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Masterclass in Bonds and Fixed Income

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Masterclass in Bonds and Fixed Income A 5-DAY MASTERCLASS IN BONDS & FIXED INCOME Learn how to price bonds, trade the yield curve and manage risk Contact: Learning partner www.iff-training.com +44 (0)20 7017 7190 [email protected] WHAT YOU WILL LEARN COURSE LEADERS The course covers the drivers of the bond markets: not just the market maths - although this is covered in full - but also the forces that sustain the markets. You will explore ALAN MCDOUGALL worked in the markets for the roles of origination, syndication, trading and sales. 30 years both as a trader and a trainer. He is You’ll look at the interplay between the buy side and the sell a visiting lecturer at the Cass Business School. 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 Hear from the trainer himself: www.iff-training.com/VIDSB portfolios with swaps and futures. Return to work able to: • price fixed rate bonds at a glance - without using a ABOUT IFF calculator IFF has been the chosen training provider of the world’s best • price fixed rate bonds on your phone and in Excel finance and energy professionals since 1991. We are part of • understand the relationship between fixed rate bonds and Informa PLC and the learning partner of the QuantMinds and floating rate notes RiskMinds series of events. • determine whether bonds are cheap or expensive • use asset swaps as a pricing tool for credit risk • We continually develop and improve our training to make it You’ll get a complete picture of the mechanics of the fixed more effective for you income markets and will feel confident participating in • You’ll learn from practising, highly-experienced financial technical market discussions with your colleagues and your experts clients. • You’ll experience interactive and practical training - implement what you learn straight away • We limit class sizes so the trainer can adapt the content to COURSE PROGRAMME suit you AT A GLANCE PRICE & DATE DAY ONE Please contact a member of our team for more details . Overview of the capital markets . Bond and fixed income mechanics . Market conventions and conversions . Practical bond pricing technique CONTACT US Tel: +44 (0)20 7017 7190 DAY TWO Email: [email protected] . Pricing floating rate notes Web: www.iff-training.com . Understanding bond sensitivities DAY THREE IN-COMPANY TRAINING . Using duration as a hedging or trading technique . Bond portfolio management IFF’s bespoke training solutions will help you address your specific key business challenges. The programme . Getting to grips with repos and reverses is designed for you, with content focusing on the issues . Introduction to interest rate derivatives you and your teams are facing. The course can then be delivered at your choice of location face-to-face, digitally DAY FOUR or a combination of the two. Strips as a benchmark for pricing non-standard bonds . Tailored content - 100% targeted to cover your needs . Term structure of interest rate . No travel or time out of the office – we will come to ouy . Asset-backed securities – liability swaps and the bond . V alue for money – train teams of staff at the same time markets . Risk free – we’ve been doing this for over 30 years We will meet you anywhere in the world. DAY FIVE . Asset swaps and bond markets Please contact . Swap pricing – swap valuation Leigh Kendall on +44 (0)20 7017 7190 or email: [email protected] . Credit curves and benchmarking COURSE AGENDA DAY ONE EXERCISE How the Bond Markets Work Straight line interpolations of the US Treasury curve • Differentiating bonds and loans • Standard clauses: pari passu provisions, negative pledges and cross The Use of Benchmarks in Bond Pricing default clauses • Relative prices • Mark to market and accrual accounting • Government benchmarks • How bond pricing works • Libor benchmarks • Alternative reference rates CASE STUDY • Mid-swaps Participants will examine a new international bond issue • Sector benchmarks from the perspectives of the issuer, the arrangers and investors CASE STUDY Benchmarking corporate bonds to an interpolated curve Pricing Principles • Approximate and precise NPVs of trades CASE STUDY • The role of the bid/offer spread Benchmarking Apple and Verizon • Intrinsic values, in-, out- and at-the-money prices • Identifying the winner and the loser in a trade: symmetrical risk and asymmetrical risk products Investment Skills • Day count conventions, accrued interest, clean and dirty prices • Margins of safety • Brealey & Myers: the things we know and don’t know about finance • The four most dangerous words in finance • The role of patience EXERCISE • The importance of contrariness Estimating bond prices • Risk and the permanent loss of capital • Leverage Bonds and Fixed Income Mechanics • Understanding the detail of investment opportunities • Discounted cash flow • Money market maths and capital markets maths EXERCISE • Market conventions Seven immutable laws of investing & nine rules of risk • Calculating present and future values management • Implied repo rates and the cheapest-to-deliver bond • Yield curve assumptions and their implications for bond pricing An Introduction to Curve Trading • Calculating bond prices and yields in excel • Annual, semi-annual and quarterly rates • How traders exploit changes in the shape of the yield curve • Market conventions and conversions • How traders establish strategic curve trades • Curve steepening trades EXERCISE • Curve flattening trades Estimating the difference between semi-annual and • Factors that influence the P&L of strategic curve trades annual rates at a glance • Advanced strategic curve trades EXERCISE CASE STUDY Curve flattening trades and curve steepening trades Archer Daniel Midland Company 6.75% December 2027 CASE STUDY Practical Bond Pricing Techniques Pricing a corporate bond • What moves interest rates • the price and the yield of fixed rate bonds • What influences yield curves • liquidity risk • A macro approach to pricing fixed rate bonds • credit risk • The value of one basis point for different maturities: PV01s and DV01s • the spread to governments • Inverse proportionality: prices and yields • the spread to the interpolated swap curve • the asset swap spread • the Z-spread EXERCISE • the option adjusted spread Haliburton 6.875% January 2028 (Excel) Yield Curves DAY TWO • Discounting with a single discount rate The Bond Markets Today • Assumptions inherent in interest compounding • Calculating and interpreting internal rates of return • An update on bond market liquidity • All-in-costs and yields to maturity • The new issue market: global investment grade bonds • ICMAs rules 803.1 and 803.2 • The new issue market: high yield and emerging market bonds • Multiple discount rates • Basel III, the Dodd-Frank Act and the Volcker Rule • Forward/forward rates and zero coupon curves • Electronic trading: an update • Market expectations CASE STUDY • Liquidity preferences Republic of Turkey 4.875% October 2026 • Market segmentation Contact: www.iff-training.com +44 (0)20 7017 7190 [email protected] Pricing Floating Rate Notes • The relationship between duration and the PV01 • Parallels with fixed rate bonds • The additivity of duration • Discount margins, IRRs and yields to maturity • Changes in the market EXERCISE • Changes in the credit Using duration to calculate hedge ratios; curve trading • Using Bloomberg to price floaters • Using a single discount rate • Using multiple discount rates Managing Interest Rate Risk • Forward rates and zero curves • The importance of risk management • The relationship between swaps and floaters • Measuring interest rate risk: subjective and objective risk • High yield floaters measures • Fixed and floating rate interest rate risk • Delta and the first derivative CASE STUDY • Gamma and the second derivative FRN pricing - Pernod Ricard • Macaulay duration and modified duration • Interest rate movements: capital losses and income gains Bond Portfolio Management • Break-even analysis and time-weighted average of discounted • Measuring the risk in a portfolio cashflows • Guaging the hedge • Sensitivity of duration for different bonds to maturity, coupon and • Interest rate risk management principles yield • Adjusting portfolio duration • Time decay of duration • Asset and liability management • Price-yield relationship and approximation of price changes • Convexity, gamma and the second derivative CASE STUDY • Estimating convexity and measuring convexity Dynamically hedging a portfolio • Static and dynamic hedging EXERCISE Getting to Grips with Repos and Reverses Using duration as a hedging tool • Mechanics of repos and reverses • Classic, buy/sell-back, securities lending CASE STUDY • Parallels with FX swaps Bond pricing in Excel • General collateral, specific repo, specials • Current market developments in tri-party repo Interest Rate Derivatives CASE STUDY • Basel Regulation The repo market • The balance sheet • Capital adequacy requirement • The Basel accord, Basel II and Basel III Contingent Convertible Capital Instruments • Off -balance sheet instruments and interest rate derivatives • Structure and design of CoCos • Credit risk • Triggers and loss absorption mechanisms • Market risk • CoCo issuance and investors in CoCos • Liquidity ratios • Factors influencing the size of the CoCo investor base • Leverage ratio • Primary market pricing and secondary market trading of CoCos • Interest Rate, Currency and Credit Default Swaps • The Swap Mechanism • The Uses of
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