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Time-table
MODULE 1: 3 March to 24 March 2006
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Date |
Session |
Outline |
3 Mar 2006 |
1 |
Debt Origination and Underwriting
(Ang Ser Keng & Panelists)
- Investment Banking Role and Cost Structure
- Underwritten vs. Best Efforts
- Public Issue vs. Private Placement
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10 Mar 2006 |
2 |
Fixed Income Mathematics
(Ang Ser Keng)
- Present Value and Future Value
- Compounding and Discounting
- Accrued Interest and Day Count Methods
- Present Value of a Bond
- Bond Pricing
- Bond Ratings
- Return Measures
- Price/Yield Relationship
- Pricing Floating Rate Notes
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17 Mar 2006 |
3 |
Yield Curve Analysis
(Jeremy Goh)
- Building a Yield Curve
- Par Curve, Zero Coupon Yield Curve
- Determining the Forward Curve
- Yield Curve Construction
- Duration and Convexity
- Modified Duration and PVBP
- Effective Duration and Effective Convexity
- Option Adjusted Spread (OAS)
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24 Mar 2006 |
4 |
Fixed Income Trading
(Chan Onn)
- Relative Value Trades
- Yield Curve Trades: Expressing views, Barbells and Butterflies, Repo market and Funding
- Spread Trades: Assest swaps, Credit Curves and Spreads, Cash Bonds versus Credit Default Swaps
- Capital Structure Trades
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MODULE 2: 31 March to 28 April 2006
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Date |
Session |
Outline |
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31 Mar 2006 |
1 |
Interest Rate Derivatives Products
(Michael Preiss)
- Forward and Futures
- Spot-Forward Arbitrage
- FRAs
- Interest Rate Futures
- Interest Rate Swaps
- Interest Rate Swaptions
- Risk Parameters
- Option Terminology
- Option Valuation
- Interest Rate Options
- Graphs and Breakevens
- Option Strategies
- Applying different Interest Rate Models
- Hybrids
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7 Apr 2006 |
2 |
Use of Derivatives in Structured Notes
(Chan Onn)
- Overview of Derivatives
- Building blocks for Structured Notes
- Principal or Capital Protected Notes
- Yield Enhancement Products
- Libor Structured Notes
- Credit-linked Notes
- Valuation and Risk Analysis
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21 Apr 2006 |
3 |
Convertible Bonds
(Jeremy Goh)
- Concepts and Investment Characteristics
- Analysis of Convertible Bonds and Bonds with Warrants
- Pricing of Convertibles
- Other Option Embedded Bonds
- Redeemable Convertible Cumulative Preference Shares (RCCPS)
- Exchangeable Bonds
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| 28 Apr 2006 |
4 |
Use of Bloomberg as a Useful Tool in Fixed Income
(Ang Ser Keng)
- Use of Bloomberg As An Analytical Tools in Fixed Income
- Review and Application of Concepts in Fixed Income Mathematics
- Usefulness of Screens such as YA, YAS, IYC, BFV, TRA, etc
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MODULE 3: 5 May 2006 to 2 June 2006
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Date |
Session |
Outline |
5 May 2006 |
1 |
Securitization
(Chan Onn)
- Why Securitize and How It Is Done
- Mortgage Backed Securities
- Collateralised Mortgage Obligations (CMOs)
- Collateralised Debt Obligations (CDOs)
- Synthetic CDOs
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19 May 2006 |
2 |
Securitisation II & Panel Discussion
(Ang Ser Keng & Panelists)
- Tranching Methodology for CDOs & Asset-Backed Securitisation
- Synthetic CDOs
- Rating of Asset-Backed Securities
- Credit Enhancement
- Structural Risks and Issues
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26 May 2006 |
3 |
Credit Derivatives - Application & Strategies
(Michael Preiss)
- Credit Markets
- Banks, Credit and Capital Allocation
- Types of Credit Derivatives
- Case Studies of Deals
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2 Jun 2006 |
4 |
Credit Derivatives -Creating Synthetic Products
(Michael Preiss)
- How Credit Derivatives are used
- Hedging and Pricing Issues
- Credit Modeling
- Credit Default Swap
- Total Return Swap
- Credit Spread & Return Options
- First-to-default basket
- Second-to-default basket
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