication process
Exercise: Pricing a new issue
- Investors in the Bond Market
- Who are the investors?
- The bank/client relationship
- Client coverage
- Financial Calculations
- Simple and compound interest calculations
- Coupon payment basis and frequency
- Calculating interest and discount factors
- Curve Construction
- The construction of yield curves
- Government curves
- Credit risky curves
- Zero rates
- Forward rates
- Curve shapes, what causes them and what
they mean
- Normal curves
- Inverted curves
- Hump-backed curves
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- Cash Bond Markets: Government and
Corporate Bond Markets
- Government bond markets in the UK, Germany
and the US
- Market descriptions and instruments
- Market participants
- Issue procedures
- Calculation conventionst
- Corporate bond markets using the following
bonds
- High-grade – Walmart
- Mid-grade – Marks and Spencer
- High yield – Invenys
- Asset swaps – Vodafone
- Bond Calculations
- Courses
- Accrued coupon
- Dirty prices
- Bond yields
- Current yield
-Yield to maturity and re-investment risk
-Zero returns
- Annual and semi-annual yield conversion
and comparison
- Modified duration and convexity
- PV of .01%
- CS of .01% for FRNs
- Bond Strategies
- Curve trades for
- Increases and decreases in rates combining
expected rate changes and PV
of .01%
-Expected curve steepening and flattening
- Building a bond portfolio and understanding
the trade-off between yield and duration
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