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Trading and Hedging Short-Term Interest Rate Risk
 
The course looks at over-the-counter and exchange-traded instruments related to short-term interest rates. These instruments are compared and contrasted in terms of interest rate exposure and credit risk and their relative value is assessed as tools for hedging and expressing views about changes in the yield curve.


Attending the course will help you:
  • Look at hedging with STIR futures
  • Find out about market directional, relative and curve trades
  • Understand monetary policy and the yield curve

Who should attend?

Although no prior knowledge of interest rate derivatives is assumed, familiarity with the basic types of derivative security (forwards and futures, swaps and options) is recommended. Participants should have a basic understanding of fundamental financial market concepts such as present value, risk and return.


Course Director

David Oakes trained as an economist at the London School of Economics and was lecturer in finance at the University of Exeter and Warwick Business School. David joined the ICMA Centre at the University of Reading as Director of Academic and Professional Education in 1998. He co-ordinated ICMA Executive Education programmes from 1994-2004. David left the Centre in 2004 to set up Dauphin Financial Training Inc., which delivers advanced financial markets training to investment banking clients in New York and around the world.


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

1. Money Market Rates and Instruments
  • Interbank deposits (LIBOR, Euribor) and certificates of deposit
  • Treasury bills, bank bills and commercial paper
  • Repurchase agreements

2. Short-Term Interest Rate (STIR) Futures
  • Eurodollar STIR futures
  • Margining, clearing and settlement

3. Forward Rate Agreements (FRAs)
  • FRA settlement
  • Convexity in FRAs

4. Hedging with STIR Futures
  • Basis point value (BPV) of money market instruments
  • Hedging and basis risk with STIR futures
  • Implementing Eurodollar STIR futures hedges with packs and bundles

5. Central Banks, Monetary Policy and Yield Curve
  • Targets and instruments of monetary policy
  • Expectations and the impact of monetary policy
  • Interest rates and exchange rates in an open economy

6. Market Directional Trades
  • Outright trades with cash instruments
  • Outright trades with STIR futures

7. Curve Trade
  • Calendar spreads (path of forward rates)
  • Other curve trades

8. Relative Value Trades
  • Treasury-Eurodollar (TED) spread, term TED spreads and credit risk
  • LIBOR-OIS spread and counterparty credit risk

9. Interest Rate Swaps and STIR Futures
  • Hedging and pricing swaps with STIR futures
  • Convexity adjustment for implied forward rates

10. Basis Swaps
  • Basis swaps and cross-currency basis swaps
  • Overnight index swaps (OIS)

11. Carry Trades
  • Covered and uncovered interest rate parity
  • Risks in carry trades

12. Caps and Floors
  • OTC interest rate caps, floors and collars
  • Simple interest rate risk management with caps and floors

13. Options on Eurodollar Futures
  • Constructing caps and floors with options on Eurodollar futures
  • Curve trades

14. Options on other STIR Futures or Short-Term Rates
  • Treasury bills
  • Federal funds
  • OIS






Details of the next seminar

London

20-21 October 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.

ICMA Executive Education encourages all member and non-member companies to send multiple candidates on our courses, thereby ensuring that a range of individuals benefit from the experience at the same time. As a result, we are happy to offer the following discounts for multiple candidates:

2 to 4 candidates – 5% discount each*
5 to 9 candidates – 10% discount each*
10+ candidates - 15% 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.

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





 

Fixed Income Certficate (FIC)