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Bonds and Fixed Income

Gain an in depth knowledge of bonds and fixed income products.
  • 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 – An Introduction to Fixed Income Securities

    • Bond Structure (Coupon, Yield, Maturity, Price.  etc)
    • Who issues and invests?
    • Bond characteristics
    • Coupon: fixed, floating, zero coupon bonds (“strips”)
    • Price/yield relationship

    Basic Bond Maths

    • Compounding and Discounting
    • Deriving spot rates from par rates
    • Deriving forward rates from spot rates
    • Yield curve analysis


    Case Study: Pricing a Bond (Excel)

    We look at a selection of bonds with various maturity and yields and calculate their price

    The major Government bond markets – The Risk Free Rate

    Case Study: Participants are given various Government Yield Curves from countries around the World to view and understand

     The Eurobond Market

    • MTN issuance programme
    • Corporate bond issuance
    • Yield Curves, Term Structure & Fixed Income Valuation

    Exercise: Participants are given a number of Bond Positions to value, given their YTM. As the market moves they will calculate the bonds Profit or Loss.

    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

    Yield to Maturity :

    • Formula and application
    • Yield to call
    • Running yield
    • The yield curve and yield curve theories
    • What does Quantitative Tightening (QT) mean for the world?

    Exercise: Econometric forecasting of the yield curve… A look at the economic numbers that affect the curve, from Inflation and CPI to GPD, Unemployment etc, across the globe. Participants are asked to interpret their meaning, given the current economic environment. Where will rates go next?

    Repo Markets

    • Repo Trades
    • GMRA (General Master Repurchase Agreements)
    • Beneficial and Legal Ownership
    • Term, Margining, Haircuts, Repo Rate
    • Overnight v Term
    • Matched Book

    Scenario based Case Study: Funding a Long Bond Position with a Repo. Participants are given a bond position and asked to calculate how much of the funding of the position can be achieved in the Repo market.

    Reverse Repo

    • Covering a short bond position
    • Specials


    Day 2 -  Bond Analytics

    The Zero Coupon Curve and Bond Market Risk

    • The problem with YTM and 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 (Bootstrapping)
    • The government bond “strip” curve
    • Using zero-coupon discount factors in the price discovery process

    Exercise: Participants 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, PV01 (Present Value of a Basis Point)
    • DV01 (dollar 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 Excel to price and understand Fixed Income Exposures, Duration Risk 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: Participants will use duration and convexity measures to determine a bond’s return in a changing yield curve environment

    Trading the Yield Curve:

    • 2 v 10 year Spread
    • Calculating the Ratio using Duration

    Exercise: Participants look at the current USD Yield Curve and decide what trade they would like to create. Using what they have learnt on the course, they then price the trade and calculate the Duration Ratio.

    Hedging Interest Rate Risk

    • IRSs and their uses
    • IRS Pricing
    • IRS Hedge Ratio

    Exercise: Participants use excel to hedge a bond with an IRS


    Day 3  - Analysis of Corporate Bonds & Understanding the Spread

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

    Macro drivers of the credit spread

    • Measuring the credit spread
    • Yield spread over the benchmark and I-spread
    • Deriving the asset swap spread

    Exercise: Pricing an Asset Swap using Excel.

    • What is the Z-spread?
    • Asset swap spread v Z-spread
    • CDS trade
      • Buyer / seller, Fee, Contingent Payment
      • Reference Entity, Reference Obligation
      • Credit Events ( Bankruptcy, Failure to pay etc)
    • The role of the Credit Default Swap (CDS) in pricing new issues and relative value analysis
    • Relationship between CDS, asset swap, and repo

    Exercise: Pricing a CDS from the Asset Swap and Repo Markets. Participants find the arbitrage opportunities and calculate the potential profit.

    • 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 Interest Rate Risk with government bonds and futures

    • 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 Instruments for Outperformance - Credit Linked Notes & Securitisation

    Creating a CLN

    The market for securitised products - Asset Backed Securities (ABS)

    • Overview of principal terms and features of a “typical” securitization
    • Pooling of eligible receivables
    • Establishment of the SPV and sale of the assets
    • Credit enhancement alternatives
    • Regulatory capital issues
    • Key rating agency considerations
    • Use of FX and interest rate derivatives to eliminate cash flow mismatches
    • The Tranches and their pay-offs
    • Risks and rewards
    • Liquidity risk

    Case Study: Building a CLO. We look at how a Collateralised Loan Book would be built. What are the advantages in terms of returns? What are the hidden risks?

    Issuance patterns pre and post the crisis

    • Motivation for issuers and investors
    • Cash flow v synthetic instruments
    • Balance sheet v arbitrage deals

    Embedded Options

    • 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: Participants will use market data to derive a “fair” valuation for a callable bond

    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 Bond / Securities Issuance

    • Market size
    • Mechanics explained
    • US Treasury Inflation Protected Securities (TIPS)
    • Inflation-linked markets
    • 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 and ESG:

    Yield Enhancement, Trading Strategies and Structured Products.

    The Green Bond Market.

    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: Participants will calculate the holding period return and yield pick-up

    Trading Strategies

    • Convexity bias and the yield curve
    • Basics of convexity
    • What factors influence convexity
    • Volatility and the value of convexity
    • Taking advantage of convexity: Barbell – bullet analysis
      • Bull Spread Steepener
      • Bear Spread Flattener
      • Bar Bell

    Exercise: Participants are given a current yield curve and asked to create a strategy to make most profit from an expected move or mispricing.

    The Green Bond Market

    • ESG/SRI and Impact Investing
      • What is ESG investing?
      • What is Socially Responsible Investing?
      • A new way of thinking for investors
    • Green and Social Bonds
    • Sustainable Bonds
    • Blue Bonds
    • Sustainability Standards and Labels
    • What are the investors objectives?
    • Difference between Green and Climate Bonds
    • Transition bonds explained
    • COP21 Paris Agreement
    • Identifying assets and projects that deliver a low carbon economy
    • ICMAs Green Bonds Principles
    • Voluntary Guidelines for Issuing Green Bonds
    • Use of Proceeds
    • Second Part Opinion
    • Verification and Certification
    • Green Bond Scoring/Rating
    • EBRD Green Transition Bond


    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


  • Mark Doran


    Mark worked in Investment Banks including HSBC and Bank of Montreal for nearly 20 years. During this time he worked in Global Custody and then as a trader, running books in FX, bonds and derivatives.   Mark has run courses all over the world including Amsterdam, Dublin, London, New York, Hong Kong, Singapore, Jakarta, Johannesburg, Delhi, Accra, and all over the world.   Mark delivers courses which focus on providing a practical and in depth understanding of the markets from a Trading, Asset Management, Custody 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 nearly 20 years of delivering training Mark has spent a lot of that time delivering courses on Global Custody and Fund Services for the major Custodians including:: Citi BoNY JPMorgan Deutsche State Street HSBC And others   In addition to his training activities, Mark has undertaken various consultancy projects, such as an in depth collateral risk assessment at a major European Investment bank.   Mark held the position of Non-Executive Director of Cazenove’s Risk Oversight Committee for many years. Acting as a member of the committee in a general consultative capacity to assess the firm’s risk..   Mark has also presented at JPMorgan Forums in London, speaking on topics such as the Benefits and Risks of Derivatives. He along with representatives from regulators, 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.