Bonds and Fixed Income Workshop Series
14 to 16 September 2020
Trainer : Mr. Tariq Dennison
Eligible for FTS (from IBF)
This workshop is eligible for 7 CE and CPD hours per day per module
This course is a modular 3-day introduction to how trade bonds, evaluate interest rate and credit risk, and how to build and manage a profitable bond portfolio.
Day 1 begins with the basics of how bonds are quoted and traded, and the use of yield curve models.
Day 2 introduces how to put bonds together into managed portfolios, how to hedge using futures and swaps (including cross-currency), and the basics of fixed income risk management.
Day 3 focuses on Credit Risk, Options, Yield Enhancement and other advanced topics in fixed income, using examples from different fixed income funds. Participants will learn more on the calculation and application of concepts through real examples.
14 September 2020, Monday (Module 1)
Fundamentals of Bonds, Yield Curves & Interest Rate Risk
FTS Programme code : P190621IAZ
- Understand how bonds are quoted, traded, and financed via repurchase agreements (repos)
- Master the bond math of duration, PV, FV and curve construction
- Fit the yield curve to infer future central bank moves and identify steep/flat/rich/cheap points
- Apply principle component analysis to understanding different yield curve shifts
Course Outline / Modules:
1. Simulation of bond trading, P&L, and repo
2. A classic asset liability management (ALM) problem: Duration matching, DV01 via tenor/allocation/leverage
3. The "rolling down the curve" bond investing strategy
4. Bootstrapping: Calculating today's price of any future cash flow
5. A simple model for fitting yield curves and forecasting interest rates
6. Introduction to principle component analysis (PCA) - a powerful tool for understanding how yield curves actually move
15 September 2020, Tuesday (Module 2)
Portfolio Optimization, Futures, Swaps and Risk Management
FTS Programme code : P190621PFP
- Calculate the total return, volatility, Sharpe ratio, and other metrics of a bond portfolio
- Optimize a fixed income portfolio using mean-variance and alternate techniques
- Use futures and swaps to hedge or access specific types of fixed income exposure, with one cross-currency example
- Apply the basics of risk management to a fixed income portfolio
Course Outline / Modules:
1. Calculation of total return vs. other measures of return, and how to calculate different measures of risk
2. Mean-variance optimization - how to maximize expected returns and minimize risk
3. Basics of fixed income futures and swaps and how to use them for hedging and yield enhancement
4. Basics of risk management including VaR and other risk measures, and how risk models fail.
5. Review of sample portfolios and historical examples
16 September 2020, Wednesday (Module 3)
Credit Risk and Options in Investment Grade and High Yield Bonds
FTS Programme code : P190621JOT
- Understand different types of options found in fixed income markets and the basics of how they are priced
- Understand credit spreads, the risk they imply, and measures of return premium from investing in credit
- Apply the concepts learned in the course to real examples found in fixed income markets
Course Outline / Modules:
1. Basics of options, convertible bonds and option pricing, important differences between equity options and the simplest FI options
2. More options found only mostly in Fixed Income – "Bermudan" callables, Swaptions, Caps and Floors
3. Credit spreads - benchmark, asset swaps, credit default swaps, and implied default probabilities
4. Basics of capital structure arbitrage, and structured credit trades
5. Recap using sample fixed income situations and different examples of bond funds
CFA Society Singapore member price : S$880* (Early Bird fee) / S$1,080* (Standard fee)
Non-member price : S$1,080* (Early Bird fee) / S$1,280* (Standard fee)
Early bird fee valid till 21 August 2020
* Prices before 7% GST
* 10% off for signup of 2 or more modules per delegate
TERMS AND CONDITIONS
•Registration will only be confirmed upon receipt of the registration form and full payment.
•No cash payment will be accepted for on-site registration.
•If any registered participant is unable to attend, a replacement is welcome, but a top-up may apply depending on the
membership category of the replacement participant. However, no refund would be made.
•CFA Society Singapore reserves the right to:
* cancel, postpone or make any changes to the terms of the event at its sole discretion without giving any prior notice;
* reject any registrations;
* collect payment shortfall in accordance to the actual membership status of participants.
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(1) for purposes related to the administration of the registration for the above event;
(2) to send me updates informing me / us of events and activities organized by CFA Society Singapore.
*I understand that my personal data will be used and retained in accordance with the CFA Society Singapore Personal Data Policy available at www.cfasingapore.org
*Kinldy note that photographs and video may be taken during the event for use on our website, newsletter, social media, publicity and other related purposes by CFA Society Singapore.
GLOBAL PASSPORT PROGRAMME
The Global Passport Program allows members of participating CFA societies to attend each other's society events at the local member price