Bond Markets - Beyond Basics: VIRTUAL DELIVERY

This course expands on the understanding of the more technical aspects of fixed income instruments and interest rate curves. We look in detail at the different ways fixed-income portfolio managers can hedge risk and establish profitable and bespoke trading.
- Case studies and illustrations are used to demonstrate the product applications
- A fundamental knowledge of fixed income products and the market place
Course Objectives
- Understanding the different spreads metrics used in the market and which one to use
- Understanding duration and convexity and how to hedge bond portfolios
- Demonstrate how curve trades are established
- See how derivatives may be used to gain exposure to fixed income market
- Provide an explanation of the mechanics of the repo markets and how to use these products
- Learn how to use bond futures to hedge portfolios and take directional positions

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: The 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 £895 + VAT
Duration 1 day
Location Virtual
Available Dates
Oct 07 2021  Register Now

Who Should Attend

This course is aimed at anyone with an interest (whether direct or indirect) in the trading of fixed income derivatives. Delegates may include not only traders but also related functions including risk management, oversight and mid-office roles

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

Session 1: Understanding the Spreads

  • Measuring the credit spread
  • Yield spread over the government benchmark and I-spread
  • Asset swap spreads "-"a par equivalent spread
  • What is the Z-spread and how it is used?
  • Factors that drive credit spreads
  • The role of the credit default swap (CDS) in pricing new issues and relative value analysis

Session 2: Bond Risk Analysis

  • Measures of bond price sensitivity
  • Modified Duration and Dollar Duration, PV01 (Present Value of a Basis Point)
  • Using the PV01 to hedge bond portfolios
  • Convexity and why it matters
  • Calculating convexity for fixed coupon bonds
  • The implications and value of positive and negative convexity on market yields

Session 3: Fixed Income Trading and P&L Attribution

  • P&L attribution
  • Measuring returns generated by various sources of risk in a fixed income portfolio
  • Trading p&l, carry and roll down and the pull-to-par (theta)
  • Establishing curve trades
  • Why and how to trade the curve delta neutral curve trades
  • Steepeners and flatteners
  • Setting up the trade and return calculations how does duration figure in the application
  • Executing the trade cash instruments or interest rate swaps?

Session 4: Bond Repos

  • The importance of repo markets for market practitioners
  • Financing positions and covering short sales
  • Sales and repurchase agreement - the practical issues
  • Repos vs. reverse repos transaction mechanics
  • Repo collateral classifications
  • General collateral vs. special collateral
  • Credit risk on repos
  • The importance of repo markets for market practitioners

Session 5: Bond Futures

  • Contract definition and specifications the ICE Long Gilt futures
  • Tick values and risk profiles
  • Settlement mechanics
  • The invoice amount and the role of the conversion factor
  • Which are the eligible bonds?
  • Delivery mechanics, delivery price and the delivery option owned by the short position
  • Determining the Cheapest-To-Deliver
  • Implied repo and the gross and net basis
  • Hedging and trading using bond futures