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.

This course is provided through a partnership between ICE Education and the International Capital Markets Association (ICMA) Executive Education.

Course Information

Price £1,850 + VAT
Duration 2 days
Location London
Available Dates

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.

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

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