Giddy: Capital Markets

NIBC Capital
Capital Markets
for Analysts

Prof. Ian Giddy, New York University

About the Course
This 3-day module covers the fixed income markets, including bonds, high-yield and mezzanine instruments, asset-backed securities, CDOs and structured notes, and the derivatives markets related to fixed-income securities.

Topics	Resources
Day 1 Fixed Income The Bond Markets Markets and instruments The structure of rates Interest rate risk and duration Credit risk, ratings and credit spreads Managing a fixed-income portfolio Mezzanine Finance Leveraged finance Senior-sub structure in leveraged finance Second lien notes Mezzanine notes: PIKs, warrants, and other variations Warrantless mezzanine Mezzanine in the CDO market High yield bonds	Presentations nib-bonds.pdf nib-mezzanine.pdf Case studies Tulip Investments Woodstream Jefferson Smurfit Piaggio Le Meridien I Le Meridien II Articles Duration and Convexity Mezzanine Finance 1 & Mezzanine Finance 2
Day 2 Derivatives Options, Forwards, Futures and Swaps Applications of interest rate derivatives Short-term locks: FRAs and forwards Long-term locks: interest rate swaps Pricing FRAs and swaps Puts and calls Caps, floors and collars Swaptions Structured Notes Examples and applications of structured notes Structured notes: fixed income Structured notes: equity-linked Structured notes: credit-linked	Presentations nib-derivatives.pdf nib-structurednotes.pdf Case studies A Day in the Life Guernsey Bavaria Bank Bond Endesa Equity Index Note Nextel Convertible Articles Structured Notes Convertibles
Day 3 Securitization Asset-Backed Securities The securitization process Legal, tax and regulatory issues Ratings and credit enhancement Investor analysis of structures, tranches and spreads CDOs and Credit Derivatives Collateralized debt obligations Cash flow vs market value CDOs True sale vs synthetic ABS Credit default swaps and other credit derivatives Credit linked notes New developments in CDOs Summary and conclusions	Presentations nib-abs.pdf nib-cdo.pdf Case studies Finance Company Ltd Ford Motor Credit Noname Bank Synthetic CLO Articles Introduction to ABS Rating European CDOs Synthetic ABS

About the Instructor
Ian Giddy has taught finance at New York University, Columbia, Wharton, Chicago and in 40+ countries worldwide for the past three decades. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The author of more than fifty articles on international finance, he has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous corporations and financial institutions in the U.S. and abroad. As a banker and consultant he has been involved in the growth of the ABS market in the USA, Europe and Asia. He is the author or co-author of The International Money Market, The Handbook of International Finance, Cases in International Finance, Global Financial Markets, Asset Securitization in Asia and The Hudson River Watertrail Guide.

Organized by the Amsterdam Institute of Finance
www.aif.nl