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School of Bonds & Fixed Income Products

Euromoney Learning
Course summary
Professional Training
5 days
5,245 GBP excl. VAT
Dubai, London, Online courses
Course Dates
Online courses
Please inquire for more information

Course description

School of Bonds & Fixed Income Products

Virtual Learning Room: Restrict your travel, not your training

For many years, we have supported our clients while development programmes have been under pressure to minimise time away from the desk. We have successfully implemented blended learning techniques, using technology to provide ultimate flexibility.

We now find ourselves in unprecedented territory. In-person development programmes will be under greater scrutiny than ever. Whether your concern is health-related, the environment or ROI, suspending investment in people will be costly in the long-run with an impact on performance, risk exposure and morale.

Euromoney Virtual Learning provides a range of options that will enable your people to participate in learning events from the comfort of their base location. Virtual solutions range from on-demand, bite-sized online learning to fully customised, live and interactive experiences with our world-renowned subject matter experts.

For more information on how we can provide cost-effective learning programmes for your global teams without the need for travel, get in touch with us by clicking the "Information Request" button

Guaranteed to Run (GTR)

Organising your training and development is now easier than ever with our Guaranteed to Run (GTR) courses. With this initiative, you can plan your training in advance – including travel and accommodation - without any concern of cancellation and take advantage of the huge cost savings and peace of mind.

To find out which courses are Guaranteed to Run in 2020, please download the GTR brochure or the 2020 Global Calendar on our website. 

We know how inconvenient it can be when training is cancelled, so we are committed to standing by our GTR schedule. We will only ever cancel a GTR course due to circumstances outside of our control, such as natural disasters and illness, and will always work with you to find a happy alternative.

In recent years, the bond markets have witnessed significant change and innovation - largely because of a rapidly maturing swaps market. The increasing commoditisation of the swaps market, along with recent innovations in the credit derivatives market, has led to fundamental shifts in core relationships.

The School of Bonds & Fixed Income Products is designed for those who require up-to-date market knowledge on how these particular changes will influence their professional lives.

Outcome / Qualification etc.

Expand your knowledge on the structure and application of bonds and fixed income products and gain an in-depth understanding of:

  • Classification of bond instruments
  • Yield curve analysis
  • Pricing methodologies
  • Interest rate and currency swaps: uses and valuation
  • Bond trading and portfolio applications
  • Securitisation and asset-backed securities
  • Repo markets
  • Financial engineering with swaps

Training Course Content

Day 1

Bond Analytics
Introduction to Fixed Income Securities

  • What is a bond?
  • Who issues and invests
  • Bond characteristics
    • Coupon: fixed, floating, zero coupon bonds (“strips”)
    • Price/yield relationship
  • The major Government bond markets
  • The Eurobond market
    • MTN issuance programme
  • Corporate bond issuance

Yield Curves & Fixed Income Valuation

  • Calculating a bond’s price on a coupon date
  • Clean (quoted) v dirty price
  • Common accrual conventions
  • Calculating a bond’s price on a non-coupon date
  • Interpreting the price: defining yield measures
    • Yield to maturity as an internal rate of return (IRR)
    • Yield to call
    • Running yield
  • The yield curve and yield curve theories
  • Econometric forecasting of the yield curve

Case study: Delegates will price various fixed income instruments

Day 2

Bond Analytics
Understanding the Zero Coupon Curve

  • The problem with YTMs:
    • Re-investment risk
    • Understanding the zero-coupon bond pricing concept and its importance in the marking-to-market process
  • Constructing the zero-coupon equivalent yield curve
  • The government bond “strip” curve
  • Using zero-coupon discount factors in the price discovery process

Case study: Delegates will derive the zero-coupon curve and use it to value a number of instruments


Fixed Income Market Risk Analysis

  • Price-yield relationship for option-free bonds
  • Determinants of bond price sensitivity
  • Measures of bond price sensitivity:
    • Macaulay Duration
    • Modified Duration
    • Dollar Duration, PVBP (Present Value of a Basis Point)
  • Calculation and interpretation of duration
  • The non-linear properties of duration: time, yield and coupon dependencies
  • Calculating the duration of a bond portfolio

Bond Simulation: Participants will use bond analytic software to understand fixed income exposures and the role convexity plays


  • Convexity defined
  • Calculating convexity for fixed coupon bonds
  • The implications and ‘value’ of positive & negative convexity on market yields
  • Relationship between convexity and interest rate volatility
  • Limitations of duration and convexity: assumptions, benefits & shortcomings

Case study: Delegates will use duration and convexity measures to determine a bond’s return in a changing yield curve environment

Day 3

Yield Pick-Up from Trading Credit: Corporate Bonds & Credit Spread Analysis
Corporate Bonds & Understanding the Spread

  • Macro drives of the credit spread
  • Measuring the credit spread
    • Yield spread over the benchmark and I-spread
    • Deriving the asset swap spread
    • Par-par v yield asset swaps
    • What is the Z-spread
    • Asset swap spread v Z-spread
  • The role of the credit default swap (CDS) in pricing new issues and relative value analysis
    • Relationship between CDS, asset swap, and repo
  • Understanding negative and positive CDS basis
    • Which spread to use?
    • Taking into account the term structure of default probabilities: “arbitrage” pricing spread

    Corporate Bonds and the Rating Process

    • The role of the rating agencies
    • What is a rating?
    • Issuer v issue ratings
    • Ratings watch & outlook
    • What factors drive the rating
    • Empirical performance
      • Default frequencies
      • Rating transition tables
    • Recovery rates
    • The importance of sovereign ratings

    Hedging Interest Rate Risk & the Credit Spread

    • Hedging with government bonds and futures referenced to the government curve
      • Setting up the hedge ratio
      • The problem with traditional approaches
    • Using CDS’s to hedge spread risk
    • Portfolio hedging approaches with iTraxx contracts

    Day 4

    Selecting Instrument Types for Outperformance
    Credit Linked Notes & Securitisation

    • Creating a CLN
    • The market for securitised products
      • Issuance patterns pre and post the crisis
      • Motivation for issuers and investors
    • Building a CDO
    • Balance sheet v arbitrage deals
    • Cash flow v synthetic instruments
    • CDS primer

    Creating Value through Convertible Bond Arbitrage

    • How do convertible bonds work?
    • Understanding the terminology
    • Establishing the arbitrage trade
    • Understanding the key risk factors of a convertible arb trade
    • How well has the trade worked in the past?
    • Practical example of an arb trade

    Inflation-Linked Bonds: Real v Nominal Returns

    • Rationale for issuance
    • Market size
    • Mechanics explained
      • US Treasury Inflation Protected Securities (TIPS)
      • RSA Inflation-linked market
    • Real v nominal returns

    What about deflation?

    • What are the (hidden) risks?
    • The role of inflation linked bonds in portfolio construction

    Day 5

    Portfolio Management Strategies:Yield Enhancement & Trading Strategies
    Trading Structured Products: Yield Enhancement with Callable Bonds

    • What is a callable bond
    • Investor motivation: identifying the yield enhancement
    • Hedging strategies for the issuer using swaptions
    • Why issue step-up callable bonds
    • A generalised template for valuing bonds with embedded options
      • Understanding the nature of the embedded option
      • Building an arbitrage-free rate tree
      • Valuing a vanilla bond using the rate tree
      • Applying the technique to callable bonds
    • Extending the analysis to bonds with other embedded options

    Case study: Delegates will use market data to derive a “fair” valuation for a callable bond


    Trading the Yield Curve to Enhance Yield

    • Horizon (total return) analysis
    • Calculating the total return
      • Determining the exit price
      • Choosing the optimal bond maturity for the trade
    • Understanding the role of the forward rate
    • Riding the yield curve: Using repo to generate gains

    Case study: Delegates will calculate the holding period return and yield pick-upTrading Convexity

    • Convexity bias and the yield curve
      • Basics of convexity
      • What factors influence convexity
      • Volatility and the value of convexity
      • Convexity, yield curve and expected returns
      • Convexity bias: The impact of convexity on the curve shape
      • The impact of convexity on expected bond returns
    • Taking advantage of convexity: Barbell – bullet analysis

    Course summary and close

    Why choose Euromoney Learning

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    25,000 professionals trained across public courses

    99 countries where training is delivered

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    About provider

    Euromoney Learning

    We develop bespoke learning experiences with the perfect blend of technologies and techniques to help you succeed. An organisation’s ability to continuously learn and evolve rapidly is the ultimate competitive advantage. To achieve your strategic goals, it is essential to...

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    Euromoney Learning

    8 Bouverie Street,
    EC4Y 8AX, London

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