Trading Fixed Income Derivatives: VIRTUAL DELIVERY

This course focuses on the practicalities of short-term speculation in the fixed income derivative markets. It explores how the short and longer ends of the curve work and the relationship between the two. It provides insight to some of the typical trading approaches employed by market participants using both short term interest rate and longer duration bond products. It also covers the potential opportunities as markets transition from legacy interest rate benchmarks to the newly emerging benchmarks in the market. Overall, the focus is on practicality and foundation strategies to make use of in these highly liquid and dynamic markets. Day 1 will be mostly theory whilst day 2 will be a more practical guide to trading opportunities and potential strategies.

This virtual course is one of the ICE Education LIVE programs. We provide two phases to the course:
1. Live Virtual Sessions: Trainer led live video sessions (as per the outline below). These are short focused sessions with practical activity and interaction throughout.
2. Post-course: On-demand content remains available and an optional live video clinic session is scheduled for one week post course for any learning points you'd like to revisit.
All course payments must be received one day prior to the start date.

Course Information

Price £1,600 + VAT
Duration 2 days
Location Virtual: EMEA Time Zone
Available Dates

Who Should Attend

This course is aimed at anyone with an interest (whether direct or indirect) in speculating with fixed income derivatives. Delegates may include junior traders and traders looking to expand their activities into this asset class as well as those in related functions including risk management, oversight and mid-office roles.

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

0900 -0920: Technology check -we ask delegates to login ahead of the official start time to ensure all links and technology is working.

Day 1

09:30 - 10:15 Session 1

  • Introductions and overview of course agenda including opportunities for Q&A and exercises throughout the course
  • Products & geography - the importance of global markets
  • Key exchanges - history, rankings and time zones. How trading occurs around the clock
  • Exchange matching systems and why they matter
  • Liquidity - the importance of deep markets and flow
  • Market participants - the different roles they play

10:30 - 11:15 Session 2

  • The Yield Curve - picturing interest rates
  • What is a yield curve and what does it tell us?
  • The relationship between short and longer-dated maturities
  • Constructing a yield curve
  • What moves the curve?
  • Products in relation to the yield curve

11:30 - 12:15 Session 3

  • A closer look at STIRs - Short Term Interest Rate Futures
  • The building blocks of the financial markets
  • Basic spread trading
  • STIRs calculations - the basic mathematics
  • Market examples
  • An introduction to spread trading techniques

13:15 - 14:00 Session 4

  • A closer look at bond futures
  • Features of bonds - price, yield and interest rates
  • The life cycle of a bond
  • Bond risk - what to look out for
  • Bond benchmarks and the underlying cash market
  • Bond futures rollover and role of duration

14:15 - 15:00 Session 5

  • Other Interest rate products
  • SONIA and SOFR futures - the new benchmarks
  • Advanced spreading techniques

15:15 - 16:00 Session 6

  • Trading software and set-up
  • Order types
  • Tick sizes, ratios and currencies - calculating P&L
  • Initial and variation margin - financing positions
  • Trading resources and information - where to look
  • Days summary and final Q&A session


09:30 - 10:15 Session 1

  • Questions/queries from Day 1
  • Trading STIRs
  • Pros and cons of Matrix vs Ladders
  • Using correlations as leading indicators
  • How to move along the curve
  • Execution methods - spreading the risk
  • Technical analysis for STIRs

10:30 - 11:15 Session 2

  • Trading Bonds
  • Viewing the bond markets - setting up your ladder
  • Outright or spread? Curve trading with bond futures
  • Spread ratios and pricing - calculating and managing risk
  • Technical analysis for Bonds

11:30 - 12:15 Session 3

  • Examples of Fixed Income Options
  • Using options market data with futures

13:15 - 14:00 Session 4

  • Trading Opportunities Part 1
  • The role of Central Banks (CBs)
  • Governance - mandates, organisation and structure of CBs
  • Implementation - relationship of CBs with the market
  • Communication - a further facet of monetary policy
  • Trading opportunities around Central bank meetings and set-piece events

14:15 -15:00 Session 5

  • Trading Opportunities Part 2
  • Global geopolitics - risk on/risk off in the modern markets
  • Bond auctions - a regular measure of supply and demand
  • Rollovers - calendar spreads in bond markets
  • Politics - fiscal policy and its market impact
  • Macro-economics - economic data

15:15 -16:00 Session 6

  • Future trends and themes - where do we go from here?
  • Conclusions - summary of the two days
  • Resources and further information
  • Post-workshop clinic details
  • Final Q&A session