Trading the Yield Curve with Interest Rate Derivatives
Download brochure The course explains how to use exchange-traded and over-the-counter (OTC) derivatives to profit from expected changes in the yield curve. Different derivative instruments are compared and contrasted in terms of their interest rate exposure and counterparty credit risk and their relative value is assessed as tools for expressing views about the future level and volatility of interest rates.

Attending the course will help you:
  • Understand factors driving the yield curve and trading the yield curve
  • Look at trading the yield curve and managing interest rate risk with bond futures
  • Learn about swaps, swap variations and trading the yield curve with swaps

Who should attend?

Although no prior knowledge of interest rate derivatives is assumed, familiarity with the basic types of derivative security (forwards and futures, swaps and options) is recommended. Participants should have a basic understanding of fundamental financial market concepts such as present value and risk and return.

Details of next seminar


Programme Recognition

Candidates who are successful in gaining the Financial Markets Foundation Qualification qualify for 13 credit hours which can be used towards study with the CFA Institute.

Course Director

Download brochureThe course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Yield Curve Basics
  • Zero-coupon yields and discount factors
  • Building yield curves from market data

2. Factors Driving the Yield Curve / Trading the Yield Curve
  • Breakeven forward prices for outright trades
  • Risk-weighting of steepening, flattening and curvature trades

3. Bond Futures Basics
  • US Treasury note futures and on-the-run (OTR) US Treasury futures
  • Gross basis and net basis

4. Trading the Yield Curve with Bond Futures
  • Risk-weighted curvature trades with bond futures
  • Synthetic basis trades with OTR futures

5. Managing Interest Rate Risk with Bond Futures
  • Using bond futures to adjust portfolio duration
  • ‘Ultra’ Treasury bond futures and liability-driven investing

6. Sovereign Yield Spread Futures
  • Contract specification
  • Margining, clearing and settlement
  • Trading sovereign yield spreads with sovereign yield spread futures

7. OTC Interest Rate Swaps
  • Hedging swaps with futures and government bonds
  • Swap pricing and revaluation

8. Swap Variations
  • Forward starting swaps
  • Constant maturity swaps (CMS)
  • Overnight index swaps (OIS)
  • Counterparty Credit Risk and Central Clearing
  • Collateralization and margination in the OTC market

9. Swap Futures
  • Contract specification
  • Margining, clearing and settlement
  • Trading swap futures

10. Trading the Yield Curve with Swaps
  • Steepening and flattening and curvature trades: vanilla swaps vs. CMS
  • Trading the swap spread
  • ‘Ultra’ Treasury bond futures and the 30-year swap spread

11. Managing Interest Rate Risk with Swaps
  • Hedging with swaps and swap futures
  • Hedging a new bond issue with a forward starting swap

12. Caps, Floors and Swaptions
  • OTC interest rate caps and floors
  • OTC swaptions
  • Hedging and risk measures

13. Trading Views on Rates and Volatility with Caps, Floors and Swaptions Directional and Spread Trades
  • Volatility trades
  • Conditional steepening and flattening trades
  • Correlation trades

14. Options on Futures
  • Options on US Treasury note and bond futures
  • Trading views on rates and volatility with futures options
  • Mortgage hedging

ICE EducationDetails of the next course

London - TBC
ICE Education
5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.

For security reasons, delegates who have not registered in advance will not be admitted to this course.  Delegates will be required to provide photo identification on arrival, to ensure entry.


£1,650 for Members and £1,950 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.


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