This course covers all the fundamental aspects of interest rate swaps; from the key mechanics of the product to their most actively traded applications. Additionally, we will cover the intuitive pricing and valuation issues of the products; supported by an understanding of the counterparty risks involved in Over-The-Counter (OTC) execution.
- Case studies and illustrations are used to demonstrate the product applications
- A basic knowledge of fixed income
- To provide an understanding of the mechanics of the interest rate products
- Understanding of the new LIBOR replacements and the Risk Free Rate benchmarks
- Understand the different applications of interest rate swaps and how they are used by market participants
- To provide an overview of the market and credit risk considerations of interest rate swaps and solutions for risk management
- To provide an intuitive explanation of the pricing and mark-to-market of interest rate swaps
- Overview of the documentation and techniques used to mitigate the counterparty risks
This virtual course is one of the ICE Education LIVE programs. We provide two phases to the course:
1. Live Virtual Sessions: Trainer led live video sessions (as per the outline below). These are short focused sessions with practical activity and interaction throughout.
2. Post-course: 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
|Price||£895 + VAT|
Who Should Attend
This course is aimed at (currently) non-traders with little or no existing knowledge of this subject area.
Session 1: Interest Rate Swaps (IRS)
- What is an Interest Rate Swap (IRS) - examining the structure of generic swaps
o Overview of the interest cash flows and how they are traded
-- What is being "swapped" - fixed rates for floating rates (LIBOR)
-- The interest payments and daycount conventions
o Introducing the LIBOR replacements - transformation into the new Risk-Free Rates - the ICE administrated benchmarks
o How is the swap rate priced? - The fixed rate as the average of the floating leg fixings
- How swaps are quoted and traded
o Outright rates vs. swaps spreads
o Quoting swap spreads vs. outright rates
Session 2: Intuitive Swaps Pricing
- How to value an IRS
o What is the basis point value of a swap and why is this useful?
o Marking to marketing (MtM) a swap trade
o Unwinding an interest rate swap - closing out a swaps trade
Session 3: Swap Applications
o Liability management - hedging new issues (bonds and loans)
o Asset management - immunising bond portfolio from interest rate risk using Asset Swaps (ASW)
Session 4: Documentation, Credit and Settlement
o How to manage the counterparty risk - the Credit Support Annex (CSA), collateral and netting
o Alternative credit mitigation techniques including central clearing