Trading Fixed Income Derivatives: VIRTUAL DELIVERY

This course focuses on the practicalities of trading 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 transition from legacy interest rate benchmarks to the newly emerging benchmarks in the market. Overall, the focus is on practicality and application of derivative instruments to these highly liquid and dynamic markets.
This virtual course is one of the ICE Education LIVE programs. We provide three phases to the course:
1. Pre-course: Access to the ICE Education learning platform for on-demand primer content.
2. Live Virtual Sessions: Trainer led live video sessions (as per the outline below). These are short focused sessions with practical activity and interaction throughout.
3. 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
May 25 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


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

0930 --1015 Session 1

  • Zishi/JH/GL intro to delegates
  • Explanation of days structure and agenda
  • Products and geography --which markets are under consideration?
  • STIRs --the short end -benchmarks and global coverage
  • Bonds --the long end --Government borrowing
  • Key exchanges

- History and evolution (consolidation)

- Rankings

- Matching engines and systems

  • Time zones --key global trading periods
  • Liquidity --the importance of deep markets and flow
  • Q&A session
  • Exercises on this session

1030 --1115 Session 2

  • The Yield Curve --picturing interest rates

- What is a yield curve?

- The relationship between short and longer-dated maturities

- Constructing a yield curve

- What moves the curve?

- Whos in charge? Key players

- Products in relation to the yield curve

  • Q&A session
  • Exercises on this session

11.30- 1215: Session 3

  • A closer look at STIRs -Short Term Interest Rates
  • The building blocks of the financial markets
  • Packs & Bundles
  • Spread types

- Flies

- Condors

- Combos

  • STIRs calculations -the basic mathematics
  • Market examples
  • Q&A session
  • Exercises on this session

1315 -1400: Session 4

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

- Cheapest To Deliver (CTD)

- Duration

  • Market examples
  • Q&A session
  • Exercises on this session

1415 --1500: Session 5

  • Other Interest Rate products
  • SONIA and SOFR Futures --the new benchmarks
  • Interest rate and credit products in the long-term market
  • Life at the short-end

- Overnight Index Swaps

- Fed Funds

- Other products

  • Product users and their motives
  • Spreading the risk - why do it?
  • Market examples
  • Q&A session
  • Exercises on this session

1515 --1600: Session 6

  • Practicalities of trading
  • Matching algorithms --dictating 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
  • Exercises on this session


0900 --0920: Technology check --check technology working and generally welcome delegates.

0930 --1015: Session 1

  • Questions/queries from Day 1
  • Trading STIRs

- Viewing STIRs markets ladders vs matrices, pros and cons

- Correlations --other markets as leading indicators

- Offsetting trades

- Calendar spreads

- Inter-market spreads

- Intra-market spreads

- Execution methods --multiple ways to trade

  • Q&A session
  • Exercises on this session

1030 --1110 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

  • Market examples
  • Q&A session
  • Exercises on this session

1130 --1215 Session 3

  • Options on Fixed Income
  • Introducing option contracts

- Key features

- Examples of key Fixed Income Options

- Euribor Options

- Bund Options

- T-Bond Options

- Price matrix explained

  • Q&A session
  • Exercises on this session

1315 --1400: Session 4

  • Trading Opportunities Part 1
  • The role of Central Banks (CBs)

- Governance - mandates, organisation and structure of CBs

- Setting of policy

- Implementation - relationship of CBs with the market

- Communication - a further facet of monetary policy

  • Market examples
  • Q&A session
  • Exercises on this session

1415 --1500: Session 5

  • Trading Opportunities Part 2
  • Politics --fiscal policy and its market impact
  • Central Bank meetings --how to trade set-piece events
  • Marco-economics --economic data
  • 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
  • Q&A session
  • Exercises on this session

1515 --1600: 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