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Topic 6 – Fixed Income
Module 1 – The Term Structure and Interest Rate Dynamics
0:00 Introduction and Learning Outcome Statements
2:14 LOS: Describe relationships among spot rates, forward rates, yield to maturity, expected and realized returns on bonds, and the shape of the yield curve.
9:20 LOS: Describe how zero-coupon rates (spot rates) may be obtained from the par curve by bootstrapping.
12:04 LOS: Describe the assumptions concerning the evolution of spot rates in relation to forward rates implicit in active bond portfolio management.
16:13 LOS: Describe the strategy of riding the yield curve.
18:33 LOS: Explain the swap rate curve and why and how market participants use it in valuation.
27:20 LOS: Calculate and interpret the swap spread for a given maturity.
28:30 LOS: Describe short-term interest rate spreads used to gauge economy- wide credit risk and liquidity risk.
28:30 LOS: Explain traditional theories of the term structure of interest rates and describe each theory’s implications for forward rates and the shape of the yield curve.
35:30 LOS: Explain how a bond’s exposure to each of the factors driving the yield curve can be measured and how these exposures can be used to manage yield curve risks.
40:30 LOS: Explain the maturity structure of yield volatilities and their effect on price volatility.