For well over a decade interest rates have been trading at ultra low and even negative
levels. It would seem likely that at some stage interest rates will rise, resulting in a fall
in bond rices. This course considers some of the tactics that could be used to hedge the
associated market and credit risk of a fixed income portfolio.
The course first considers how yield curves move and how they are impacted by central
bank activity. This analysis highlights 2-3 active strategies that can be used to exploit the
likely change in the slope and curvature of the yield curve. The next part of the course
considers how the market risk of a portfolio could be hedged using a variety of fixed
income derivatives including interest rate swaps, bond futures and short-term eurodollar
futures. The course also looks at how portfolio credit risk could be hedged using single
name and index default swaps.
Who Should Attend?
• Fixed income portfolio managers
• Risk managers
• Middle office staff
• Bond traders
• Fixed income sales
• Compliance staff
• Technology staff responsible for fixed income systems
• Central Bank staff