Objectives
This course is primarily 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.
Target Audience
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.
Length and Structure of the Course
The course consists of two days of lectures and case studies. Each day typically consists of three or four 90 minute session with coffee breaks in the morning and afternoon and a lunch break in the middle. There is no exam for this course but candidates will get a certificate of attendance.
Course Tutor
Neil Schofield
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.
He is currently co-authoring a book on Inflation entitled “Trading Inflation: Markets, instruments and strategies”, which is due for publication in 2013.

| Course Outline |
| Session 1 |
Contents |
| Economics of inflation |
• The economics of inflation • Real vs. nominal frameworks • Causes of inflation • Measuring inflation • Inflation targeting |
| Session 2 |
Contents |
| Inflation fundamentals |
• Money illusion • The Fisher equation • Factors that influence real yields • The composition of the main inflation related indices |
| Session 3 |
Contents |
| Inflation bonds |
• Inflation maths (the Canadian model) • Net carry • Seasonality • Understanding beta |
| Session 4 |
Contents |
| Inflation swaps |
• Zero coupon • Asset swaps • Real rate swaps • Year-on-year swaps • Total return swaps |
| Session 5 |
Contents |
| Inflation options |
• The par floor in inflation-linked bonds • Caps, floors, swaptions • Options on TIPS • Breakeven options • Volatility |
| Session 6 |
Contents |
| 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 |
| Session 7 |
Contents |
| 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 |
| Session 8 |
Contents |
| Pension fund exposures |
• Defined benefit vs. Defined contribution schemes • Identifying the inflation exposure • Inflation-linked swap solutions |
Details of the next seminar
London
20-21 June 2013ICE Education5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA
United Kingdom
Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.
Costs The cost is £1,000.00 for ICMA Members and £1,300.00 for non-members for the seminar on 20-21 June in London.
Subsequent seminars will be charged at the new price of £1,250.00 for ICMA Members and £1,650.00 for non-members.
The following discount scale being offered:
2-4 candidates – 5% discount each*
5+ candidates – 10% discount each*
*Please note that discounts are applied by way of a refund to the organisation when registration has closed and the final number of candidates from the firm has been determined.
Payment can be made by secure online credit card or by invoice. Please note that the BACS invoice method has an additional £50 admin fee. Note that anyone requiring accommodation to take the course will be required to arrange this on their own; it is a class-based but non-residential course.
For more information This course is also available on a group booking basis.
Should you have any queries about this seminar please contact David Senior on +44 20 7213 0329 or at
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.