Fixed Income and Other Debt Securities

Course details

From vanilla bonds to collateralised mortgage obligations, this course provides a thorough introduction to the product ranges, investor-types and how market professionals analyse and price fixed income instruments

Learning Outcomes

• Describe the government and corporate bond markets, including issuance
• Identify the major players in the fixed income market
• Compare the similarities and differences between types of fixed income instruments
• Identify the role played by credit rating agencies
• Discuss the concept of time value of money and its application to bond pricing
• Compute the price of fixed income securities using the concepts of discounted cash flow techniques
• Examine the measures of sensitivity and interest rate risk
• Evaluate the concept of yield and the yield curve
• Define the concept of ‘spreads’ and why they are important in the bond market
• Explain the process of securitisation and its uses
• Know the ‘hot issues’ and current developments in the global bond market place

Who Should Attend

• npiduals who are seeking an understanding of fixed income and related instruments. New staff to debt divisions of investment banks will find the concepts discussed during the course particularly useful. Technology staff supporting these functions will also benefit.

Course Content

Overview of debt capital markets

• The differences between equity and debt products
• The differences between loans and bonds
• Hybrid securities
• Securitisation
• The structure of the global bond markets
• Reviewing the role played by a firm’s Debt Capital Markets/Fixed Income Division
• Features of domestic bonds
• Understanding bond mathematics
• The concept of time value of money, i.e. the cost of money
• Present value and future value
• Compounding and discounting
• Pricing a bond
• Pricing a bond using DCF
• The concept of accrued interest
• Clean vs. dirty prices
• Using the yield to maturity to analyse a bond’s price
• Spread analysis; focusing on nominal spread analysis
• Understanding sensitivity analysis
• The determinants of sensitivity
• Macaulay and modified duration
• Using duration as a measure of sensitivity
• Taking convexity into account
• Credit ratings
• Credit risk
• The credit rating agencies
• Credit rating conventions
• Yield curves
• Constructing a basic yield curve
• Yield curve shapes
• The inferences of different yield curve shapes
• Governments and corporates
• Eurobonds
• The markets in MBS and ABS securities