Bonds: Pricing and Book Management

LEVEL: INTERMEDIATE LEVEL

Close the quiz

▪	Calculate the theoretical price, sensitivity
▪	and convexity of a standard bond
▪	Master bond portfolio hedging techniques
▪	Trade yield curve movements
▪	Active bond portfolio management
▪	Understand the difference between managing a bond portfolio in a unit trust and Active/Passive management
▪	Analyse and evaluate the performance of a bond portfolio
▪	Build a pricing spreadsheet in EXCEL™

▪	Building a zero-coupon curve - Intermediate
▪	Pricing standard bonds and sensitivity - Intermediate
▪	Duration and convexity - Intermediate
▪	Bond portfolio management - Intermediate
▪	Interest rate asset allocation strategies - Introduction

▪	Pricing and book management methods in EXCEL™
▪	Develop the ability to price and manage
▪	a bond portfolio
▪	Training method: transmission of highly operational skills, building and use of book management tools in EXCEL™

▪	Fund managers, interest rate traders, salespeople
▪	Participants on primary interest rate markets
▪	Senior middle and back office staff, IT personnel
▪	Internal control, auditing, inspection
▪	Risk management
▪	Financial departments
▪	Treasurers and corporate financial directors
▪	Institutional investors

The Bond Market

▪

Bond asset classes

▪

Markets and key-players

▪

Revision of bond mechanics

Bond Pricing

▪

Yield curve

▪

The world of actuarial rates

Fixed-rate bond price

Risk measurement

Credit

Pricing corporate bonds from credit spreads

▪

The world of zero-coupon rates

Definition

Pricing T-bonds using a theoretical zero-coupon curve

▪

The world of forward rates

Definition

Forward rate curves - Limitations

▪

The world of floating rates

Characteristics of an index-linked bond

Bonds indexed on short or long-term rates

Inflation-linked bonds

▪

Practical workshop
. Calculate the sensitivity to inflation of an inflation-linked bond

Book Management

▪

Fundamentals on book-keeping

▪

Bond market transactions

▪

Bond performance

▪

Parameters of bond management

Yield

Portfolio duration

Portfolio convexity

Portfolio VaR

Decomposing a performance

▪

Book management strategies

▪

Practical workshop
. Construct and study a 2y-5y-10y butterfly
. "Ride the curve" and calculate P&L impact

Translation

Absence of movement

Flattening/steepening

Bulging curve

Hedging sensitivity and convexity

▪

Practical workshop
. Hedge a bond portfolio with futures

▪

Unit trust bond management

Reference framework

Management goals

Tools and techniques

▪

Measuring performance

Trading Simulation

▪

Trade bonds and bond futures vs the computer and other participants in hectic market conditions.
Maximise your profits while maintaining sound risk management.