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Constructing and Managing a Fixed Income Portfolio
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Constructing and Managing a Fixed Income Portfolio
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    17 – 18 October 2018

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School
    14
    AICB
    CPD HOURS
    10
    SIDC
    CPE POINTS
    Given the complexities, professionals involved in portfolio management of fixed income securities will require a much wider range of skills than others. This programme is designed to assist participants in understanding and developing the theoretical strategies and practical techniques they need to control risk while still achieving a diverse and extremely profitable fixed income portfolio.
    LEARNING LEVEL
    Intermediate
    PROGRAMME FEE*

    AICB / MIBA MEMBER

    MYR

    2,200

    / PAX

    NON-MEMBER

    MYR

    2,500

    / PAX

    *inclusive of GST
    Jointly with:
  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:
    • Know the practical measures of risk and return and how best to apply them 
    • Build and interpret a yield curve that leads to the formulation of a sound strategy
    • Understand the essential practical applications of using credit derivatives
    • Gain a whole array of practical portfolio strategies and risk management techniques to enhance performance
    • Calculate duration and convexity to control portfolio sensitivity and maximise income
    PROGRAMME OUTLINE
    Bond Pricing Review Time Value of Money
    • Estimating bond prices
    • Single cash flows
    • Multiple cash flows
    • Discount rates: IRR, YTM

    Measuring Risk and Return of Fixed Income Securities
    • Money market yields
    • Flat yields
    • Simple yields
    • Redemption yields
    • Spot rates and zero coupon curves
    • Implied forward rates
    • Yield curve relationships
    Exercise: expressing a curve view

    Yield Curve Practicality Risk
    • How the yield curve is constructed
    • Reading the curve and formulating strategy
    • Liquidity preference
    • Market expectation
    Exercise: interpreting the curve

    Products of a fixed income portfolio
    • Treasury bills
    • Plain vanilla/straight bonds
    • Floating rate notes
    • Index linked bonds
    • Convertible bonds
    • Zero coupon bonds and strips
    • Structured notes
    • Asset/Mortgage Backed Securities
    Case Study: structured notes: an investor’s perspective

    Credit Derivatives - Practical Applications
    • Credit Default Swap - CDS
    • Collateralised Debt Obligations - CDOs
    • First to default baskets
    Exercise: risk in CDS

    Portfolio Sensitivity
    • Duration – calculation and interpretation
    • Convexity – calculation and interpretation
    • PV01
    Exercise: calculating hedge ratios

    Practical Portfolio Strategies
    • Buy and hold
    • Bullets and barbells
    • Ladders
    • Immunisation
    • Liability driven investment

    Portfolio Risk Management Techniques
    • Asset allocation
    • Currency overlay
    • Derivatives strategies
    • Asset & liability management
    Case Study: allocation of assets using both the cash and the derivatives markets
  • Methodology
    Lecture, discussions & case studies
  • Participant Profile
    Debt capital market executives, fixed income analysts, risk analysts, bond / fixed income sales executives, junior traders, fund management professionals and anyone wit an interest in acquiring practical skills in managing a fixed income portfolio
  • Trainer

    Wong Loke Lim

    Wong Loke Lim has almost thirty years of banking and finance-related experience. Currently, he is the principal of i-Biz Concept Sdn Bhd, a financial training and management resources provider. He is also a director of a Bursa Malaysia-listed company and sits on the Board of Governors of the Financial Planning Association of Malaysia, where he was the Deputy President from 2011-2013. Previously, he was the Chief Executive/Licensed Representative of a fund management company, a general manager at KAF Investment Bank Berhad and the Group Chief Internal Auditor of a KLSE (now Bursa Malaysia)-listed company. He speaks regularly on topics relating to capital markets, treasury, accounting and wealth management, and has conducted training programmes for capital market professionals, private bankers and wealth managers in various financial centres in the Asia-Pacific region. He is a chartered accountant, a fellow of the Association of Chartered Certified Accountants and a Certified Financial Planner.

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