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Fixed Income Portfolio Management
 
The Fixed Income Portfolio Management 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.

The course focuses on the mechanics of portfolio construction and analysis across a whole range of instruments, including cash securities, swaps, inflation products, CDS and indices.

These issues are illustrated using examples from a real portfolio risk management system, enabling delegates to see how their actions would impact the business.


By completing the programme you will:
  • Develop a broader understanding of fixed income portfolio management
  • Understand the mechanics of portfolio construction and analysis across a whole range of instruments
  • Be able to demonstrate how to measure performance and attribution
  • Demonstrate an understanding of credit spreads and investment portfolios

Who should attend?

This course is directly relevant to members of the buy side and sell side, which 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 Director

Lindsey Matthews, CFA, is Managing Director, UBS Delta, in Securities Distribution at UBS Investment Bank, London. He is also a Visiting Fellow at the ICMA Centre, University of Reading. Lindsey began his career in interest rate derivatives in 1992, later becoming responsible for building the financial products and markets education team for Swiss Bank Corporation in London. His remit was expanded to cover the education of clients across all asset classes including institutional fund managers, treasurers, sovereign clients and hedge funds.


The course content is divided in to several topic areas, which are then broken down into multiple subtopics:

1. Investing in Fixed Income
  • The Fixed Income universe
  • FI indices
  • Cash, Securities & Derivatives
  • Why Fixed Income?

2. Risk and Return
  • Interest rate risk
  • Expected returns on Fixed Income
  • Managing duration & interest rate risk with Derivative overlays
  • Yield & Spread

3. 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

4. Fixed Income portfolios – Risk Analysis
  • Exposure and sensitivity analysis by country, sector, rating & issuer
  • Spreads risk measures – spread duration, spread deltas & spread DTS
  • Slicing and dicing portfolio risk
  • Concentration risk & default risk
  • Scenario analysis
  • Counterparty risk

5. Credit Spreads and Investment Portfolios
  • Exercise review - credit spreads and investment
  • Credit portfolio construction
  • CDS & CDS indices
  • Convertible bonds
  • Securitised products
  • Leveraged loans

6. Performance Measurement and Attribution for Fixed Income
  • Performance by risk drivers - interest rates, spreads, inflation, carry & FX)
  • Performance by sector, country & rating
  • Daily chain-linked returns
  • Performance relative to benchmark – returns, contributions & attribution







ICE EducationDetails of the next seminars

London

23-24 November 2015

  

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

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

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.


Cost

The cost is £1,250.00 for ICMA Members and £1,650.00 for non-members.

ICMA Executive Education encourages all member and non-member companies to send multiple candidates on our courses, thereby ensuring that a range of individuals benefit from the experience at the same time. As a result, we are happy to offer the following discounts for multiple candidates:

2 to 4 candidates – 5% discount each*
5 to 9 candidates – 10% discount each*
10+ candidates - 15% 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.


The course fee includes all lunches, coffee breaks and training materials.

Payment can be made by secure online credit card or by invoice. Please note that selecting the invoice method will add £50 (administration fee) to the course price. Multiple candidates from the same company can request one invoice, reducing the overall administration fee.


Please note:

The course is a non-residential learning programme, so candidates are responsible for arranging their own travel and accommodation.

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 have any queries about the Fixed Income Portfolio Management course please contact education@icmagroup.org





 

Fixed Income Certficate (FIC)