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Inflation-linked bonds and structures
 
This course is designed to increase the awareness of the concept of inflation as a separate asset class. It introduces the main concepts related to inflation, the various inflation-linked structures, the different market participants and their respective motivations.


Attending the course will help you:
  • Understand the economics of inflation
  • Find out about inflation bonds, swaps and options
  • Look at different types of trades for trading inflation

Who should attend?

This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income.  An understanding of bond pricing and market risk (i.e. duration / DV01) is assumed.


Course Director

Neil is a visiting fellow at the University of Reading and is a freelance training consultant. From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London. He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences. Previous to that he was a Director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America). Neil has over 20 years of experience in financial markets. In 2008, he published his first book “Commodity Derivatives” and his second text “Trading the Fixed Income, Inflation and Credit Markets” was published in 2011.


The course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Economics of inflation
  • The economics of inflation
  • Real vs. nominal frameworks
  • Causes of inflation
  • Measuring inflation
  • Inflation targeting

2. Inflation Fundamentals
  • Money illusion
  • The Fisher equation
  • Factors that influence real yields
  • The composition of the main inflation related indices

3. Inflation Bonds
  • Inflation maths (the Canadian model)
  • Net carry
  • Seasonality
  • Understanding beta

4. Inflation Swaps
  • Zero coupon
  • Asset swaps
  • Real rate swaps
  • Year-on-year swaps
  • Total return swaps

5. Inflation Options
  • The par floor in inflation-linked bonds
  • Caps, floors, swaptions
  • Options on TIPS
  • Breakeven options
  • Volatility

6. Trading Inflation
  • Effective duration and beta
  • Directional real yield trades
  • Breakeven inflation trades
  • Real yield curve trades
  • Breakeven curve trades
  • Real yield and breakeven forward trades
  • Intra-market transactions

7. Corporate Issuance
  • Identify the different types of issuer that may benefit from inflation-linked liabilities
  • Pricing inflation issues
  • How inflation derivatives could be used to derive an optimal inflation exposure

8. Pension Fund Exposures
  • Defined benefit vs. defined contribution schemes
  • Identifying the inflation exposure
  • Inflation-linked swap solutions






Details of the next seminar

London
4-5 November 2015


  

Venue:
International Capital Market Association (ICMA) Limited
3rd Floor
23 College Hill
London EC4R 2RP
United Kingdom


Cost

The cost is £1,250.00 for ICMA Members and £1,650.00 for non-members.

The course fee includes all lunches, coffee breaks and training materials.

Payment can be made by secure online credit card or by invoice. Please note that selecting the invoice method will add £50 (administration fee) to the course price. Multiple candidates from the same company can request one invoice, reducing the overall administration fee.


Please note:

The course is a non-residential learning programme, so candidates are responsible for arranging their own travel and accommodation.

Course materials will be provided to candidates in electronic format prior to the start of programme. Please ensure that you have access to this document during the course by either printing off a copy or by downloading it on your laptop, iPad or tablet.

Should you have any queries about the course please contact education@icmagroup.org





Simona Tomaselli Marzano

Organisation: Amundi Asset Management
Job title: Portfolio Manager

Describe what you do on a day to day basis in your job:
I manage bond portfolios for private clients, both benchmarked and “target-date” portfolios.  My Investment Universe includes Developed Government Bonds and Investment Grade Corporate Bonds.

Reasons for taking the course:

My main objectives for attending the course were to get a good understanding of the key concepts of inflation-linked instruments in order to implement successful investment strategies in our portfolios and to design new investment products linked to inflation.

Benefits of taking this course:
I achieved a clear comprehension of the main concepts that drive inflation and how to trade it with all the available financial instruments (both bonds and derivatives).  I also enjoyed sharing opinions with other participants belonging to different entities (Central Banks, Trading Desks, Risk Management, etc.).

This course represents a first important and “real” step towards the implementing of investment strategies based on inflation in our portfolios.








 

Fixed Income Certficate (FIC)

AGM2016 STD