Fixed Income Derivatives

This interactive one-day course describes how various asset managers apply derivatives. Based on their objectives, portfolio managers will use derivatives to hedge, speculate, increase return, or arbitrage. Although the main focus will be on mutual funds, other asset managers such as insurance companies, pension funds, and hedge funds will also be evaluated. Annual reports and prospectuses will be used to determine portfolio objectives and derivative applications in a case study format.

Course Objectives

By the end of the course, participants will be able to:

• Analyze futures, swaps and cash to create passive index strategies
• Demonstrate how to alter asset allocation using a variety of derivatives
• Analyze credit default swaps and their application in fixed income portfolio management
• Discuss foreign exchange forwards and their application in foreign funds
• Analyze hedging mortgage backed securities using interest rate swaps and swaptions
• Illustrate how equity dividend swaps are used
• Evaluate portable alpha

Suggested Prerequisites:

• Derivatives
• Portfolio Management
• Fundamentals of the Capital Markets / Securities Industry or their equivalents

Program Level: Intermediate

Advance Preparation: None

Computers and Financial Calculators: Calculators

Recommended CPE Credits: 7