Fixed Income

HUJI, Fall-06

Zvi Wiener tel: 02-588-3049 office 5107

mswiener@mscc.huji.ac.il

Syllabus, textbook, PRMIA, TASE, Israeli bonds, LIBORS, Public Debt USA, Debt Management MOF, GEMEL-NET MOF
23-Oct-06 Introduction to the course, FF1 Introduction, Bonds Worldwide
30-Oct-06 FF2 Pricing, FF3 Measuring Yield, ADR, MIZRAHI 691 (Teva), MIZRAHI 690
06-Nov-06 FF4 Bond Price Volatility, Israel Bonds, TASHKIFIM, NIS futures and options at CME
13-Nov-06 Floaters and Inverse Floaters, FF5 Term Structure
20-Nov-06 FF6 Treasury and Agency, FED99, BIS00, Treasury Auctions changes
27-Nov-06 FF7 Corporate Debt, FF9 Non-US Bonds, EMTN example, Moody's Rating Methods, ML Rating Guide, Nera Credit Ratings
04-Dec-06 FF15 CDO, MIDROOG Credit Risk, MAALOT, Moody's
11-Dec-06 FF16 Embedded Options, Introduction to securitization, Cash and Synthetic, Arbitrage CDO by ML, Fitch, Barclays, GS CDO, CDO Clal
25-Dec-06 FF18 Convertibles, TASE futures, Repos
01-Jan-07 $1T bet
08-Jan-07 FF19 Active bond management
15-Jan-07 Swaps, Introduction to swap market, Credit Derivatives
22-Jan-07 Presentations
19-Feb-07 Review of the course, r. 2113, 15:00-16:00
21-Feb-07 exam! r. 2204, 15:30-17:30, you can see your exam on 07-Mar-07 at 16:30, r. 5107
14-Mar-07 exam MOED BET! HEDER ISKAOT, 14:00-16:00
Book chapters in Hebrew: Introduction, Bonds, Forwards Futures 1, Forwards Futures 2
Grades and HW: HW1-Ch2, HW2-Ch3, HW3-Ch4, HW4-Ch5, HW5-Ch6, HW6-Ch16, HW7-Ch15, HW-Ch18-19, recommended HW Ch2-15, recommended HW Ch16-18-25
Examples: Callable step-up, Inverse Floater, Amdocs CLN, EUR accumulator in USD, RC TEVA, Third to default, SHAHARIT
Materials: Birth of Market Capitalism, Credit Derivatives paper, ING - Real Estate, BIS on Derivatives
Additional Textbook Chapters: FF10 Mortgages, FF11 MBS, FF12 CMO, FF13 CMBS, FF14 ABS, FF15 CDO, FF20 Indexing, FF21 ALM, FF23 Futures, FF24 Interest Rate Options
Projects: Global Bond Issue, Municipal Bonds, MILVE HOVA, Ladder, Russian Bonds, Islamic Bonds, 2 structures by Leumi, Structure on SX5E, earmarked bonds, primary dealers, structured finance

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