OBJECTIVES

The 4-day intensive workshop on "Bond Analysis" has been designed in order to provide an understanding of the complexities of the fixed income market. It delves into the details of the bond markets, with an understanding of concepts like duration, convexity interest rate term structures etc. The workshop reinforces the ways and methodologies of fundamentally analyzing fixed income securities markets, concepts of bond pricing, different yield measures, yield curve analysis and their application. It also explains how to assess relative value, risk and return and the key factors in investment trading strategies. It also provides an overview of fixed-income derivatives markets, various instruments, their characteristics and application, hedging and risk management tools thus enabling the participants to trade in the markets in an efficient and intelligent manner.

PROGRAMME CONTENTS

Introduction to Fixed Income Security

Introduction to Fixed Income Securities and Instruments.

Characteristics of Fixed Income Securities.

Differences between Money Market and Debt Market

Factors affecting the Bond Markets

Interplay of Foreign and Domestic Bond Markets

Participants of Fixed Income Securities.

Regulatory Framework for Fixed Income Securities.

Trading & Settlement Mechanism in Indian Bond Market

Accounting Background of the treatment of Fixed Income Bonds in the Indian market

Interest Rate Determination

What drives the interest rate in the market?

Overview of Term Structure of Interest Rates

What kind of shape does a yield curve take?

How does it evolve over time?

Classical theories of Term Structure

Pure Expectations theory

Pure Risk Premium Theory

Market Segmentation Theory

Biased Expectations Theory

An Integrated Approach.

Fixed Income Math

Time Value of Money

Present Value

Future Value

Annuity

Duration and Modified Duration

Convexity

PVBP

Pull to Par Effect

Yield Curve Dynamics .

Types of Yield Curves

Yield to Maturity/ Call/ Put/ Worst/ etc.

Constructing a Yield Curve

Par Curve

Importance of Zero and its derivation from market prices.

Constructing a zero coupon curve from a par curve : Stripping a Bond

Forward Curve

Zero Coupon Bonds

Forward Starting Bonds

STRIPS

Floating Rate Instruments and their valuation nuances.

Floating Rate Benchmarks

Pricing Floating Rate Bonds through accrual & forward methods

Inflation Indexed Bonds

Risks in the Fixed Income Markets

Understanding and quantifying risks in Fixed Income securities.

Yield Curve Risk

Basis risk

Reinvestment risk

Spread Risk (To be emphasized with Bond Theorem and its understanding)

Introduction to Fixed Income Derivatives

Interest Rate Swaps

Forward Rate Agreements

Interest Rate Futures

Fixed Income Risk Management

Duration based Risk Management

Beyond Duration

Using Derivatives:

Swaps- Simple Plain Swaps and others like Accrediting, Amortizing and Roller Coaster Swaps, Basis Swap, CMT swaps, Total Return Swaps, Credit Default Swaps, etc.

Futures

Fixed Income Investment Strategies

Passive Fixed Income Portfolio Management

Active Fixed Income Portfolio Management

Bond Portfolio Management Strategies

Buy and Hold

Bullets and Barbells

Laddering

Immunization

Using swaps and Forward Rate Agreements

Carry & Roll Down strategy

Relative Value Arbitrage

Spread Trading: Intra curve & inter curve

HPY targeting strategies

Rich - Cheap Analysis of a yield curve

Interest Rate hike/ cuts market perception by using swaps

Innovative Debt Market Structures & its Hedging

Introduction to the Indian & International Debt Markets

Various Nuances of Indian Debt Market Valuations like accounting in HTM, AFS & HFT along with its hedges

Valuing credit bonds

Valuation issues for a floating rate bond

TARGET AUDIENCE

Key professionals/executives involved in the debt market operations at Banks, Stock Brokers, Corporates, Mutual Funds, Financial Institutions, Foreign Institutional Investors, Traders, Dealers, Consultants and other Professionals.

DURATION & TIMINGS

4 days

9.30 am to 5.00 pm 

Fees

Rs. 18000 + 12.36% (Service Tax +Education Cess) inclusive of workshop fee, study material, computer facility to each participant for hands-on practice, snacks and lunch.

WORKSHOP COORDINATOR

Vispi Rusi Bhathena,
Piyush Shelat,

For further details regarding registration, contact: