Fixed Income Management

LEVEL: INTERMEDIATE LEVEL

▪	Value a bond and analyse its inherent risk
▪	Analyse the effects of economic information on interest rate markets
▪	Value a credit spread in relation to default risk
▪	Analyse and interpret interest rate market risk premiums
▪	Understand investors’ demands
▪	Develop a management strategy based
▪	on a given scenario

▪	Interest rate markets and instruments - Intermediate
▪	Explanatory elements of risk and interest rate product performance - Intermediate
▪	Effects of economic policy on interest rate markets - Intermediate
▪	Management requirements for interest rate products - Intermediate
▪	Organisational schemes for interest rate management - Intermediate

▪	Exhaustive presentation of the techniques and methods of bond management
▪	Practical analytical exercises on simple and complex instruments
▪	Analyse risk factors and assimilate information in order to develop an adequate investment strategy
▪	Delivered by a seasoned professional capable of imparting the tools needed to perform an analysis within an operational context and develop delegates’ overall comprehension and command of the subject

▪	Bond managers
▪	Credit analysts
▪	Institutional investors
▪	Financial consultants
▪	Economists
▪	Client relationship managers
▪	Investment managers
▪	Company treasurers

Interest Rate Products and Instruments
▪	Treasuries and private issues
▪	Nominal and floating-rate coupons
▪	MBSs & ABSs
▪	Swaps, futures and options on interest rates
Bond Risk and Valuation
▪	Valuation, Yield to maturity and zero-coupon rates
▪	Modified duration and convexity
▪	Shift/twist/butterfly model
▪	Liquidity premium
▪	Practical Workshop . Bond pricing and risk analysis
Economic Analysis and Monetary Policy
▪	Trade balance
▪	Business cycle
▪	Budgetary policy
▪	Monetary policy
▪	Practical Workshop . Influence of the business cycle on markets
Yield Curve Analysis
▪	Construct a spot yield curve
▪	Construct a forward yield curve
▪	Construct the implied inflation curve
▪	Analyze investors’ preferred habitats
▪	Practical Workshop . Analyse a yield curve and apply it to swap pricing
Credit Spread Analysis
▪	Assessing default risk and recovery ratios
▪	Transition matrices
▪	Credit derivatives, CDS
▪	CDO and structured finance
▪	Practical Workshop . Valuation of a CDS
Risk Premium and Diversification
▪	Duration and extension risk
▪	Volatility risk
▪	Credit, liquidity, complexity risks
▪	Currencies: carry, value, momentum,…
▪	Practical Workshop . Analysis of a callable bond
Fixed income portfolio management
▪	Bond indices
▪	Investment processes and forms of organisation
▪	Investor’s evolving demand
▪	Fixed income performance analysis
▪	Practical Workshop: . Develop an asset allocation based on a given scenario
Money market management
▪	Performance benchmarks
▪	NAV accounting issues
▪	Sources of added value
▪	Practical Workshop . Construct an enhanced money market fund using risk premium