Fundamentals Of Global Bond Markets

Your essential and complete practical guide to fixed income products and markets

Course Highlights

Really good interactive teaching, speaker's knowledge was impeccable and his experience showed right through, which is really valuable

H.O., Islandsbanki FBA

Master practical bond pricing techniques
Get to grips with domestic, international, emerging and eurobond markets
Understand duration and convexity
Get to grips with fixed income mathematics
See how different benchmarks are used
Understand the interaction between interest rate swaps and bonds

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
17 - 18 Jun 2010	£ 1899		-

Course Programme

Really good interactive teaching, speaker's knowledge was impeccable and his experience showed right through, which is really valuable

H.O., Islandsbanki FBA

Enthusiastic course leader, excellent presentation

H.v.W., NIB Capital Bank

Course was excellently presented and the speaker was very knowledgeable in all areas

B.M., Bank of Ireland

Day 1

Overview of debt capital markets

Assessing the main products and their differences
– equities
– loans or debt
– bonds
– hybrids
Securitisation and wrapped bonds
Capital adequacy requirement (Basle I and II)

The structure of global bond markets

Comparing the domestic bond and international bond markets
Identifying and understanding key features, products and players
– domestic bonds
– foreign bonds
– eurobonds
– global bonds

Refresher in bond mathematics

Time value of money
Present value and future value
Compounding and discounting
Capital markets formula and compound interest
Money market formula and simple interest

Market conventions

The historical development
UK and US money market convention
Actual/actual according to Fed
Actual/actual according to ISMA
US bond basis
Eurobond basis

Bond pricing

Pricing an annual bond
Pricing a semi-annual bond
Accrued Interest (Street vs Fed Method)

Sensitivity Analysis

Bond price sensitivity
Break-even analysis
Calculating duration
Understanding duration
Time decay of duration
The price/yield relationship
Modified duration
Uses of duration for hedging
Understanding convexity

Strips and asset-backed securities

Tigers, Lions, Cats, Dogs and Strips
Collateralised Mortgage Obligations (CMO)
Wrapped bonds
Cars, film, credit cards and star bonds
Lottery versus credit tranches
Overcollateralisation
Guarantees
Credit-linked notes

Day 2

Bond pricing revisited

Bond stripping
Bootstrapping and zero-coupon pricing
Input factors

Term-structure of interest rates

Yield curve
Flat yield curve, and negative versus positive yield curve
Par curve
Zero curve
Forward curve
The swap curve

Credit markets and interest rates

Government credit curves
Bank credit curves
Corporate curves
Selecting a benchmark

Introduction to interest rate and long-term currency swaps

Definitions
Interest rate and currency swaps
Coupon swaps
Basis swaps
Exchange of principal

Uses of swaps

Speculation and trading
Hedging
Asset and liability management
Market making
Risk management
Arbitrage for borrowers and investors
Debt origination
Asset swaps
Synthetics

The principal of swap pricing and valuation

Valuing the floating leg
Valuing the fixed leg
Input factors
Swap rates reflect the yield to maturity for banks

Asset swaps

Investment arbitrage
Single currency arbitrage
Cross-currency arbitrage in illiquid markets

Asset swap pricing

Par-par structures
Premium-par structures
Discount-par structures
Structured bonds

New Issue Arbitrage

The debt origination process
Pricing a new Eurobond bond issue
Benchmarking
Selecting yield and coupon
Calculation of re-offer price
Fee calculations
Issue price, all-in price and all-in cost
The advantage of a adding a swap to the bond