–       Introduction

–       Variants of debt securities

–       Differences between hybrid security and equity

–       Maturity, par value, coupon rate

–       Conversion privilege, put provision, currency denomination

–       Embedded option, borrowing funds to purchase bonds, etc.

–       Indenture and covenants

part 2: Investors’ perspective

–       Offering mechanism

–       Role of trustee

–       Remedy for investors

–       Interest rate risk, yield curve risk, call and prepayment risk

–       Reinvestment risk, credit risk, liquidity risk

–       Exchange rate risk, inflation risk, volatility risk

–       Event risk, sovereign risk

–       General principles of valuation

–       Traditional approach to valuation

–       the arbitrage-free valuation approach

–       Cost of debt calculation

–       Understanding beta and beta _debt calculation

–       Valuation models

–       Sources of return

–       Traditional yield measures with benchmark

–             Yield curve theories – expectation theory, liquidity preference theory, and market segmentation theory.

–       Theoretical spot rates, forward rates calculation

–       The full valuation approach

–       Price volatility characteristics of bonds

–       Duration, convexity adjustment

–       Maturity matching and immunization

–       Concept of hedging

–       Types of hedging

–       Interest rate hedging

–       The Barbell strategy

–       Rich-cheap Analysis

–       Curve Flattener/Steepener analytics

–       Interest rate and exchange rate analytics

–       Rolling down the yield curve analytics

–       Bond/SWAP break-even analysis

–       Forward curve analysis

–       Spread analytics: analyzing spread against risk free rate

–       Inter-/intra – curve spread

–       Historical look at treasury yield curve

–       Treasury returns resulting from yield curve movements

–       Fixed and variable interest bond

–             Commercial paper, govt. bond, municipal bond, agency bond, corporate bond

–       Tax effect of fixed income securities

–       Constructing theoretical spot rate curve for treasuries

–       The SWAP curve

–       Theories of term structure

Module 9

–       Elements of a Bond Valuation Model

–       Overview of the Bond Valuation Process

–       Review of How to Value an Option-Free Bond

–       Valuing a Bond with an Embedded Option Using the Binomial Model

–       Valuing and Analyzing a Callable Bond

–       Valuing a Putable Bond

–       Valuing a Step-Up Callable Note

–       Valuing a Capped Floater

–       Analysis of Convertible Bonds

–       Securitization

–       Process of securitization

–       Variants – CLO, CMO, CDS etc.