Fixed Income

Fixed-Income Instrument Features 3 Topics

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a. describe the features of a fixed-income security

b. describe the contents of a bond indenture and contrast affirmative and negative covenants

Curriculum End of Chapter Questions

Fixed-Income Cash Flows and Types 3 Topics

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a. describe common cash flow structures of fixed-income instruments and contrast cash flow contingency provisions that benefit issuers and investors

b. describe how legal, regulatory, and tax considerations affect the issuance and trading of fixed-income securities

Curriculum End of Chapter Questions

Fixed-Income Issuance and Trading 4 Topics

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a. describe fixed-income market segments and their issuer and investor participants

b. describe types of fixed-income indexes

c. compare primary and secondary fixed-income markets to equity markets

Curriculum End of Chapter Questions

Fixed-Income Markets for Corporate Issuers 4 Topics

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a. compare short-term funding alternatives available to corporations and financial institutions

b. describe repurchase agreements (repos), their uses, and their benefits and risks

c. contrast the long-term funding of investment-grade versus high-yield corporate issuers

Curriculum End of Chapter Questions

Fixed-Income Markets for Government Issuers 3 Topics

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a. describe funding choices by sovereign and non-sovereign governments, quasi-government entities, and supranational agencies

b. contrast the issuance and trading of government and corporate fixed-income instruments

Curriculum End of Chapter Questions

Fixed-Income Bond Valuation: Prices and Yields 4 Topics

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a. calculate a bond’s price given a yield-to-maturity on or between coupon dates

b. identify the relationships among a bond’s price, coupon rate, maturity, and yield-to-maturity

c. describe matrix pricing

Curriculum End of Chapter Questions

Yield and Yield Spread Measures for Fixed-Rate Bonds 3 Topics

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a. calculate annual yield on a bond for varying compounding periods in a year

b. compare, calculate, and interpret yield and yield spread measures for fixed-rate bonds

Curriculum End of Chapter Questions

Yield and Yield Spread Measures for Floating-Rate Instruments 3 Topics

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a. calculate and interpret yield spread measures for floating-rate instruments

b. calculate and interpret yield measures for money market instruments

Curriculum End of Chapter Questions

The Term Structure of Interest Rates: Spot, Par, and Forward Curves 4 Topics

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a. define spot rates and the spot curve, and calculate the price of a bond using spot rates

b. define par and forward rates, and calculate par rates, forward rates from spot rates, spot rates from forward rates, and the price of a bond using forward rates

c. compare the spot curve, par curve, and forward curve

Curriculum End of Chapter Questions

Interest Rate Risk and Return 4 Topics

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a. calculate and interpret the sources of return from investing in a fixed-rate bond

b. describe the relationships among a bond’s holding period return, its Macaulay duration, and the investment horizon

c. define, calculate, and interpret Macaulay duration.

Curriculum End of Chapter Questions

Yield-Based Bond Duration Measures and Properties 3 Topics

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a. define, calculate, and interpret modified duration, money duration, and the price value of a basis point (PVBP)

b. explain how a bond’s maturity, coupon, and yield level affect its interest rate risk

Curriculum End of Chapter Questions

Yield-Based Bond Convexity and Portfolio Properties 4 Topics

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a. calculate and interpret convexity and describe the convexity adjustment

b. calculate the percentage price change of a bond for a specified change in yield, given the bond’s duration and convexity

c. calculate portfolio duration and convexity and explain the limitations of these measures

Curriculum End of Chapter Questions

Curve-Based and Empirical Fixed-Income Risk Measures 5 Topics

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a. explain why effective duration and effective convexity are the most appropriate measures of interest rate risk for bonds with embedded options

b. calculate the percentage price change of a bond for a specified change in benchmark yield, given the bond’s effective duration and convexity

c. define key rate duration and describe its use to measure price sensitivity of fixed-income instruments to benchmark yield curve changes

d. describe the difference between empirical duration and analytical duration

Curriculum End of Chapter Questions

Credit Risk 4 Topics

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a. describe credit risk and its components, probability of default and loss given default

b. describe the uses of ratings from credit rating agencies and their limitations

c. describe macroeconomic, market, and issuer-specific factors that influence the level and volatility of yield spreads

Curriculum End of Chapter Questions

Credit Analysis for Government Issuers 2 Topics

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a. explain special considerations when evaluating the credit of sovereign and non-sovereign government debt issuers and issues

Curriculum End of Chapter Questions

Credit Analysis for Corporate Issuers 4 Topics

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a. describe the qualitative and quantitative factors used to evaluate a corporate borrower’s creditworthiness

b. calculate and interpret financial ratios used in credit analysis

c. describe the seniority rankings of debt, secured versus unsecured debt and the priority of claims in bankruptcy, and their impact on credit ratings

Curriculum End of Chapter Questions

Fixed-Income Securitization 3 Topics

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a. explain benefits of securitization for issuers, investors, economies, and financial markets

b. describe securitization, including the parties and the roles they play

Curriculum End of Chapter Questions

Asset-Backed Security (ABS) Instrument and Market Features 5 Topics

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a. describe characteristics and risks of covered bonds and how they differ from other asset-backed securities

b. describe typical credit enhancement structures used in securitizations

c. describe types and characteristics of non-mortgage asset-backed securities, including the cash flows and risks of each type

d. describe collateralized debt obligations, including their cash flows and risks

Curriculum End of Chapter Questions

Mortgage-Backed Security (MBS) Instrument and Market Features 5 Topics

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a. define prepayment risk and describe time tranching structures in securitizations and their purpose

b. describe fundamental features of residential mortgage loans that are securitized

c. describe types and characteristics of residential mortgage-backed securities, including mortgage pass-through securities and collateralized mortgage obligations, and explain the cash flows and risks for each type

d. describe characteristics and risks of commercial mortgage-backed securities

Curriculum End of Chapter Questions

Course Content

About Instructor

Olawale Keshinro

Course Includes