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Govt. Certified Fixed Income Professional

1. Overview of Fixed Income Markets

1.1 Overview of Debt Contracts
1.2 Players and Their Objectives
1.3 Classification of Debt Securities
1.4 Risk of Debt Securities
1.5 Return-Risk History

2. Price-Yield Conventions

2.1 Concepts of Compounding and Discounting
2.2 Yield to Maturity or Internal Rate of Return
2.3 Prices in Practice
2.4 Prices and Yields of T-Bills
2.5 Prices and Yield of T-Notes and T-Bonds
2.6 Price-Yield Relation Is Convex
2.7 Conventions in Other Markets

3. Federal Reserve(Central Bank) and Fixed Income Markets

3.1 Central Banks
3.2 Monetary Policies
3.3 Fed Funds Rates
3.4 Payments Systems and Conduct of Auctions

4. Organization and Transparency of Fixed Income Markets

4.1 Primary Markets
4.2 Interdealer Brokers
4.3 Secondary Markets
4.4 Evolution of Secondary Markets

5. Financing Debt Securities: Repurchase (Repo) Agreements

5.1 Repo and Reverse Repo Contracts
5.2 Real-Life Features
5.3 Long and Short Positions Using Repo and Reverse Repo
5.4 General Collateral Repo Agreement
5.5 Fails in Repo Market

6. Auctions of treasury Debt Securities

6.1 Benchmark Auctions Schedule
6.2 Conduct of Treasury Auctions
6.3 Auction Theory and Empirical Evidence
6.4 Auction Cycles and Financing Rate

7. Bond Mathematics: DVO1, Duration and Convexity

7.1 DV01/PVBP or Price Risk
7.2 Trading and Hedging
7.3 Convexity
7.4 Effective Duration and Effective Convexity Suggested Reading and References

8. Yield Curve and The Term Structure

8.1 Yield Curve Analysis
8.2 Term Structure
8.3 Forward Rates of Interest
8.4 STRIPS Markets
8.5 Extracting Zeroes in Practice

9. Models of Yield Curve and the Term Structure

9.1 Modeling Mean-Reverting Interest Rates
9.2 Calibration to Market Data
9.3 Interest Rate Derivatives
9.4 A Review of One-Factor Models

10. Modeling Credit Risk and Corporate Debt Securities

10.1 Defaults, Business Cycles, and Recoveries
10.2 Rating Agencies
10.3 Structural Models of Default
10.4 Implementing Structural Models The KMV Approach
10.5 Cost of Financial Distress and Corporate Debt Pricing
10.6 Reduced-Form Models
10.7 Credit Spreads Puzzle

11. Mortgages, Federal Agencies and Agency Debt

11.1 Overview of Mortgage Contracts
11.2 Types of Mortgages
11.3 Mortgage Cash Flows and Yields
11.4 Federal Agencies
11.5 Federal Agency Debt Securities

12. Mortgage-Backed Securities

12.1 Overview of Mortgage-Backed Securities
12.2 Risks: Prepayments
12.3 Factors Affecting prepayments
12.4 Valuation Framework
12.5 Valuation of Pass-Through MBS

13. Inflation-Linked Debt: Treasury Inflation-Protected Securities

13.1 Overview of Inflation-Indexed Debt
13.2 Role of Indexed Debt
13.3 Design of TIPS
13.4 Cash-Flow Structure
13.5 Real Yields Nominal yields, and
13.6 Cash Flows, Prices, Yields and Risks of Tips

14. Derivatives on Overnight Interest Rates

14.1 Overview
14.2 Fed Funds Futures Contracts
14.3 Overnight Index Swaps (OIS)
14.4 Valuation of OIS
14.5 OIS Spreads with Other Money Market Yields

15. Eurodollar Futures Contracts

15.1 Eurodollor Markets and LIBOR
15.2 Eurodollor Future Markets and LIBOR
15.3 Deriving Swap Rates form ED Futures
15.4 Intermarket Spreads
15.5 Options on ED Futures
15.6 Valuation of Caps

16. Interest-Rate Swaps

16.1 Swaps and Swap- Related Products and Terminology
16.2 Valuation of Swaps
16.3 Swap Spreads
16.4 Risk Management
16.5 Swap Bid Rate, Offer Rate, and Bid -Offer Spreads
16.6 Swaptions

17. Treasury Futures Contracts

17.1 Forward Contracts Defined
17.2 Futures Contracts Defined
17.3 Futures Versus Forwards
17.4 Treasury Futures Contracts

18. Credit Default Swaps: Single-Name, Portfolio, and Indexes

18.1 Credit Default Swaps
18.2 Players
18.3 Growth of CDS Market and Evolution
18.4 Restructuring and Deliverables
18.5 Settlement on Credit Events
18.6 Valuation of CDS
18.7 Credit-Linked Notes
18.8 Credit Default Indexes

19. Structured Credit Products: Collateralized Debt Obligations

19.1 Collateralized Debt Obligations
19.2 Analysis of CDO Structure
19.3 Growth of the CDO Market
19.4 Credit Default Indexes (CDX)
19.5 CDX Tranches