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Trading the Yield Curve with Interest Rate Derivatives
The course explains how to use exchange-traded and over-the-counter (OTC) derivatives to profit from expected changes in the yield curve. Different derivative instruments are compared and contrasted in terms of their interest rate exposure and counterparty credit risk and their relative value is assessed as tools for expressing views about the future level and volatility of interest rates.

Attending the course will help you:
  • Understand factors driving the yield curve and trading the yield curve
  • Look at trading the yield curve and managing interest rate risk with bond futures
  • Learn about swaps, swap variations and trading the yield curve with swaps

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 and 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. Yield Curve Basics
  • Zero-coupon yields and discount factors
  • Building yield curves from market data

2. Factors Driving the Yield Curve / Trading the Yield Curve
  • Breakeven forward prices for outright trades
  • Risk-weighting of steepening, flattening and curvature trades

3. Bond Futures Basics
  • US Treasury note futures and on-the-run (OTR) US Treasury futures
  • Gross basis and net basis

4. Trading the Yield Curve with Bond Futures
  • Risk-weighted curvature trades with bond futures
  • Synthetic basis trades with OTR futures

5. Managing Interest Rate Risk with Bond Futures
  • Using bond futures to adjust portfolio duration
  • ‘Ultra’ Treasury bond futures and liability-driven investing

6. Sovereign Yield Spread Futures
  • Contract specification
  • Margining, clearing and settlement
  • Trading sovereign yield spreads with sovereign yield spread futures

7. OTC Interest Rate Swaps
  • Hedging swaps with futures and government bonds
  • Swap pricing and revaluation

8. Swap Variations
  • Forward starting swaps
  • Constant maturity swaps (CMS)
  • Overnight index swaps (OIS)
  • Counterparty Credit Risk and Central Clearing
  • Collateralization and margination in the OTC market

9. Swap Futures
  • Contract specification
  • Margining, clearing and settlement
  • Trading swap futures

10. Trading the Yield Curve with Swaps
  • Steepening and flattening and curvature trades: vanilla swaps vs. CMS
  • Trading the swap spread
  • ‘Ultra’ Treasury bond futures and the 30-year swap spread

11. Managing Interest Rate Risk with Swaps
  • Hedging with swaps and swap futures
  • Hedging a new bond issue with a forward starting swap

12. Caps, Floors and Swaptions
  • OTC interest rate caps and floors
  • OTC swaptions
  • Hedging and risk measures

13. Trading Views on Rates and Volatility with Caps, Floors and Swaptions Directional and Spread Trades
  • Volatility trades
  • Conditional steepening and flattening trades
  • Correlation trades

14. Options on Futures
  • Options on US Treasury note and bond futures
  • Trading views on rates and volatility with futures options
  • Mortgage hedging

Details of the next seminar


22-23 October 2015


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


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.

Cancellation charges

Registrations for classroom-based courses are transferable to another person within the same company.

All classroom-based courses are subject to the following cancellation charges:
  • 1-7 calendar days: 50% of the gross course fee
  • Course start date or thereafter: no refund will be given
Refunds will only be processed after the completion of the relevant course and after return of any course material already provided to you. Any such material must be returned undamaged and at your own expense.

Registrations for online courses are non-transferable and non-refundable.

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)