Fixed Income Portfolio Management

Course OverviewThe 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

internationally recognised qualifications for the

financial market

Fixed Income Portfolio Management

Fixed Income Portfolio Management

internationally recognised qualifications for the

financial market

Course ContentThe course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Investing in Fixed Income• TheFixedIncomeuniverse• FIindices• Cash,Securities&Derivatives• WhyFixedIncome?

2. Risk and Return• Interestraterisk• ExpectedreturnsonFixedIncome• Managingduration&interestrateriskwith

Derivativeoverlays• Yield&Spread

3. Managing Duration for Liability Matching• Interestrateriskonliabilities• Inflationriskonliabilities• Asset-liabilitymanagement• Liabilityimmunisedactivemanagement• Hedgingstrategiesand“de-risking”–swaps,

swaptionsandotherstrategies

4. Fixed Income portfolios – Risk Analysis• Exposureandsensitivityanalysisbycountry,sector,

rating&issuer• Spreadsriskmeasures–spreadduration,spread

deltas&spreadDTS• Slicinganddicingportfoliorisk• Concentrationrisk&defaultrisk• Scenarioanalysis• Counterpartyrisk

5. Credit Spreads and Investment Portfolios• Exercisereview-creditspreadsandinvestment• Creditportfolioconstruction• CDS&CDSindices• Convertiblebonds• Securitisedproducts• Leveragedloans

6. Performance Measurement and Attribution for Fixed Income

• Performancebyriskdrivers-interestrates,spreads,inflation,carry&FX)

• Performancebysector,country&rating• Dailychain-linkedreturns• Performancerelativetobenchmark–returns,

contributions&attribution

Course FormatTheFixedIncomePortfolioManagementcourseisatwodayclassroom-basedprogramme,takingplaceinLondonthroughouttheyear.Thisisanon-examinedcoursebutdelegateswillreceiveacertificateofattendance,issuedjointlybyICMAandHenleyBusinessSchool,UniversityofReading.

Target AudienceThiscourseisdirectlyrelevanttomembersofthebuysideandsellside,thatdealwithportfoliomanagersandwanttounderstandtheirclients’businessinmoredetail.Itisalsovaluableforthosewhoareinaregulatoryoroversightfunctioninthemarket.

Course DirectorLindseyMatthews,CFA,isManagingDirector,UBSDelta,inSecuritiesDistributionatUBSInvestmentBank,London.HeisalsoaVisitingFellowattheICMACentre,UniversityofReading.Lindseybeganhiscareerininterestratederivativesin1992,laterbecomingresponsibleforbuildingthefinancialproductsandmarketseducationteamforSwissBankCorporationinLondon.Hisremitwasexpandedtocovertheeducationofclientsacrossallassetclassesincludinginstitutionalfundmanagers,treasurers,sovereignclientsandhedgefunds.

ICMA Executive EducationFormanyyearsICMAExecutiveEducationhasbeenregardedasthebenchmarkintrainingforboththefrontofficeandoperationsareasofbusiness.Ourcoursesareinternationallyrecognisedandarerequiredtrainingbymanyofourmemberfirms.ICMAExecutiveEducationisuniqueinthatICMAandtheICMACentre,HenleyBusinessSchool,UniversityofReadingworktogethertodelivertrainingcourses,taughtbycurrentandformerfinancialmarketspractitionerswhichblendpracticalandacademicknow-how,sothatcandidateshaveathoroughunderstandingofthetopicsbeingdiscussed.

FiveCertificateProgrammesareoffered:

• Financial Markets Foundation Course (FMFC)

• Securities Operations Foundation Course (SOFC)

• Fixed Income Certificate (FIC)

• Operations Certificate Programme (OCP)

• Primary Market Certificate (PMC)

Allarerecognisedascertificatesofcompetenceinthecapitalmarketsandaresuccessfullycompletedbylargenumbersofinternationalparticipantseachyear.Inadditiontoourcertificateprogrammes,wealsoofferaselectionofspecialistcoursesthroughouttheyear.Theseprogrammesaresingletopicsubjects,coveredwithinourintermediatecourses,butinmuchmoredepth. Thecoursesarefocussedandprovideanopportunitytonetworkanddiscusstheissuesaffectingthefinancialmarketswithyourindustrypeers.

ICMAExecutiveEducationisabletoprovideanyofourpubliccoursesonanin-housebasisifrequired,ifanorganisationwishesanumberofdelegatestoattendaspecificcourse.

ICMA CentreTheICMACentre,UniversityofReadinghasaninternationalreputationforprovidingqualityteachingprogrammestailoredtothecapitalmarketsindustry.Establishedin1991withfundingprovidedbytheInternationalCapitalMarketAssociation(ICMA),theCentreishousedinapurpose-builtmodernistbuildingwithstate-of-the-artfacilitiesincludingtwodealingrooms.In2008,ICMAenabledanexpansiontothebuildingthatnowincludesanadditional50seatdealingroom,170seatlecturetheatreaswellasnewseminarroomsandadedicatedresearcharea.

The International Capital Market AssociationTheInternationalCapitalMarketAssociationisthetradeassociationrepresentingconstituentsandpractitionersintheinternationalcapitalmarketworldwide.ICMA’smembersarelocatedinover50countriesacrosstheglobe,includingalltheworld’smainfinancialcentres,andcurrentlynumberinexcessof470firms.ICMAperformsacrucialcentralroleinthemarketbyprovidingandenforcingaself-regulatorycodeofindustry-drivenrulesandrecommendationswhichregulateissuance,tradingandsettlementintheinternationalfixedincomeandrelatedinstruments.

Further Information And Course RegistrationForfurtherinformationandtoregisterforany ofourcourses,pleasevisit: www.icmagroup.org/education orcontactusat:education@icmagroup.org

International Capital Market Association Limited23CollegeHill,LondonEC4R2RPUnitedKingdomTel:+44(0)2072130310Fax:+44(0)2072130311Email:education@icmagroup.orgwww.icmagroup.org

ICMAandtheUniversityofReadingworktogetheras“ICMAExecutiveEducation”underanoperatingagreement.Coveringtechnicalproduct/marketsandoperations,theprofessionalqualificationsandtrainingprogrammesaredeliveredinmajorfinancialcentresaimedatmarketpractitionersinthefinancialmarkets.