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School of Bonds & Fixed Income Products

Enhance your knowledge in bonds and fixed income products, book now!
  • In recent years the bond markets have witnessed significant change and innovation, largely as a result 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. This course is tailored to those who require up-to-date market knowledge on how these particular changes will impact on their professional lives.

    How this course will assist you?
    In five days you will expand your knowledge on the structure and application of bonds and fixed income products and will 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


    Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2.

  • 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-up

      Trading 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

    • Our Tailored Learning Offering

      Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.

      If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

      We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

    • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

      We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

      • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
      • Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
      • Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
      • Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
      • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
    This course can be run as an In-house or Tailored Learning programme


    • Paul Kitching


      The Course Director was the Strategic Development Manager at the London International Financial Futures Exchange (LIFFE), where he was responsible for the research and definition of new specialist swap and risk transfer contracts. Prior to this, he was Head of Interest Rate Product Development with responsibility for the maintenance of the existing product range and the development of new products.He began his career with Ernst & Young and Grant Thornton as a tax specialist, before moving into corporate treasury management at Royal Mail where he was project leader for a treasury and risk management group. In this role he developed risk management protocols and procedures for the use of derivative products. He was responsible for recommending the optimal combination of product types and features for a wide range of situations. Following the completion of a quantitative finance masters degree, he became senior lecturer in Corporate Finance and Taxation at the University of Greenwich. He is a visiting lecturer to Cass Business School on their Executive MBA programme. He is a panel member for the Securities Institute, a member of the Association of Corporate Treasurers and an associate of the Institute of Taxation.