Swaps are the most actively traded derivative product. This course covers those swap products with an interest rate component including interest rate swaps, overnight index swaps, asset swaps and currency swaps.
By the end of the course the participant will be able to:
- Identify the main features of interest rate and overnight index swaps
- Calculate swap cash flow settlement amounts
- Interpret the main characteristics of the swap market
- Interpret a swap quotation and explain the relevance of a swap spread
- Calculate the value of an interest rate swap
- Calculate the market risk of an interest rate swap
- Understand the intuition of swap credit risk
- Explain how swaps could be used to manage a firm’s liquidity and the interest rate risk arising from a bond portfolio.
Who should attend?
This course will be of interest to people whose responsibilities include the swaps market. Amongst others this could include junior traders, research analysts, trading assistants, middle office staff, risk managers and compliance.
Certification and Programme Recognition
This course is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading.
ICMA recommends that 20 learning hours can be associated with this course, based on attended/undertaken hours of study required to successfully complete the learning outcomes.
A Certificate of Attendance will be awarded to those who meet the minimum attendance requirements for this course.
ICMA is a member of the CPD® Certification Service and approved by the Securities & Futures Commission of Hong Kong as provider of Continuous Professional Training (CPT).
Please note that your course certificate of attendance or completion should be sufficient to satisfy any professional development requirements – if you require further evidence, please contact us at email@example.com.
Review of fixed income principles
- Price/ yield relationship
- Bond market risk
o Macauley Duration
o Modified Duration
- The repurchase agreement market
Definitions and features
- Main features of interest rate swaps
o Notional amount
o Classic fixed vs. floating structures
o Cash flow settlement
- What is an overnight index rate?
o The fixing process for SONIA, ESTER and SOFR
o Overnight Index Swaps
o Cash flow settlement
- Understanding the transition from LIBOR
- The movement to ‘risk free rates’ (RFR)
o RFR term structures
o RFR futures
- ISDA ‘fallback’ language
- ‘RFR’ swaps – what has been traded so far?
- Variations on the classic structure
o Asset swaps
o Currency swaps
Swap quote interpretation
- Quotation conventions
- Interest Rate Swap quotation construction
o Treasury yield + swap spread
o What are swap spreads?
o What factors influence swap spreads?
- What factors drive OIS rates?
- How do swap curve move? – the empirical evidence
o Interest rate swaps
Principles of Valuation
- Swap yield curves
o Zero / spot
- What is meant by swap ‘fair value’?
- Calculating the fair value of an existing swap
- Calculating the market risk of an interest rate swap
Overview of market and credit risk
- Calculating the market risk of a swap
o Basis Point Value / DV01
- Early termination of swaps
- Overview of swap credit risk
o Potential Future Exposure
- Overview of the “XVAs”
o Example: Credit valuation adjustment
ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.
The Understanding Swaps live sessions are delivered in four 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.
Livestreamed course fees
Members: EUR 2,100 (VAT not applicable)
Non-members: EUR 2,700 (VAT not applicable)
For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.
- All payments must be made in Euro.
Should you have any queries, please contact firstname.lastname@example.org.