NYIF: Yield Curve Analysis

• Overview of the Treasury Yield Curve and the role it plays as a benchmarking and forecasting tool
• Role and structure of the Federal Reserve and the Federal Open Market Committee (FOMC)
• Relationship between the Federal Reserve and the Repurchase Agreement
• Introduction to the concept of duration and convexity and its impact on a portfolio
• An understanding of active and passive trading strategies

YIELD CURVE ANALYSIS - Syllabus

Course Instructor Information

William Addiss - Instructor at New York Institute of Finance
Areas of Expertise: Fixed Income, Capital Markets, Derivatives, Portfolio Management, and Options Trading.
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Course Description
This course is designed to provide an overview of the treasury yield curves and help you recognize movements in yield curves which cause changes in investor attitude, the relative value of certain products, and the appeal of certain investments over others.

Course Structure
This course is comprised of the following modules:

• Yield Curve Analysis: An Introduction
• Understanding the Federal Reserve
• Demystifying Duration and Convexity

• Investment Strategies

Course Learning Objectives
By the end of this course, participants will be able to:

• Understand the overview of the Treasury Yield Curve and recognize the role it plays as a benchmarking and forecasting tool.
• Identify the terminologies applicable to the Yield Curve and its application.
• Get familiarized with the Federal Reserve and recognize how it controls, owns, and manipulates the short end of the Yield Curve.
• Recognize the role and structure of the Federal Reserve and the Federal Open Market Committee (FOMC).
• Get familiarized with the product called Repurchase Agreement (Repo).
• Recognize the process by which the Federal Reserve facilitates the fine-tuning of cash in the market using Repurchase Agreement (Repo).
• Recognize the concept of duration and convexity and its role in managing interest rate risk on a portfolio.
• Recognize the application of portfolio strategies - active and passive trading strategies.

Course Start Date
Monday - 15th June, 2015

Course Module Details

Module 1: Yield Curve Analysis: An Introduction
Learning Objectives
By the end of this module, participants will be able to:

• Understand the Treasury Yield Curve.
• Identify the factors affecting the Treasury Yield Curve.
• Recognize the dynamic nature of the curve.
• Identify the role of the Yield Curve as a benchmarking and forecasting tool.

Lecture Topics:

• Introduction: Module Overview + Objective
• Interactive Video Lectures
  • The Treasury Yield Curve
  • Factors Affecting the Treasury Yield Curve
  • Dynamic Nature of the Treasury Yield Curve
  • Understanding Quantitative Easing o Role of the Treasury Yield Curve
  • Corporate Spreads
• U.S. Treasury Securities
• Conclusion
• Final Exam
• Supplemental Learning

Module 2: Understanding the Federal Reserve
Learning Objectives
By the end of this module, participants will be able to:

• Recognize the role and structure of the Federal Reserve (FED).
• Recognize the role and structure of the Federal Open Market Committee (FOMC).
• Review interest rate terminologies:
  • FED Fund Rate
  • Discount Rate (Window)
  • London Interbank Offered Rate (LIBOR)
• Identify the economic initiatives undertaken by the FED:
  • Troubled Asset Relief Program (TARP)
  • Quantitative Easing I, II, and III
• Recognize how the FED controls, owns, and manipulates the short end of the Yield Curve.
• Get familiarized with the product called Repurchase Agreement (Repo) and Reverse Repo.
• Recognize the process by which the Federal Reserve facilitates the fine-tuning of cash in the market using Repurchase Agreement (Repo).

Lecture Topics:

• Introduction: Module Overview + Objective
• Interactive Video Lectures
  • Introduction to the FED and FOMC
  • Understand how Fed Intercedes the Market
  • What has the Fed done?
  • Understanding Repurchase Agreements
  • Relationship between the Fed and Repo
  • Wrap Up
• Knowledge Check
• Conclusion
• Final Exam
• Supplemental Learning

Module 3: Demystifying Duration and Convexity
Learning Objectives
By the end of this module, participants will be able to:

• Recognize the concept of duration as a risk measurement tool.
• Identify the factors affecting duration.
• Describe convexity.
• Recognize the impact of duration and convexity to a portfolio.

Lecture Topics:

• Introduction: Module Overview + Objective
• Interactive Video Lectures
  • How to Price a Bond?
  • Introduction to Duration
  • Factors Affecting Interest Rate Risk
  • Definitions of Duration
  • Properties of Duration
  • Exercise
  • Introduction to Convexity
  • Key Points
• Knowledge Check
• Conclusion
• Final Exam
• Supplemental Learning

Module 4: Investment Strategies
Learning Objectives
By the end of this module, participants will be able to:

• Recognize active trading strategies.
• Recognize passive trading strategies.
• Identify the steepening and flattening traits
• Recognize the Barbell Strategy.

Lecture Topics:

• Introduction: Module Overview + Objective
• Interactive Video Lectures
  • Introduction to Trading Strategies
  • Active and Passive Trading Strategies
  • Steepening and Flattening Traits
  • Concept of riding the Yield Curve
  • Barbell Strategy
• Knowledge Check
• Conclusion
• Final Exam
• Supplemental Learning