Fixed Income Instruments-New York City

Dates	Location	Price	Add dates to my diary	Brochure	Register
13-16 Dec 2010	New York, United States	$5,485.00	Add dates	Download	Register now

COURSE BACKGROUND

This course has been offered by Euromoney Training in New York since 1991. It will provide delegates with a solid foundation in fixed income analysis comparable to an MBA finance elective course and CFA^® exam levels I and II. Delegates will receive an extensive set of course notes including many numerical problems and solutions and supplemental readings.

COURSE OBJECTIVES:

This is a rigorous 4-day course on fixed income instruments and analysis:

Focus on understanding and evaluating bond prices and yields, measures of market value sensitivity like duration, convexity, and value-at-risk, and risk management instruments such as interest rate futures, swaps, and options.
Emphasize use as well as the limitations of these risk and rate of return statistics and hedging strategies.
Taught by an award-winning university professor having over 20 years of experience researching fixed income and interest rate risk management and teaching professionals.

YOU WILL LEARN TO:

Understand the factors shaping innovation and change in the fixed income markets
Determine yield and price calculations on fixed income securities
Analyze duration and convexity in measuring interest rate risk
Examine exchange-traded futures contracts, forward rate agreements (FRAs) and interest rate swaps
Reverse-engineer a structured note into a plain vanilla bond and embedded derivatives

WHO SHOULD ATTEND?

Heads of Training
Treasurers
Finance Directors
Analysts
Corporate Finance Managers
Back Office Staff
Debt Managers
Auditors & Risk Controllers
Fund & Investment Managers

GUEST SPEAKER

James F. Adams, CFA, Ph.D
Managing Director, JPMorgan Chase

DAY 1: Introduction to Capital Market Structures

Determining the Level of Bond Yields and Prices: The Demand and Supply of Funds
Market Structures: Private Placements, Broker Markets, Dealer Markets, Intermediated Markets (Banks, Pensions, and Mutual Funds)
Determinants of Liquidity: Market Size, Trading Volume, and the Time and Cost of Assessing Value
Factors Shaping Innovation and Change in Capital Markets:
- Technology, Securitization, Disintermediation, Globalization, Derivative Markets, Yield Curve and Currency Plays, Taxation and Regulation
Financial Engineering Zero-Coupon Government Debt: The Classic Case of CATS, TIGRs, LIONs and Treasury STRIPS
Financial Engineering Securitized Assets: The Classic Case of Collateralized Mortgage Obligations (CMOs)

Yield and Price Calculations on Fixed-Income Securities

Par Value, Discount, and Premium Bonds
Yield Statistics: Current Yield, Simple Yield, Yield to Maturity
Assumptions and Limitations to Yield Statistics
Bond Price and Yield Calculations
Converting a Nominal Rate to an Effective Rate
General Periodicity Conversions
Bond Pricing Theorems Assuming Parallel Yield Curve Shifts
Horizon Yields, Coupon Reinvestment Risk, Price Risk
Constant-Yield Price Trajectory
Accrued Interest and Bond Pricing between Coupon Dates
Generalized Bond Pricing for any Payment Frequency
Yield Statistics on Bond Portfolios
Credit Risk Analysis: Spreads over Benchmark Treasuries
Expected Loss Rates, Risk-Neutrality and Risk-Aversion

Workshop: Numerical Exercises on Bond

Prices and Yields
DAY 2: Yield Curve Analysis

U.S. Treasury Bills, Notes, and Bonds: The Auction Process, Price and Yield Quotation
Treasury STRIPS and Bond Arbitrage: Coupon Stripping and Bond Reconstitution
Calculating Implied Spot (Zero-Coupon) Rates from Coupon Bonds
Using the Implied Spot Curve: Discount Factors and Static Spreads
Calculating Implied Forward Rates
Using the Implied Forward Curve in Maturity Choice Decisions
Classic Theories of the Term Structure of Interest Rates: Expectations Theory, Segmented Markets Theory, and Liquidity Preference Theory

Duration and Convexity Analysis

Introduction to Duration
Modified Duration, Dollar Duration, Basis-Point-Values
Duration as the Link Between Changes in Market Value and Changes in the Yield to Maturity
Calculating Duration as a Weighted Average Maturity
Calculating Duration with a Closed-Form Formula
Effective (Modified) Duration
Annualizing the Duration Statistic
Implied Duration of Floating-Rate Notes (FRNs)
Relationship Between Duration and Maturity
Calculating Duration Between Coupon Dates and on Portfolios
Calculating and Using the Convexity Statistic
Potential Gains from Increasing Convexity on Bond Portfolios
Limitations to Exploiting Convexity
Balancing Coupon Reinvestment Risk and Price Risk
Immunization as Replicating an Idealized Zero-Coupon Bond
Importance of the Investment Horizon in Risk Analysis
Using Duration as a Benchmark for Portfolio Performance

Value-at-Risk Analysis

Applications of Value-at-Risk Measures: Position Limits, Resource Allocation, Capital Reserve Adequacy
Calculating Value-at-Risk (VAR) on a Bond Portfolio
Critical Assumptions: Confidence Intervals, Historical Volatility, Correlation

Workshop: Numerical Exercises on Yield Curve and Duration and Convexity Analysis
DAY 3: Exchange-Traded Futures Contracts

Market Structure, Role of the Clearinghouse
Daily Mark-to-Market Valuation and Settlement, Margin Accounts
Long-Term Bond Futures: The U.S. Treasury Bond Contract
Short-Term Interest Rate Futures: The Eurodollar Contract
Assessing the Probability of FOMC Policy Actions from Fed Funds Futures

Forward Rate Agreements (FRAs)

Market Structure, Role of Commercial Banks as Market Makers
Quotation and Settlement Calculations
Pricing and Hedging FRAs with Futures Contracts
Pricing Long-Dated FRAs: The Convexity Adjustment

Applications of Interest Rate Derivatives in Management of Fixed Income Instruments

James F. Adams, Vice President North American Rate Markets, JPMorgan Chase

Interest Rate Swaps

Contract Design and Market Structure
Quotation and Settlement Calculations
Plain Vanilla Swaps as a Series of Off-Market Forwards
Credit Risk Analysis on Interest Rate Swaps
A Swap as a Portfolio of Capital Market Instruments
Mark-to-Market Value, the Duration of a Swap
Pricing an Interest Rate Swap Using the Forward Curve and Zero-Coupon Discount Factors
Swap Applications: Arbitraging Credit Spread Differentials across Markets, Restructuring to Shorten or Lengthen the Average Duration of Assets or Liabilities
Innovations: Varying Notional Principal Swaps, Off-Market Swaps, Forward-Start Swaps

Credit Derivatives

Credit Default Swaps
Total Return Swaps
Applications in Fixed Income Management

Workshop: Numerical Exercises on Futures, Forward Rate Agreements, Interest Rate Swaps, and Credit

DAY 4: Overview of Options Contracts

Vocabulary of Options
Payoff Diagrams for Call and Put Options to the Buyer and Writer
Factors that Determine the Value of an Option:the Key Role of Volatility in Option Valuation
Basic Option Strategies: Portfolio Insurance and Yield Enhancement

Options Embedded in Capital Market Instruments

Callable and Putable Bonds
Option-Adjusted Spreads (OAS)
Interest Rate Cap and Floor Agreements
Implications of Cap-Floor-Swap Parity
Reverse Engineering Structured Notes

Workshop: Pricing Structured Notes Using Interest Rate and Credit Derivatives

New York Hotel, New York, United States

This program takes place on a non-residential basis at a New York hotel. Non-residential course fees include training facilities, documentation, lunches and refreshements for the duration of the programme. Delegates are responsible for arranging their own accomodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

As with all Euromoney Training programmes on-site administrators are with you throughout the programme to ensure smooth administration and group interaction.

Donald Smith
Don Smith is an Associate Professor of Finance and Economics at the School of Management, Boston University. He received his M.B.A. and Ph.D. degrees in Economic Analysis and Policy at the School of Business Administration, University of California at Berkeley.

Don specializes in teaching Capital Markets and Risk Management courses. He has published widely in academic and trade journals, including the Journal of Finance, Journal of Money, Credit, and Banking, Journal of Fixed Income, Journal of Financial Engineering, Financial Management, Journal of Applied Corporate Finance, Euromoney Corporate Finance, Derivatives Strategy, Derivatives Quarterly, and the Journal of Derivatives. Don has co-authored chapters of the Handbook of Financial Engineering, Interest Rate Swaps, and Cross-Currency Swaps, and two monographs for the Association for Investment Management and Research, Interest Rate and Currency Swaps: ATutorial and Derivatives, Risk Management, and Financial Analysis Under SFAS 133.

Don has been actively involved with executive education for over fifteen years, starting with Manufacturers Hanover Trust Company, where he was Senior Consultant to the Corporate Professional Development Department. He has developed and led training courses for many financial institutions, including Chemical Bank, Chase Manhattan Bank, Lehman Brothers, and the World Bank. He has been teaching Fixed Income and Advanced Interest Rate Risk Management courses with Euromoney for over ten years. While most of his executive training work is in New York, Don has taught courses many times in London and Hong Kong, as well as in Toronto, Mexico City, Caracas, Sao Paulo, Buenos Aires, Quito, Cairo, Bahrain, Tokyo, Seoul, Sydney, Singapore, and Kuala Lumpur.
Courses run by this instructor
- Advanced Interest Rate Risk Management - New York City

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