School of Bonds & Fixed Income

IFF Training

How long?

  • 5 days
  • in person

What are the topics?

IFF Training

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About the course

You'll explore the roles of origination, syndication, trading and sales as well as the interplay between the buy side and the sell side, and the relationship between the bond and the swap markets and the drivers of the structured products market. You’ll learn how to trade the yield curve and how to hedge portfolios with swaps and futures.

You'll return to work able to:

  • price fixed rate bonds at a glance - without using a calculator
  • price fixed rate bonds on your phone and in Excel
  • understand the relationship between fixed rate bonds and floating rate notes
  • determine whether bonds are cheap or expensive
  • use asset swaps as a pricing tool for credit risk

You’ll get a complete picture of the mechanics of the fixed income markets and will feel confident participating in technical market discussions with your colleagues and your clients.

How You Will Learn

This is a very practical tour of the bonds and fixed income markets. Some of the featured deals will be less than 24 hours old when you see them, emphasising how the markets work today. Case studies include: Benchmarking corporate bonds to an interpolated curve, Philip Morris International Inc 2.875% May 2029, Using duration to calculate hedge ratios, The uses of repos and reverses, Understanding CoCos

Five exercises including: Trading the yield curve; Duration weighted hedging

Course programme:

DAY ONE

  • Overview of the Capital Markets
  • Bond and Fixed Income Mechanics
  • Market Conventions and Conversions
  • Practical Bond Pricing Technique

DAY TWO

  • Pricing Floating Rate Notes
  • Understanding Bond Sensitivities

DAY THREE

  • Using Duration as a Hedging or Trading Technique
  • Bond Portfolio Management
  • Getting to Grips with Repos and Reverses
  • Introduction to Interest Rate Derivatives

DAY FOUR

  • Strips as a Benchmark for Pricing Non-standard Bonds
  • Term Structure of Interest Rate
  • Asset-Backed Securities – Liability Swaps and the Bond Markets

DAY FIVE

  • Asset Swaps and Bond Markets
  • Swap Pricing – Swap Valuation
  • Credit Curves and Benchmarking

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

Experts

Alan McDougall

Alan helps banks and their clients to manage risk. He has designed and delivered over 1600 highly interactive training days in more than 40 countries for the International Faculty of Finance, Goldman Sachs, Morgan Stanley, JP Morgan, HSBC, Deutsche Bank, Rabobank, BNP Paribas, Societe Generale, U...

Petros Geroulanos

Petros Geroulanos has over 25 years of professional experience in trading, sales and product development. He has trained tens of thousands of participants originating from more than 100 countries working at 400 different companies. He has conducted workshops in more than 30 countries in Europe,...

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School of Bonds & Fixed Income at IFF Training

From  5999 GBP$7,920

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