Fixed Income and Debt

Fixed Income - Part 12


This eCourse consists of three modules. Module 1 looks at the key sources of risk and return in bond markets and the key investment and trading strategies used with these instruments.

Module 2 looks at the business of running a dealer-firm trading book, with a particular focus on the business of providing bond market liquidity to institutional investors as either a licensed or an “ad hoc” dealer firm. The use of repos/reverses, stack and stack hedging, and P&L calculations are all covered in detail.

Module 3 defines RV trading and differentiates it from arbitrage and directional trading. This module also takes a detailed look at the methods used to identify RV trade opportunities and the instruments employed by the RV trader.


On completion of this course, you will be able to:
- Identify the key sources of risk in fixed income markets, including inflation, discounting, credit spread, liquidity, and currency movements, and strategies for managing such uncertainty
- Recall the different investment styles in fixed income portfolio management, as well as the importance of portfolio diversification
- Recognise key bond trading strategies such as directional plays, curve trading, and credit spread trading
- Recognise the role of repos and reverse in fixed income book management and the importance of portfolio rate sensitivity
- Recall how risk can be mitigated using strip and stack hedging
- Identify the key methods used in credit spread trading and pricing analytics
- Recognise the importance of profit and loss (P&L) calculations and how realized and unrealized P&L is determined
- Define a relative value (RV) trade and differentiate it from arbitrage and directional trades
- Identify the methods used to identify RV trading opportunities and the instruments used by RV trader
- Recognise the role of yield curve analysis in RV trading


Module 1: Fixed Income Strategies - An Introduction
Topic 1: Risk in Bond Markets
Topic 2: Bond Investing & Trading

Module 2: Fixed Income Strategies - Running a Book
Topic 1: Book Management & Sensitivities
Topic 2: Hedging
Topic 3: Credit Spread Trading & Pricing Analytics
Topic 4: P&L Management

Module 3: Relative Value Trading
Topic 1: Overview of Relative Value Trading
Topic 2: Relative Value Trading & Yield Curve Analysis


Relevant Subject
Type 1 - Dealing in securities
Type 4 - Advising on securities
Type 9 - Asset management
SFC:2.00, PWMA:2.00
All Member: HK$610
Staff of Corporate Member: HK$610
Non-Member: HK$890