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.



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

Case studies
Tulip Investments
Jefferson Smurfit
Le Meridien I
Le Meridien II

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

Case studies
A Day in the Life
Bavaria Bank Bond
Equity Index Note
Nextel Convertible

Structured Notes
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

Case studies
Finance Company Ltd
Ford Motor Credit
Noname Bank Synthetic CLO

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.

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Copyright ©2006 Ian Giddy. All rights reserved.