At OTC we believe in tailoring our courses to meet each client’s specific requirements. The illustrative course outline below gives an indication of the type of course content that we’ve been asked to deliver. For more information call us on +44 20 7700 3330 or email email@example.com
Strategy & Leadership Finance & Commerce Investment Banking
Bonds and interest rate swaps
What is covered?
This two-day course reviews the nature, pricing and risk features of the major types of bond, how they are used in asset and liability matching, how trades are funded and hedged, relative value analysis and basic barbell and butterfly trading strategies.
There is extensive use of financial calculators (e.g. HP12, HP 17, TI BA2), Excel and also Bloomberg examples, to help bring the class examples alive and make them practical.
Who will benefit?
Participants working in credit or swaps looking for a deeper understanding of bonds and how trades are made and funded. The revision of bond basics session is designed to be a quick reminder, so some previous understanding of bond valuation would be useful.
Revision of bond basics
Bond pricing and yield
- Why are bonds issued and why do clients buy them?
- Review of DES screen for a number of bonds
- Review of bond market statistics
Using a financial calculator to do bond calculations
- Bond price is the NPV of future cash flows
- Yield to maturity is the IRR of all cash flows
- The relationship between different yield measures - coupon, interest yield and yield to maturity – as price changes
The yield curve
- Clean and dirty bond pricing
- Coupon interest
- Day count conventions for the major markets
- Clean and dirty prices
Government bond markets
- The term structure of interest rates/Yield curve theories
- Analysing current yield curves
The spot and forward curves
- Key features of government markets/
- Liquidity and benchmarks
Corporates, FRNs and the Eurobond markets
- Spot and forward rates
- Bootstrapping the yield curve
The money markets
- Corporate credit bonds/ FRNs/The Eurobond market
Interest rate swaps
- Bills of exchange and bankers acceptances
- Commercial paper
- The interbank market
- Fed funds
- The repo market
- Derivative recap
- Vanilla swaps
- More complex swaps - accreting, amortising, forward start and roller-coaster swaps
- Asset swaps – synthetic FRNs