FI7 Fixed Income Capstone

A Treasury bill, a government bond and a corporate bond trade together.

Objective

Trade all three, taking rate risk and credit risk together. Assessed on profit and loss, with closing positions valued at the final value.

What it shows

• Term structure and credit in one market: maturity and default risk at once.
• Which of the two risks a position is really exposed to.
• The fixed-income track closed out in one session.

Watch out for

• A position that is a rate bet in disguise.
• A credit view expressed through the longest bond, which adds rate risk.
• Three books with different speeds, so the quietest goes unwatched.

Who takes part

• Trader — every student. Trades BILL, a Treasury bill, GOVT, a government bond, and CORP, a corporate bond.

Class size

Ten to forty students in one role. Runs as the last case of the fixed-income track, with a class that has seen the others.