Fixed Income Portfolio Management & Construction - Livestreamed
Live sessions: November 16-17-18 and 23-24-25
16.00-19.00 CET | Time Zone Converter

OVERVIEW
COURSE SYLLABUS
COURSE DETAILS

The Fixed Income Portfolio Management and Construction class introduces the tools and techniques for the management of fixed income portfolios, applying those techniques first to analysing portfolios of real bonds and then to construction and management of portfolios.

It builds on the mechanics of Fixed Income (as found, for example, in ICMA's Fixed Income Certificate (FIC) and applies them in the context of investment portfolios, considering how classic (equity) portfolio theory must be adapted to apply to fixed income and the many issues impacting risk and return of fixed income portfolios.  

These issues are illustrated using examples from a real portfolio risk management system, enabling delegates to analyse their portfolios - including exposure analyses, tracking error and risk reports and attribution of performance vs benchmarks.


Course Outcomes

By completing the course you will be able to:
  • Understand the technicalities of analysing fixed income portfolios
  • Explain the drivers of performance of fixed income portfolios and how they affect investment outcomes
  • Express views on future interest rates and credit spreads by taking positions in fixed income instruments
  • Apply intuition to levels of tracking error utilised by active risk positioning
  • Explain how single name credit is aggregated into aggregate risk distributions for fixed income portfolios
  • Understand the principles of portfolio construction vs benchmarks and vs liability benchmarks
  • Interpret and explain performance attribution for fixed income portfolios
  • Use derivatives in portfolio construction – futures, swaps, swaptions, inflation swaps, single name and index CDS
  • Explain application of ESG factors in fixed income portfolio construction


Who should attend?

The class is aimed at those with exposure to fixed income products who want better understanding of their application in a portfolio management context, including junior PMs / desk assistants, investment specialists, product managers, sales teams, researchers and economists.
Candidates should have basic quantitative skills and understanding of the basic features of fixed income instruments.  See Content tab for areas of the ICMA's FIC that would be useful to know coming in to the class.


Course Trainer

Lindsey Matthews
The syllabus content is divided into several key topic areas:
  • Fixed Income Investment
  • Risk and return on Interest rates
  • Carry as a driver of Performance
  • Risk and return on Credit spreads
  • Fixed Income portfolios – exposure analysis
  • Fixed Income portfolios – volatility and tracking error
  • Portfolio construction exercise
  • Credit risk distributions, aggregation
  • Credit Portfolio
  • Techniques in portfolio construction
  • Tools for controlling rate exposure
  • Tools for controlling spread exposures
  • Tools for controlling currency exposure
  • Managing duration for liability matching
  • Performance measurement and attribution for Fixed Income
  • Ex-post performance & information ratios

Appendix: Pre-requisites (i.e. assume delegates have knowledge of - as taken from ICMA's Fixed Income Certificate or FIC)

1.1.1 Present and future value
1.1.2 Money market instruments
1.1.3 LIBOR and Euribor
1.1.4 Overnight interest rates
1.1.5 Bond prices and accrued interest
1.1.6 Bond price and yield
1.1.7 Zero-coupon yields and discount factors
1.1.8 Par yields and forward rates

1.3.1 Why interest rate risk matters
1.3.2 Basis point value (BPV)
1.3.3 Macaulay duration, modified duration and BPV
1.3.4 Calculating duration from BPV
1.3.5 Limitations of duration-based risk measures
1.3.6 Effective duration and convexity
1.3.7 Key rate duration and risk bucketing


2.2.1 Short-term interest rate futures and implied forward rates
2.2.2 Eurodollar futures contracts
2.2.3 STIR futures and interest rate risk
2.2.4 STIR futures prices and breakeven forward rates
2.2.7 Hedging with STIR futures
2.2.8 Forward rate agreements
         2.3.11 Hedging interest rate risk with bond futures

2.4.1 What is a swap?
2.4.2 Swap cash flows
2.4.3 Interest rate risk in swaps
2.4.5 Swap spreads
2.4.6 Swap quotation
2.4.7 Using swaps: managing interest rate risk
2.4.8 Using swaps: trading views on interest rates
         2.4.13 Swap DV01


3.1.1 Credit risk
3.1.2 Credit spreads


Additional FIC material which we will use in context:


1.1.9 Estimating a benchmark zero-coupon yield curve
         1.1.10 Zero-volatility spreads (Z-spreads) and option-adjusted spreads (OAS)
1.2.4 Analysing yield curve movements
1.4.1 Carry and forward price
1.4.2 Forward breakeven price and yield
1.4.3 Roll-down and calibrating outright trades to the forward curve
1.4.4 Risk-weighted steepening and flattening trades
1.4.6 Curvature trades
1.6.5 Inflation-linked bond markets
1.7.3 Secondary markets

2.4.15 Asset swap margins
2.5.6 Option Greeks
         1. Define and interpret key option price sensitivities or risk measures - delta only
         2. Explain how these option risk measures are affected by changes in the degree of ‘moneyness’ of the option, the time to expiry and the volatility of the underlying asset
2.5.10 Options on interest rates: swaption
2.5.11 Interest rate option trading strategies
2.6.1 Callable bonds
2.6.4 Option-adjusted spreads
2.7.1 Zero-coupon inflation swaps
2.7.5 Trading inflation with zero-coupon inflation swaps

Course Delivery


If you are taking the livestreamed course, you have six months to study the material.

If you’re taking the classroom-based course, the training is delivered on two consecutive days between Monday and Friday.

Livestreamed Course


ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.

The Fixed Income Portfolio Management & Construction live sessions are delivered in six 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of six months. During these six months you will have the option to keep working through the course materials at your own pace.

Live sessions: November 16-17-18 and 23-24-25
16.00-19.00 CET | Time Zone Converter





Livestreamed course fees

ICMA Members: EUR 1,900 + VAT (if applicable)
Non-members: EUR 2,300 + VAT (if applicable)

Costs include full access to the online campus, associated learning materials and the examination fee. Please note that payment must be received before the start of the course.




Contact

Should you have any queries, please contact education@icmagroup.org



Follow ICMA Education:

linkedin
ICMA Zurich

T: +41 44 363 4222
Dreikönigstrasse 8
8002 Zurich
ICMA London

T: +44 20 7213 0310
110 Cannon Street
London EC4N 6EU
ICMA Paris

T: +33 1 70 17 64 72
62 rue la Boétie
75008 Paris
ICMA Hong Kong

T: +852 2531 6592
Unit 3603, Tower 2
Lippo Centre
89 Queensway, Admiralty
Hong Kong
 
Copyright © 2020 International Capital Market Association.