Upon completion of this program, participants will be able to:

• Analyze the characteristics, valuation, and yield metrics for various fixed income securities.
• Calculate and interpret measures of interest rate risk, including **Modified Duration** and **Convexity**.
• Evaluate the credit risk of sovereign, agency, and supranational issuers relevant to reserve portfolios.
• Describe the operational mechanics and risk management of **Repurchase Agreements (Repos)** and reverse repos.
• Understand the use of interest rate derivatives (e.g., futures, swaps) for hedging and tactical positioning.
• Apply policy guidelines for eligible collateral, haircuts, and counterparty limits.
• Assess the impact of central bank policies (e.g., QE) on bond market liquidity and valuation.
• Formulate a fixed income portfolio strategy that balances safety, liquidity, and return objectives.

• Central Bank Fixed Income Portfolio Managers and Traders
• Middle Office Risk Management and Valuation Specialists
• Commercial Bank Treasury and Fixed Income Strategists
• Securities Operations and Collateral Management Professionals
• Academics and Consultants specializing in Bond Market Analysis
• Internal Audit specializing in Investment Risk

Duration and convexity calculation exercises, Fixed income trading desk simulation, Group project on credit risk assessment for a sovereign issuer, Workshops on repo transaction mechanics, Technical deep dives into yield curve analysis, Discussions on hedging strategies using derivatives.

Unit 1: Fixed Income Valuation and Risk Measurement

• Pricing fixed-rate, floating-rate, and zero-coupon bonds.
• Key yield metrics: Yield-to-Maturity (YTM), current yield, and their interpretation.
• The concept of the term structure of interest rates and curve fitting.
• Valuation adjustments for illiquidity and embedded options.

• Calculation and interpretation of **Modified Duration** as the primary measure of interest rate sensitivity.
• The concept of **Convexity** and its importance in large rate movements.
• Immunization techniques and duration-matching strategies for risk control.
• Analyzing parallel shifts, twists, and butterfly movements in the yield curve.

Unit 2: Credit Risk and Eligible Instruments

• Credit risk analysis for sovereign and quasi-sovereign issuers (e.g., Treasury, Agency bonds).
• Evaluation of the creditworthiness of Supranational Organizations (e.g., World Bank, EIB).
• Policy on credit rating eligibility, monitoring, and downgrade risk.
• The role of credit derivatives (e.g., CDS) as risk indicators.

• Securities: Government bonds, Treasury bills, Certificates of Deposit (CDs), and Commercial Paper (CP).
• The use of covered bonds and other highly-rated structured products.
• Policy for managing foreign currency debt and its associated risks.
• The central bank's eligibility rules for collateral in its own operations.

Unit 3: Trading, Hedging, and Operations

• Using **Repurchase Agreements (Repos)** for short-term funding and liquidity management.
• The use of interest rate futures for quick, low-cost tactical duration adjustments.
• Interest rate swaps for hedging or asset transformation.
• Risk management for derivatives (e.g., margin calls, counterparty exposure).

• Trade execution best practices and minimizing market impact.
• Middle office functions: performance attribution and risk reporting.
• Back office settlement, confirmation, and reconciliation procedures.
• The role of the custodian in safekeeping and asset servicing.

Unit 4: Policy and Market Dynamics

• Analyzing the impact of Quantitative Easing (QE) and central bank bond purchases on market liquidity and yields.
• The challenge of negative interest rates on fixed income portfolio strategy.
• Managing the liquidity-return trade-off in the fixed income portfolio.
• Policy on non-traditional fixed income assets (e.g., inflation-linked bonds, corporate bonds).