Fixed Income Instruments and Markets
This course is a comprehensive survey of fixed income instruments and the markets in which the instruments are traded. Participants will learn how to compute yield- and risk measures for government bonds, corporate bonds and mortgage securities. The emphasis is on the development of a 'real-world' toolkit that is directly applicable to everyday tasks performed by fixed income traders, quants and support personnel. The Bloomberg Professional terminal is used extensively in this course.
CPE Credits: 14
This course is a component of the Fixed Income Professional Certificate.
Prerequisite knowledge:
- Intermediate MS Excel skills
- Elementary differential calculus
- Basic probablility and statistics
- Familiarity with fixed income mathematics
Experience NYIF Virtual:
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Structure of Fixed Income Markets
- Primary markets
- Treasury auctions
- Interdealer brokers
- Secondary markets
- Electronic trading platforms
Module 2: US Covernment Bonds
- Treasury bills
- Treasury notes and bonds
- Yield conventions
- Risk parameters
- Accrued Interest: Clean and invoice (dirty) prices
- Bloomberg YAS screens for bills, notes and bonds
- TIPS: Treasury inflation-protected securities
Module 3: Sovereign Debt Instruments and Markets
- Canada
- United Kingdom
- Europe
- Japan
Module 4: Repurchase Agreements
- Structure of repo and reverse repo contracts
- Haircuts
- Repo arithmetic
- General and special collateral
- Repo fails
Module 1: Interest Rate Derivatives: Forwards and Swaps
- Forward rate agreements
- Forward contracts on bonds
- Structure of a swap contract
- Swap rates and curves
- Swap spreads
- Overnight index swaps
- Libor-OIS spreads
- Forward swaps
Module 2: Interest Rate Derivatives: Futures and Options
- Treasury futures
- Eurodollar futures
- Deriving swap rates from ED futures
- Options on ED futures
- Swaptions
- Interest rate caps and floors
Module 3: Corporate Bonds
- Yields and credit spreads
- Risky floating rate notes
- Asset Swaps
- Credit default swaps
Module 4: Mortgages and Mortgage-Backed Securities
- Types of mortgages
- Prepayments and negative convexity
- Federal agency debt securities
- The TBA market
- Securitization
- Agency MBS