This course covers valuation, pricing and forecasting of fixed income instruments and portfolios. We will look at these markets from a "top-down" perspective, by computing the expected returns of fixed income asset classes and strategies. We will look at the same markets from a "bottom-up" perspective, by describing and pricing the most important fixed income cash and derivative instruments. Taking a course on Fixed Income is a good choice no matter what your core specialization. • For the Finance students, this course will introduce you to the most important fixed income career opportunities. Fixed income is a specialist market, with a number of niches and domains across instruments, strategies, and functions across the value chain of asset managers, corporate issuers, investment banks and rating/regulatory agencies. • Fixed income securities are the DNA of banks. For the students specialized in Banking and Financial Intermediation, this course will improve your understanding, at a very granular and elementary level, of bank credit portfolios and funding strategies, leverage and ALM and risk management. • For the students specializing in Economics, this course will help you explore the link between macroeconomics (monetary policy and public debt management) and the fixed income markets. This will help you bridge the macro people and finance people, which are usually quite siloed. The instructor has business experience in many of these areas. He is currently part of the Research Team of Generali Investments, the leading fixed income asset manager in Italy. Up to six guest lectures complement the instructor and give a broader perspective. as well as different viewpoints on the asset class.

• Knowledge and understanding: Learning about sources of expected returns and how to implement them by appropriate portfolio construction. Understanding the relationship between finance and macro. • Applying knowledge and understanding: Most professional knowledge and understanding comes from Team based learning by doing. This is the goal of the group work. We implement most concepts into liquid bond portfolios and look at how exogenous/forecasted variables impact portfolio performance. • Making judgements: The course is based on independent judgement and forecasting. Learn to mix theory and data in approaching problems. Premium to thinking and problem solving rather than content memorization. • Communications Skills: Group work to be presented via video. Content in PPT and Excel. • Learning skills: Learning by doing approach. Navigating different level of knowledge: a) from individual securities, to portfolios to macro drivers of portfolio performance b) Multi dimensional approach to measuring expected returns (Illmanen’s cube).

The course is divided into four main parts. I will cover the first three parts, whereas the last part will be mostly covered by guest lectures. • The first part of the course (four weeks) covers the study of the shape of the Yield Curve and Bond Risk Premia in treasury market. After reviewing basic fixed income concepts, we look at the relation between rate expectations, bond risk premia, convexity and the shape of the Yield curve. We also discuss active management of treasuries, which is the backbone for the group work assignment. We also cover the most important fixed income instruments such as zero coupon bonds, strips, repos, swaps and bond and money market future. • The second part (two weeks) covers the determinants of Credit Risk Premia in sovereign and non-sovereign markets, active management of credit risk and debt restructuring, with a main focus on sovereign debt). . • The third part of the course (one week) covers fixed income strategies. • The fourth part of the course (four weeks) covers special topics presented by myself and by a number of guests from MEF, Bank of Italy, Generali Investments and AcomeA. All guest speakers are confirmed but the dates are tentative. Many of these guests already lectured in previous versions of this course.

The course textbooks are: • A. Ilmanen (2011) “Expected Returns: An Investor's Guide to Harvesting Market Rewards (ER) by Antti Ilmanen, John Wiley and Sons, 2011. • B. Tuckman and A.Serrat (2011) “Fixed Income Securities. Tools for Today’s Markets”, Third Edition, 2011, Wiley Finance (FIS) • A. Ilmanen, Liquid Asset Class Premia, Chapter 4 of "Investing amid low Expected Returns", Wiley 2022. All the Teaching Materials are available on this Course website (password protected). Non registered students and other people willing to access the material can send me an e-mail explaining why they need access). I will send the materials at your e-mail in advance of each class. Office Hours: By appointment. My email is hal2001y@gmail.com. You can contact me on the dedicated Whastapp Luiss Fixed Income Group

Lectures and presentations on relevant empirical issues. Excel spreadsheets covering valuation of fixed income securities discussed in class. Guest presentations. See the Topics classes. Guests will come from MEF, Bank of Italy, General Investment and AcomeA In order to facilitate interaction, the instructor will open a dedicated Whatsapp Group for the Class, encouraging participation.

The assessment method is consistent with the teaching methods in combining different approaches. • 40% group work; • 35% written final; • 25% active participation in lessons. • Group work. Team project on active asset management of bonds will be run during the course. Detailed guidance will be given in class. I expect groups of four to five students. I will share all the data required for performing the exercise. Good knowledge of excel sufficient to complete the assignment. • Written final. The final exam will be open ended, with questions focusing on the key topics (3 to 4) discussed in class. The class presentations will be organized around these topics. • Class participation. In addition to tracking attendance, I plan to dedicate the last 10 minutes of each lesson to a quick recap of basic concepts, asking questions to the class. The response will be voluntary, but those who participate more will have a better score. • The instructor reserves the right to waive the group exercise or to postpone the content of the midterm exam to the date of the final exam for those students who have a valid reason to ask for it (e.g, working students, Double Degree Program students; Erasmus students , etc.). • Students may take an additional oral examination worth -2/+2 on proposed grade (NB: +2 only for exceptional performance + relatively low starting grade)

• Willingness to do some original/research work. • Focus on the empirical project rather than literature survey. • Good knowledge of Excel. • Look at past dissertations here: https://tesi.luiss.it/view/supervisor/Cybo-Ottone=3AAlberto_Adolfo=3A=3A.html