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Advanced Fixed Income Analysis

Learn and develop a deep understanding of global fixed income markets and trading strategy

Advanced Fixed Income Analysis Training

A one-day course presented in two half-day live webinars from 9:30am to 1:00pm UK time

This advanced fixed income analysis course is a 'must-know' for:
  • Asset Managers
  • Junior Fixed Income Traders
  • Middle Office
  • Risk
  • Compliance
  • Audit
  • Anyone wanting to understand the Fixed Income Markets

  • The combination of detailed yet understandable theory and practical application is the core of advanced fixed income strategies
  • This advanced fixed income analysis course goes beyond basic concepts such as duration and yield, and clearly explains the trading and fixed income investment strategies that are used in the market.
  • We look at current market situations and discuss likely current strategies, giving a real insight into the markets.
  • Linking Fixed Income Markets to Derivatives and their impact upon these markets
  • Complex Fixed Income products and strategies clearly explained

  • Gain a deep understanding of global fixed income markets and fixed income trading strategies
  • Learn the main theories of fixed income pricing models and how they work in practice
  • Learn about how the yield curve is structured and priced
  • Understand how the interest rate and default risk affect pricing
  • Learn the basics of pricing callable and convertible features to valuation of fixed income securities
  • Appreciate the impact of IRS and CDs derivatives on the Fixed Income Markets
  • Understand how more complex products are priced and used
  • Use Excel models to value complex fixed income securities

Day One

Interest-Rate Modelling

  • Bond Price and Yield Relationship
  • Bootstrapping the Yield Curve
  • The Forward Curve
  • Interest rate risk – Macaulay, modified duration, PV01 and convexity

Exercise and case studies covering all of the above

Trading the Bond Markets

  • Trading the Yield Curve
  • Long /short positions in Government Bonds
  • Case Study: Funding long/short positions through the repo market and calculating the current / running yield.
  • Trading the Curve
    • Bull Spread Steepener
    • Bear Spread Flattener
    • Bar Bell

Case Study: Taking position in 2/5’s and 5/10’s. Calculating the modified Duration and PV01. This is essential for the trade ratio and to understand the Market Risk. Course participants then calculate their profit or loss when the market moves.

  • IRS for Hedging and Bond Issuance (Spread over MS)
  • Pricing
  • Asset Swaps (Duration Matching)
  • The move to SOFR from Libor

Exercise: Participants Price a Vanilla Swaps and then an Asset Swap. They will calculate the correct hedge ratio and ensure there is no duration risk.

Spreads and Fixed Income Relative Value Analysis

  • Definitions and applications of asset-swap spreads
  • Z-spread measures
  • I Spread, G spread, OAS spread
  • Market liquidity and current pricing structures


Day Two

Corporate Bonds

  • Credit spreads and bond pricing
  • Convertibles
  • Worked Exercise: pricing an option-adjusted spread using a binomial model
  • Pricing default risk
  • Case Study: Rating Agency Corporate Default Models – advantages and failings
  • CDS Market / Pricing of Credit
  • Single Name and Index CDS
  • Case Study and Exercise: Valuing a CDS. Looking at CDS trading - SEFs / OTFs, Coupon, Upfront points/ IMM dates etc. Calculating the CDS price from basic probability of default

Complex Bond Securities

  • Concept and pricing of integrated derivatives fixed income derivatives
  • Pricing of convertible and callable fixed income securities
  • Worked Exercise:  Determining value for bonds with embedded options
  • Case study: Convertible Bond Arbitrage. How to deal hedge to make money.

Complex Securities

  • Floating-rate Notes
  • Covered Bonds
  • COCOs
  • Structured bonds: principal and coupon separation
  • Case Study: Inflation linked bond pricing

Term Structure and the Yield Curve

  • Deriving the yield curve
  • Trading arbitrage
  • Multicurrency yield curves
  • Worked Exercise: Considering investment and trading strategies in today’s markets

Course Conclusion: fixed income products investment and funding portfolios

The trainer worked in Investment Banks including HSBC and Bank of Montreal for nearly 20 years. During this time, he worked in Operations and then as a trader, running books in FX, Fixed Income bonds and fixed income derivatives products.

The trainer has run courses all over the world including Amsterdam, Dublin, London, New York, Hong Kong, Singapore, Jakarta, Johannesburg, Delhi, Accra, Johannesburg etc.

The trainer delivers courses which focus on providing a practical and in-depth understanding of the markets from a Trading, Operations and Risk viewpoint. His courses are interactive and stimulating, offering delegates the opportunity to participate in an environment which encourages free discussion of the real issues faced in the workplace.

In addition to his training activities, he has undertaken various consultancy projects, such as an in-depth collateral risk assessment at a major European Investment bank.

The trainer held the position of Non-Executive Director of Cazenove’s Derivative Oversight Committee for many years. Acting as a member of the committee in a general consultative capacity to assess the firm’s derivative capabilities and risks.

The trainer has also presented at JPMorgan Forums in London, speaking on topics such as the Benefits and Risks of Derivatives. He along with representatives from the FSA, law firms, hedge funds etc. were asked to give their views on the risks of derivatives to 150 / 200 Directors and senior managers from the top investment firms in the UK.

This advanced fixed income analysis course has been designed to provide a thorough overview of the Fixed Income fundamentals, Markets products, pricing, risk management and applications. We will use real-life case study examples to illustrate the techniques and strategies that are used by both “buy-side” and “sell-side”.

Participants will require laptops with MS Excel for the exercises and case studies.

  • The trainer (Mark) was exceptional, capable to explain concepts in different ways, from basic to complex examples. Mark made it very interesting and engaging. The exercises were great to apply the concepts learned.

Have this course presented In-House

  • On a date, time and in a location of your choice
  • Topics expanded or deleted to your bespoke requirements

Have this course pre-recorded

  • Full course recording edited exclusively for your company
  • Files converted to enable housing on your LMS

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