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Trading the Yield Curve with Interest Rate Derivatives
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

Course background

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.

Who should attend?

Participants should have a basic understanding of fundamental financial market concepts such as present value and risk and return.  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.

Programme Recognition

This is an accredited course under the Solicitors Regulation Authority (formerly The Law Society's) CPD Scheme. Solicitors may claim 12 hours CPD credit for their attendance of the whole course.

Course Tutor

David Oakes

David trained as an economist at the London School of Economics and was lecturer in finance at the University of Exeter and Warwick Business School before joining 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.

Course Outline
Session 1 Contents
Yield Curve Basics • Zero-coupon yields and discount factors
• Building yield curves from market data
Session 2 Contents
Factors Driving the Yield Curve / Trading the Yield Curve • Breakeven forward prices for outright trades
• Risk-weighting of steepening, flattening
and curvature trades
Session 3 Contents
Bond Futures Basics • US Treasury note futures and on-the-run (OTR) US Treasury futures
• Gross basis and net basis
Trading the Yield Curve with Bond Futures • Risk-weighted curvature trades with bond futures
• Synthetic basis trades with OTR futures
Managing Interest Rate Risk with Bond Futures • Using bond futures to adjust portfolio duration
• ‘Ultra’ Treasury bond futures and liability-driven investing
Session 4 Contents
Sovereign Yield Spread Futures • Contract specification
• Margining, clearing and settlement
• Trading sovereign yield spreads with sovereign yield spread futures
Session 5 Contents
OTC Interest Rate Swaps • Hedging swaps with futures and government bonds
• Swap pricing and revaluation
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
Session 6 Contents
Swap Futures • Contract specification
• Margining, clearing and settlement
• Trading swap futures
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
Managing Interest Rate Risk with Swaps • Hedging with swaps and swap futures
• Hedging a new bond issue with a forward
starting swap
Session 7 Contents
Caps, Floors and Swaptions • OTC interest rate caps and floors
• OTC swaptions
• Hedging and risk measures
Session 8 Contents
Trading Views on Rates and Volatility with Caps, Floors and Swaptions Directional and spread trades • Volatility trades
• Conditional steepening and flattening trades
• Correlation trades
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



Please email education@icmagroup.org to register your interest to attend our next publicly scheduled course.


The publicly scheduled course cost will be £1,250.00 for ICMA Members and £1,650.00 for non-members.

The following discount scale is 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.

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 require a hard copy of the course materials, there is a charge for printing off and sending the course materials to the training venue.  Please contact education@icmagroup.org a minimum of two weeks before the course start date for further details on this.

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


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