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Course List
Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Fixed Income Analytics
Available Dates:
There are no dates available.
Course Code: 608
Duration: 1 day
Level: Intermediate
Fee: $795.00
CPE Credits: 6
Prerequisite: A basic familiarity with fixed income securities (bond contract features as well as related terms and definitions) and investment characteristics (sources of return and types of risk) likely gained through formal training or 1+ years working in fixed income trading/support related capacity is recommended (but not required).

This one-day program is designed to familiarize participants with the analytic tools and techniques used widely by fixed income traders and portfolio managers. The presentation will address a range of methodologies used by market participants to estimate fair value or assess relative value in the fixed income markets. The discussion of each analytic tool/technique will begin with a review of conceptual basis as well as the specific formulae used to calculate the commonly used measures of risk and return.

But the focus of the program will be on the interpretation and application of the numbers, whether used in assessing the relative attractiveness of one security/market sector versus another (or versus some benchmark of fair value), or employed in quantifying the relative risk and performance of a bond portfolio versus a benchmark index. The program will begin with a review of industry conventions for relating price to yield and how to interpret them when assessing relative value. 

The discussion will then turn to yield curves: different types of yield curves, how they are derived and their application in assessing value (e.g. rich/cheap analysis).  Next, the focus shifts to duration and convexity (methodologies for quantifying bond price/bond portfolio value sensitivity to changes in yield/interest rates), how they are used in quantifying and managing risk, assessing performance and other applications. 

The final segment of the session will bring together elements of yield curve analysis and duration/convexity discussions by using a yield curve analytic framework to assess the relative attractiveness of the different credit market sectors and how those views will be employed by fixed income portfolio managers in adjusting their portfolio sector weightings/duration versus benchmark index.

Topics for Discussion Include:

Price and Yield Conventions vs. Value and Rates of Return

  • Interest Rates, Yields and Rates of Return Compared
    • Many meanings implied by use of word yield
    • Interest rates as the price of credit
  • Analytic Insights
    • Yield as an expression of current value (market price) vs estimate of future returns
    • Market price versus (fair or intrinsic) value

Yield Curves: Construction and Analytic Applications

  • Yield Curve Fundamentals
    • Yield curves by issuer/credit sector/security type
    • The treasury yield curve and credit/sector spreads
    • Yield curve construction methodologies
    • Shapes of yield curves
  • Applications in Securities/Derivatives Valuation
    • Spot rate curves, security valuation and rich/cheap analysis
    • Forward rates and the pricing of interest rate futures/forward contracts

Quantifying and Managing Interest Rate (Price) Risk

  • Factors Determining Sensitivity of Price to Change in Yield to Maturity
    • Non callable bonds
    • Callable bonds - embedded options
  • Quantifying Price Sensitivity to Changes In Market Yields
    • Modified effective and dollar duration 
    • Impact of convexity
  •  Callable Bonds
    • Price behavior
    • Effective duration and convexity
  • Applications of duration
    • Portfolio management
    • Hedging

Yield Curves in Fixed Income Market Analysis

  • Federal Reserve Policy Impacts On Interest Rates And Fixed Income Markets
    • The Federal Reserve System and monetary policy
    • Objectives of Fed monetary policy (report to congress)
    • Fed funds rate target and open market operations
    • Quantitative easing and special program
  •  Yield Curves Theory and Practice
    • Interest rate levels and shape of the yield curve
    • Yield Curve Movements And The Real Economy
  • Fixed Income Market Analytic
    • Correlation of yield movements with the business cycle 
    • Yield curve (sector) spreads and relative value analysis