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Course List
Introduction to the Securities Industry
 
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
 
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
 
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
 
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
 
Portfolio Management
Securities Analysis
Managing Risk
 
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
 
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
 
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
 
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Derivatives
 
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
 
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Interest Rate Futures and Swaps
Available Dates:
September 13, 2018, New York
November 6, 2018, New York
Course Code: 815
Duration: 1 day
Level: Basic/Intermediate
Fee: $795.00
Instructor: Douglas Carroll
CPE Credits: 6
Prerequisite: Participants should have a basic familiarity with terms and definitions of futures and swaps.

Interest Rate Futures and Swaps is a deeper examination and analysis of the most actively traded interest rate related forward commitment contracts. This one-day program will focus on interest rate swaps (IRS), Eurodollar futures, treasury bond and treasury note futures.

Interest Rate Futures and Swaps is designed as a basic to intermediate level program that will touch only briefly on the general principals of futures and swaps to permit a more in-depth treatment of these interest rate derivatives.

The presentation will begin with a review of the features and characteristics of futures contracts using Treasury bond and note contracts to illustrate. The discussion will then turn to the unique features of these contracts, in particular basket delivery, conversion factors, cheapest-to-deliver and the implied put option. The ensuing Eurodollar futures discussion will include LIBOR, index pricing (how Eurodollar futures value are expressed and computed) and cash settlement only contacts. The presentation will include an overview of futures pricing and risk management/hedging applications.

The final segment will deal with interest rate swaps focusing on contract terms, cash flows and risk management applications of basic fixed for floating structures. There will be some discussion of alternative contract structures (amortizing, accreting and basis swaps) as well as a review of pricing and valuation concepts.

This seminar would be useful for anyone whose duties entail some exposure to interest rate derivatives and the program would be especially helpful to those working in areas supporting futures/swaps trading or sales as well as middle and back office areas such as clearance and settlement, compliance, financial control, information technology, portfolio administration or marketing.

Topics for discussion include:

Introduction to Interest Rate Futures

  • Futures terminology and definitions
  • General characteristics of interest rate futures
  • Futures contracts compared to securities
  • Risk management applications

Treasury Bond and Note Futures Contracts

  • Underlying/deliverable instrument
  • Basket delivery and conversion factors
  • Cheapest to deliver and the implied repo rate
  • Implied put option
  • Trading and risk management applications

Eurodollar Futures

  • Underlying instrument - Eurodollar time deposits
  • LIBOR (London Inter Bank Offered Rate)
  • Index/discount pricing, point values and basis points
  • Cash settlement only contracts
  • Cash market basis of final settlement price

Swaps

  • Terminology and definitions
  • Swap contract characteristics
  • Interest rate swap contract cash flows and risks
  • Other types of interest rate swaps - amortizing, accreting and basis swaps
  • Risk management applications

After completing this seminar, participants should be familiar with the features and characteristics of futures contracts, basket delivery, conversion factors, Eurodollar futures, LIBOR, index pricing, how Eurodollar futures value are expressed and computed, futures pricing and risk management/hedging applications, interest rate swaps focusing on contract terms, cash flows and risk management applications of basic fixed for floating structures. This seminar will give participants a deep examination and analysis of the most actively traded interest rate related forward commitment contracts.