Fixed Income Masterclass

This course is an introduction to Fixed Income markets.

Participants will learn about the fundamentals of bonds and yield curves and how bonds are priced. Next to this they will learn about the concepts of duration and DV01 and how to trade bonds.

Lastly in this module participants will learn about the fundamentals credit markets. This includes concepts like credit risk, credit ratings, credit spreads and securitisation.

Suitability

This course is suitable for anyone new to Fixed Income.

Learning Outcomes

What bonds are and how they work
The key elements of a bond
Differences between bonds and loans
Price a bond in Excel long hand
Price a bond in Excel using the PV function
Price a bond in Excel using the PRICE function
Calculate the accrued interest of a bond
Calculate the clean price of a bond
Calculate the dirty price of a bond
What a yield curve is
Why a normal yield curve is upward sloping
The different parts of the yield curve
The various yield curve shapes
Curve steepening
Curve flattening
When curves steepen
When curves flatten
How to trade curve steepening and flattening
Bonds positions have carry
The P&L effect of bonds rolling down the curve
How to calculate carry and roll
The difference between yield-to-maturity, spot rates and forward rates
How to calculate spot rates from forward rates
How to calculate forward rates from spot rates
What bootstrapping is
How to bootstrap a yield curve to get the spot curve
How to bootstrap a curve in Excel
What the duration of a bond is
What the modified duration of a bond is
How to use duration
What the DV01 of a bond is
How to calculate DV01
How DV01 is used
How the maturity of a bond has an impact on the duration and DV01 of a bond
How the cash flow profile of a bond has an impact on the duration and DV01 of a bond
How the level of yields has an impact on the duration and DV01 of a bond
Bond prices have a convex relationship to yields
What the convexity of a bond is
How to use convexity
How to use DV01 when trading the yield curve
How to construct DV01 neutral curve trades
How to construct curve trades with an outright view incorporated
What credit risk is
What factor have an impact on credit risk
On what level credit risk is evaluated
What corporate bonds are
The yield components of a corporate bond
The drivers of the corporate bond market
What a credit rating is and what it isn’t
The different type of credit ratings
Difference between investment grade and high yield credit
What credit spreads are
Credit curve terminology
The different definitions of credit spreads
How credit spreads drive bond prices
How credit spreads can be traded
What products give investors exposure to credit risk
The basics of securitisation
What assets can be securitised
The advantages and disadvantages of securitisation
How debt tranches can be created from a pool of assets
What the risk/ return profile of those tranches looks like
How the loss waterfall structure works

Course Content

Fixed Income Fundamentals

Unit 1 – What is a bond

Unit 2 – Bond price and yield

Unit 3 – Pricing a bond

Unit 4 – Clean and dirty pricing

Yield Curves

Unit 5 – What is a yield curve

Unit 6 – How does the yield curve change

Unit 7 – What moves the yield curve

Unit 8 – Carry and roll

Spot and Forward Rates

Unit 9 – Spot and forward rates

Unit 10 – Bootstrapping

Risk Management and Trading

Unit 11 – Duration

Unit 12 – DV01

Unit 13 – What drives duration and DV01

Unit 14 – Convexity

Unit 15 – Trading the yield curve

Credit Markets

Unit 16 – Credit risk

Unit 17 – Corporate bonds

Unit 18 – Credit ratings

Unit 19 – Credit spreads

Unit 20 – How to trade credit spreads

Unit 21 – Intro to securitisation

Unit 22 – Risk tranching

This Course Includes

Learn: 22 micro-learning on-demand videos
Check: 22 knowledge checks to validate understanding
Apply: 22 hands-on practical exercises and projects
Requirements: Access to a computer with an internet connection
Accessibility: Access on PC, mobile or TV
Certification: Certificate of completion with CPD record

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