Advanced Bond Maths

• Clean and dirty prices
• Accrued interest and main accrued conventions
• Cum div and ex div trading
• Calculating horizon yields
• Calculating spot rates, bootstrapping and the par yield curve
• Interest rate sensitivity – convexity, PVO1, DV01 and PVBP

The Primary Market

• Government bonds - the auction process and tap issues
• Corporate Bonds – roadshow, placing & distribution

Interest Rate Swaps

• Definition and uses
• The importance of interest rate swaps to the bond market
• Credit arbitrage

The Secondary Market

• What drives bond markets - a detailed analysis
• Impact of macro economic variables, monetary and fiscal policies and supply
• Examining market interest rate and inflation expectations
• The credit cycle and credit curves
• Case study

Credit Analysis

• Rating methodology - the rating chain
• Business risk, financial risk & liquidity, control & event risk
• Asset backed securities – typical structures

Bond Selection – Factors Which Determines Individual Bond Performance

• An examination of typical bond covenants
• The importance of structure and structural subordination
• Seniority, priority on liquidation and the payment waterfall
• Case study

Bond Trading and Investing

• Passive bond techniques – immunisation, dedication, the role of STRIPS
• Active techniques – beating a bond benchmark, duration adjusted switches
• Managing a multi currency or international bond portfolio
• Using bond futures – speculating, hedging and arbitrage
• REPO – definition and uses
• Credit derivatives – credit default swaps and total return swaps
• Convertible bonds – uses and valuation