Course code: D-IRB - call 0845 071 2801
Overview
Course duration: 2 days.
This course ensures delegates are fully conversant with the basics of Interest Rates and then explores how to exploit the market applications.
Is it right for me?
Designed for bond and Equity fund managers, money market and bond traders, middle and back office staff.
What will I learn?
This practical two-day course enables delegates to:
- Understand interest rate markets
- Gain a good grasp of interest rate mechanics
What will it cover?
Players and Instruments in the Interbank Market
- The role and functions of the interbank market
- The role of the Central Bank
- Tools for monetary policy
Money Market Instruments
- Instruments types
- Quotes and pricing
- Interest rate risk for money market instruments
Yield Curve Analysis
- Long bonds basics and types
- Understanding YTM, quotes, clean and dirty prices, accrued interest
Zero Coupon Bonds
- Limits of the traditional YTM analysis
- Building a zero-coupon yield curve
Bond Portfolio Fundamentals
- Yield/price relationship
- Bond risk indicators: Macaulay duration, modified duration, BPV, convexity
- Bond switch strategies
Hedging Interest Rate Risk
- Risk identification
- Yield curve shift analysis and forecasts
- Dynamic hedging
FRAs and the Money Market
Using FRAs
- Interest rate risk hedge
- Position-taking in the Futures market
- How to replicate cash positions
Interest Rates Swaps (IRS)
- IRS basics and bonds vs IRS
- Building cash-flow diagram/table for an IRS
Hedging with IRS
- Identification and monitoring of interest rate risks
- IRS as hedging instruments
- Yield curve trading and arbitrage
- Dynamic hedging of credit risk
Advanced Bond Structure and Strategies
- Inflation swaps
- Bond stripping, barbells and butterflies - Asset swaps