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Inflation-Linked Bonds and Structures
 
Download brochure This training programme is primarily designed to increase the awareness of the concept of inflation as an investable asset class.

Beginning with the fundamentals of inflation, the syllabus goes on to explore the key aspects and benefits of inflation-links bonds and other structures such as swaps and options.


By completing the programme you will:
  • Understand the economics of inflation
  • Be able to calculate ILB cash flows
  • Have a thorough knowledge of inflation bonds, swaps and options
  • Be able to look at different types of trades for trading inflation

Who should attend?

This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income.  An understanding of bond pricing and market risk (i.e. duration / DV01) is assumed.


Programme Recognition


Candidates who complete the Inflation-linked Bonds & Structures training programme qualify for 13 credit hours under the guidelines of the CFA Institute’s Continuing Education Programme.




Course Director


Neil Schofield is a visiting fellow at the University of Reading and is a freelance training consultant.  From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London.  He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences.  Previous to that he was a director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America).  Neil has over 20 years of experience in financial markets

He is author of the book “Commodity Derivatives: Markets and Applications” and “Trading the Fixed Income, Inflation and Credit Markets” both published by Wiley.  His third book is “Equity derivatives: institutional applications”.  
He is currently writing a co-authored book entitled “Trading inflation: markets, instruments and strategies”.
Download brochureThe syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

1. Inflation fundamentals
  • Defining key terms
    • Inflation
    • Deflation
    • Disinflation
    • Hyperinflation
  • Real vs. nominal frameworks
  • The Fisher equation
  • Factors that influence real yields
    • Negative real yields
  • A holistic analysis of breakevens
  • The composition of the main inflation-related indices
  • Sources of market demand and supply

2. Inflation-linked Bonds
  • Overview of sovereign issuance
  • Inflation maths
    • The Canadian model
    • ‘Old style’ UK linkers
  • The par floor
  • Seasonality
  • Adjusting ILB yields for seasonality

3. Inflation-linked Swaps

  • Zero coupon
    • Calculating a projected CPI curve
    • Revaluing a zero coupon inflation swap
  • Asset swaps
  • Real rate swaps
  • Year – on – year swaps
  • Total return swaps

4. Inflation-linked Options
  • Caps, floors, swaptions
  • Options on TIPS
  • Breakeven options
  • Inflation implied volatility
  • Total return swaps

5. Trading Inflation
  • Measures of inflation market risk
    • ‘Real’ modified duration and DV01
  • How do real and nominal rates move in relation to each other?
    • Beta
  • Carry in an inflation-linked context
  • Calculating forward prices
  • Example trades
    • Directional real yield trades
    • Breakeven inflation trades
    • Real yield curve trades
    • Breakeven curve trades
    • Forward trades
    • Intra-market transactions

Details of the next seminar

London
29-30 November 2016

  
Venue:
International Capital Market Association (ICMA) Limited
3rd Floor
23 College Hill
London EC4R 2RP
United Kingdom


Cost

The cost is £1,250.00 for ICMA Members and £1,650.00 for non-members.

The course fee includes all lunches, coffee breaks and training materials.

Payment can be made by secure online credit card or by invoice.


Terms and conditions

Please click here to view our terms and conditions before registering.


Contact

Should you have any queries, please contact education@icmagroup.org.
Simona Tomaselli Marzano

Organisation: Amundi Asset Management
Job title: Portfolio Manager

Describe what you do on a day to day basis in your job:
I manage bond portfolios for private clients, both benchmarked and “target-date” portfolios.  My Investment Universe includes Developed Government Bonds and Investment Grade Corporate Bonds.

Reasons for taking the course:

My main objectives for attending the course were to get a good understanding of the key concepts of inflation-linked instruments in order to implement successful investment strategies in our portfolios and to design new investment products linked to inflation.

Benefits of taking this course:
I achieved a clear comprehension of the main concepts that drive inflation and how to trade it with all the available financial instruments (both bonds and derivatives).  I also enjoyed sharing opinions with other participants belonging to different entities (Central Banks, Trading Desks, Risk Management, etc.).

This course represents a first important and “real” step towards the implementing of investment strategies based on inflation in our portfolios.








 
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