The objectives of this seminar are to present a number of advanced bond trading, investing and hedging strategies and to give you a good understanding of how to effectively implement these strategies in practice. We will also give an overview of recent trends in FI markets and discuss how these changes affect market participants.
After a brief review of yield curve analysis we explain and demonstrate how different views about the level and shape of the yield curve can be exploited through repo trading, “tailing”, yield spread trades, flatteners/steepeners, dumbbells/bullets, butterfly trades, etc.
Next, we look at selected arbitrage and relative value trades, including on-the-run/off-the-run trades, Treasury/Corporate spreads, investment-grade/high yield, convertible arbitrage, and international bond spreads with various currency hedging strategies.
We then explain the role of futures and other derivative instruments in trading, hedging and portfolio management. We explain the link between the cash and futures markets and demonstrate how “Basis Trades” and “Futures Spread Trades” can be constructed to exploit market mispricings - or to implement differing views on interest rates. We also show how futures/options/swaps can be used effectively to implement “Directional” bets or “Sector Switching”.
Further, we explain the concepts of “Strips”, “Collaterized Mortgage Obligations”, and other types of bond derivative structures, and we discuss the opportunities and risks of investing in these products. We also explain and demonstrate how to implement “correlation trades” using single-name, basket, and index CDS.
Finally, we look at techniques for investing in investment grade bonds, high yield corporate bonds and emerging markets bonds. Investment techniques in this area include the use of portfolio diversification techniques, “Asset Swaps”, securitization, and credit derivatives.