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Fixed Income Portfolio Management
 
Attending the course will help you:
  • Consider the mechanics of portfolio construction and analysis across a whole range of instruments
  • Understand portfolio construction using examples from a real portfolio risk management system
  • Look at investing in Fixed Income

Course background

The course provides an introduction to the management of fixed income portfolios.  Starting with an overview of why and how investors allocate money to fixed income, it then delves more deeply into the many issues impacting risk and return.


Who should attend?

This course is directly relevant to members of the buy side and, potentially, to those on the sell side, that deal with portfolio managers and want to understand their clients' business in more detail.  It is also valuable for those who are in a regulatory or oversight function in the market.  The course assumes a basic knowledge of financial instruments and quantitative methods.



Course Tutor

Lindsey Matthews

Lindsey Matthews, CFA, is Managing Director, UBS Delta, in Securities Distribution at UBS Investment Bank, London and was until 2010 Group Head of Risk Education at UBS AG. He is also a Visiting Fellow at the ICMA Centre. Lindsey started out in the interest rate derivatives business in 1992 in London and New York and later moved to build up the financial products and markets education team for Swiss Bank Corporation in London, expanding the remit to cover the education of clients (institutional fund managers, treasurers, sovereign clients and hedge fund clients), across all asset classes.







Course Outline
Session 1 Contents
Investing in Fixed Income • Fixed income universe
• FI indices
• Cash, securities & derivatives
Liquidity of securities
• Why fixed income?
Risk-return positioning
Liabilities - MFR, LDI, ALM, de-risking,
Solvency rules
Session 2 Contents
Risk and return I • Interest rate risk
Zero coupon bonds vs Fixed rate coupon
bonds vs floating-rate notes
Price sensitivity and duration
Duration and convexity
• Expected returns on Fixed income
Managing duration exposure
Forward yield, roll-down return
and expected returns
Session 3 Contents
Risk and return II • Managing Duration / interest rate risk with derivative overlays
Interest rate swaps, interest rate futures,
bond futures
• Credit product introduction Yield & Spread
Types of credit spread - Govt spread vs ASM vs z-spread
Credit spreads and expected returns
Session 4 Contents
Managing Duration for liability matching • Interest rate risk on liabilities
• Inflation risk on liabilities
• Asset-liability management
• Liability immunised active management
• Hedging strategies and “de-risking” –
swaps, swaptions and other strategies
Session 5 Contents
Fixed Income portfolios – risk analysis • Exposure and sensitivity analysis - by country, sector, rating, issuer
• Spreads risk measures – spread duration,
spread deltas, spread DTS
• Portfolio risk - volatility; tracking error
• Slicing and dicing portfolio risk
• Concentration risk / default risk
• Scenario analysis
• Counterparty risk
Session 6 Contents
Credit spreads and investment portfolios • Exercise review: credit spreads and investment
• Credit portfolio construction and portfolio
construction
Session 7 Contents
Credit spreads and investment portfolios • Additional credit products
• CDS, CDS indices
• Convertible bonds
• Securitised products
• Leveraged loans
Session 8 Contents
Performance measurement and attribution for Fixed Income • Performance by risk drivers (interest rates,
spreads, inflation, carry, fx)
• Performance by sector, country, rating etc.
• Daily chain-linked returns
• Performance relative to benchmark – returns,
contributions, attribution





ICE EducationDetails of the next seminar

London

TBC

ICE Education
5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA
United Kingdom

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.

Please email education@icmagroup.org to register your interest to attend our next publicly scheduled course.


Costs

The publicly scheduled course cost will be £1,250.00 for ICMA Members and £1,650.00 for non-members.

The following discount scale is offered:
2-4 candidates – 5% discount each*
5+ candidates – 10% discount each*

*Please note that discounts are applied by way of a refund to the organisation when registration has closed and the final number of candidates from the firm has been determined.

Course materials will be provided to candidates in electronic format prior to the start of programme. Please ensure that you have access to this document during the course by either printing off a copy or by downloading it on your laptop, iPad or Tablet.

Should you require a hard copy of the course materials, there is a charge for printing off and sending the course materials to the training venue.  Please contact education@icmagroup.org a minimum of two weeks before the course start date for further details on this.


Payment can be made by secure online credit card or by invoice. Please note that the BACS invoice method has an additional £50 admin fee.


Note that anyone requiring accommodation to take the course will be required to arrange this on their own; it is a class-based but non-residential course.


For more information

This course is also available on a group booking basis.

Should you have any queries about this seminar please contact David Senior on +44 20 7213 0329 or at education@icmagroup.org





 
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