Fixed Income Securities

Explore seven fixed income issuers, from sovereign and agency debt to municipal, mortgage-backed, corporate, China bonds, syndicated loans, and collateralized loan obligations, with real-world examples and key metrics.

Explore the U.S. Treasury market, the government's risk-free debt, covering bills, notes, bonds, and tips, and how auctions, primary dealers, and the Fed shape its size and liquidity.

Summarizes the US Treasury market as of August 2022, detailing outstanding totals, China’s holdings trends amid tensions, and the Fed’s holdings trajectory.

Learn how the uniform price auction for U.S. Treasury securities works, with a mathematical illustration of primary auctions and the allocation of competitive and noncompetitive bids to a uniform yield.

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.

Explore the March 2020 stress in the U.S. Treasury market, where heavy selling and margin calls spiked yields despite liquidity, and the Fed intervened with QE for Treasuries and MBS.

Explore how treasury inflation-protected securities shield purchasing power by adjusting principal with the CPI, how to read tips yields, and how real and nominal yields reveal inflation expectations.

Explains UK inflation linked gilts, contrasts RPI and CPI, and outlines 2019–2020 reforms and the 2030 transition reducing linkers' cash flows, impacting pension funds' hedges.

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.

Understand municipal bonds, a tax-advantaged segment of fixed income; compare general obligation and revenue bonds, and learn to convert tax-exempt yields to equivalent taxable yields using the marginal tax rate.

Explore the mortgage backed securities market, covering agency and non-agency residential securities and collateralized mortgage obligations, prepayment optionality, and market size and international ownership.

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 the rapid growth of the China bond market, the second largest globally, as onshore government bonds enter major indexes, boosting foreign access, yields, and diversification.

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.

This update recalculates the price of a 2026 Citigroup bond using current yields, showing roughly 978, and notes that holding to maturity returns par while selling early can incur losses.

Explain how to price bonds between coupon dates using dirty price, clean price, accrued interest, and day count conventions such as actual/actual and 360.

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.

Explore how the yield to maturity assumption that coupons are reinvested at the same rate drives return, and how longer tenure, higher coupons, and lower reinvestment rates raise reinvestment risk.

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.

Quantify and manage interest rate risk by revaluing the present value of bond cash flows under new rates using the full valuation approach, including parallel and non-parallel changes.

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 benchmark interest rates, risk premium, and the yield curve, with focus on spot rates, bootstrapping spa rates, and forward rates, using U.S. Treasuries as benchmark anchors.

Bootstrapping builds a zero coupon yield curve from coupon bond prices to determine spa rates across maturities. Use period spot rates to discount cash flows and price bonds.

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.