Introduction to Fixed Income Securities and Derivatives
Learning Objective: After taking this tutorial participants will have an understanding of the investment characteristics of all securities traded in the major sectors of the fixed income market and the fundamentals of how market players measure return and risk. Participants will also have an understanding of the basic features of interest rate derivatives.
Typical Schedule
Day 1:
Registration: 8:55-9:00am
Class: 9-4:30, Lunch: 12-1
Day 2:
Class: 8:30-12:30

COURSE OUTLINE:

 (continued)

Basic features of fixed income securities

  • The importance of cash flow in
    valuing bonds

Risks associated with fixed income investing

  • Credit risk, reinvestment risk
  • Interest rate risk, call risk

Yield measures and their limitations

  • Yield to maturity, yield to call,
    yield to worst

Understanding bond price volatility

  • Characteristics of a bond that
    affect price volatility
  • Duration as a measure of price
    volatility

The Treasury market

  • Discount versus coupon
    Treasury securities
  • Stripped Treasury securities
  • TIPS

The corporate bond market

  • Call, refunding and sinking fund
    provisions

Municipal securities

  • Types of municipal bonds

Mortgage-backed securities

  • Mortgages and prepayment risk
  • Mortgage passthrough securities
  • Collateralized mortgage obligations
  • Stripped securities

Asset-backed securities

  • Types of ABS
  • Cash flow characteristics
  • Credit risk

New structures

  • Step up callable bonds
  • Inverse floating rate notes

Collateralized borrowing

  • Repurchase agreements
  • Dollar rolls
  • Securities lending

Interest rate derivatives

  • Products: futures/forward contracts,
    options, swaps, caps/floors
  • Risk and return characteristics

Locations of the tutorials and hotel information will be supplied with the confirmation of your registration. The registration fee for all tutorials includes a program notebook. Lunch is on your own. The tutorials are fully copyrighted by their respective speakers. No audio recording or videotaping is permitted.

Call (215) 598-8930 with questions, or email info2@frankfabozzi.com.

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