Fixed Income Securities

Explore how the 10 year U.S. Treasury note shapes financial markets, influencing mortgage and corporate bond pricing, and reflect on its move from 5.25% in 2006 to 0.5% in 2020.

Explain how U.S. Treasury ETFs give retail investors exposure to duration through a one-to-three-year focus, using the iShares one-to-three-year Treasury ETF as a case study.

Explore agency bonds issued by GSEs such as Fannie Mae, Freddie Mac, and Ginnie Mae, noting no full faith and credit backing but implicit government support and interest tax treatment.

Explore the corporate bond market, its global size, issuer types, trends in investment-grade and high-yield issuance, longer maturities, and the rise of passive investing with ETFs like LAPD and H.I.G.

Explore syndicated bank loans, including underwritten, best effort, and club deals, and learn the syndication process, leveraged loans, and collateralized loan obligations.

Explore the six key fixed income risks—interest rate risk, reinvestment rate risk, credit risk, liquidity risk, call and prepayment risk, and event risk—and how they affect cash flows and returns.

Learn bond pricing through present value of cash flows, dirty and clean prices, and day-count conventions, then cover yields from current yield to yield to maturity and yield to call.

Learn how to price bonds by calculating the present value of future cash flows, using semiannual coupons and yield to maturity, with Excel PV tutorials and real-world examples.

Explore the inverse relationship between bond prices and yields with numerical and graphical explanations, and see how falling rates fueled a multi-decade fixed income bull run.

Review bond pricing by valuing cash flows at the yield, distinguishing dirty price from clean price, and noting day count conventions and yield to maturity.

Explore duration as a measure of interest rate risk for fixed income securities, showing how price sensitivity to yield changes is approximated and contrasted with full valuation and convex path.

Explore convexity as the measure that improves duration estimates by accounting for price sensitivity to yield changes, and apply the convexity adjustment to refine bond price forecasts.

Master duration and convexity to measure bond sensitivity to interest rate changes, using full valuation and the duration-convexity approach, with Macaulay and effective duration where relevant.

Explore how the structure of interest rates shapes fixed income pricing, from the risk premium over treasuries to the yield curve. Build spot-rate curves via bootstrapping and estimate forward rates.