This course covers valuation, pricing and forecasting of fixed income instruments and portfolios mainly, but not only, by studying the investment process of active fixed income managers. 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 (fixed and floating rate bonds, repos, swaps and futures for trading interest rate, credit and inflation risk derivatives). We also cover Liability Driven Investing and the financing choices by the Italian Treasury Dept. The course leverages the instructor has a 40-year experience in fixed income and equity research, financial innovation and automation in financial markets, as well as in reverse engineering and studying hedge fund strategies. It is a strong complement to the more quantitative and theoretical course offered by the Department of Economics and Finance. Learning how Fixed Income markets and instruments work is critical for anybody pursuing a career in finance and banking, as interest rates are used to discount any kind of cash flow. The link between macroeconomics (monetary policy and public debt management) and fixed income markets is the bridge between macro people and finance people who are often siloed in organizations. For the finance students, fixed income is a large specialist market, with a number of niches and domains across instruments, strategies, and functions across the value chain of asset managers, issues, investment banks and regulatory agencies. We cover a number of these specific topics and new areas in the course, especially in the Topics section, which will help you pursue specific career opportunities. Up to four guest lectures complement the instructor and give a broader perspective.as well as different viewpoints on the asset class. The TA for this course is Gaetano Romano, a Portfolio Manager and Quant at Generali AM. Gaetano will focus on teaching sections on fixed income instruments and helping the group work exercise.

• Knowledge and understanding: Learning about sources of expected returns and how to implement them by appropriate portfolio construction following a realistic active fixed income investment protocol. Look at the links 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 understanding the main concepts and vocabulary in fixed income markets. Learn 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: Class discussion. Group work to be presented delivered in PPT format with data and output documentation in Excel. • Learning skills: Learning by doing approach. Navigating different levels of knowledge: a) from individual securities to portfolios to macro drivers of portfolio performance b) Multi-dimensional approach to measuring expected returns

The course is divided into five main parts. • 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 bot at the domestic and international level. We also cover how macro factors drive the YC. We then discusses active management of treasuries, which is the backbone for the Project Work assignment • The second part (two weeks) . We also cover the most important fixed income instruments such as zero coupon bonds, strips, repos, swaps and bond and money market future. • The third part (three weeks) covers Corporate Bonds and Credit Derivatives as well as the determinants of Credit Risk Premia, active management of credit risk and debt restructuring, both in corporate (IG, HY, Leveraged Loans and Private Debt) and sovereign markets. • The fourth part of the course (one week) covers fixed income strategies and trading venues. • The final part (two weeks) covers special topics in macro. I cover real rates and the outlook for public debt, the CFO of MEF, the Italian Treasury looks at public debt management, the MD of MTS Spa covers electronic trading and the Head of Investments at Generali Asset Management covers inflation trading and portfolio management.

The course textbooks (optional) are: • A. Ilmanen (2011) “Expected Returns: An Investor's Guide to Harvesting Market Rewards ("ER" in the readings materials) John Wiley and Sons. • B. Tuckman and A.Serrat, (2022) “Fixed Income Securities. Tools for Today’s Markets”, ("FIS" in the reading materials) Fourth Edition, Wiley Finance • A. Ilmanen, “Investing amid low Expected Returns”, (2022) John Wiley and Sons All the Teaching Materials are available on this Course website

Lectures and presentations of course materials, which are updated on a ongoing basis. Extensive monthly data set on Sovereign Yields (2Y,5Y and 10Y) and their determinants directly soured from Bloomberg. Coverage of main DM and BRICS markets from 2000 to 2026. Coverage of some popular Bloomberg Professional Apps for Portfolio Construction (PORT) and Default Prediction domain (DRSK, SRSK). Guest presentations. Guests will come from MEF, MTS Spa, University of Roma 3, and Generali Asset Management SGR TA will deliver Classes on Fixed Income Instruments and Portfolio Optimization. Excel spreadsheet on all the instruments covered in class In order to facilitate interaction, the instructor will open a dedicated Whatsapp Group for the Class, encouraging participation. Contacts: Alberto Cybo: hal2001y@gmail.com Gaetano Romano: Gaetano.romano@generali-invest.com

The assessment method is consistent with the teaching methods in combining different approaches. For the students completing the exam at the end of the Fall/Winter 2026-27 semester: • Midterm Exam/Continuous Assessment (1/3 of the final grade). Open ended written questions on the main concepts covered the first two parts of the course • Final Exam (2/3 of the final grade) A combination of: a) Open ended written questions on the main concepts covered remaining three parts of the course b) Asynchronous video reporting the results of a Project Work on active asset management of bonds (see below for further details). In order to prepare for the Open Ended questions, students are required to follow the presentations and have a look to the Main Readings. The Additional Readings are included for those willing to dig in into the topics. The Project Work is based on Lectures 5 and 6. The instructor will share written guidance on how to perform the Project Work and also devote a special class to further guidance and Q&A (see Lecture 10). • A special bonus will be assigned to the most active participant in the class lecture discussion, especially to our Interactive Class on the Future of Public Debt (see Lecture 20 above) For students not compliant with the minimum 70% class attendance requirement, but completing the whole Exam within the Fall/Winter 2026-27 Semester, the Final Exam requirements will be integrated by additional Oral Exam with the same program of the Midterm Exam as described above. For students taking the exam in the follow-up semesters, the exam is oral and the program includes al the topics covered in the open ended questions as detailed above for the Midterm and the Final Exam.

• Willingness to do some original/research work. • Focus on the empirical project rather than literature survey. • Good knowledge of Excel. Use of Econometric Packages depends on the chosen topic. I devote a whole class (Lecture 10) to guidance to the group work exercise on active trading of treasuries and well as on how to apply similar methods to other fixed income asset classes and geographies and finally to a couple of promising and innovative ML techniques in the global macro / fixed income domain. • Look at past dissertations here: https://tesi.luiss.it/view/supervisor/Cybo-Ottone=3AAlberto_Adolfo=3A=3A.html