Quick Find:
Trading and Hedging Short-Term Interest Rate Risk
Download brochure The course looks at over-the-counter and exchange-traded instruments related to short-term interest rates. These instruments are compared and contrasted in terms of interest rate exposure and credit risk and their relative value is assessed as tools for hedging and expressing views about changes in the yield curve.

Attending the course will help you:
  • Look at hedging with STIR futures
  • Find out about market directional, relative and curve trades
  • Understand monetary policy and the yield curve

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, risk and return.

Programme Recognition

Candidates who complete the Trading and Hedging Short-Term Interest Rate Risk training programme qualify for 13 credit hours under the guidelines of the CFA Institute’s Continuing Education Programme.

Course Director

David Oakes trained as an economist at the London School of Economics and was lecturer in finance at the University of Exeter and Warwick Business School. David joined the ICMA Centre at the University of Reading as Director of Academic and Professional Education in 1998. He co-ordinated ICMA Executive Education programmes from 1994-2004. David left the Centre in 2004 to set up Dauphin Financial Training Inc., which delivers advanced financial markets training to investment banking clients in New York and around the world.
Download brochureThe course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Money Market Rates and Instruments
  • Interbank deposits (LIBOR, Euribor) and certificates of deposit
  • Treasury bills, bank bills and commercial paper
  • Repurchase agreements

2. Short-Term Interest Rate (STIR) Futures
  • Eurodollar STIR futures
  • Margining, clearing and settlement

3. Forward Rate Agreements (FRAs)
  • FRA settlement
  • Convexity in FRAs

4. Hedging with STIR Futures
  • Basis point value (BPV) of money market instruments
  • Hedging and basis risk with STIR futures
  • Implementing Eurodollar STIR futures hedges with packs and bundles

5. Central Banks, Monetary Policy and Yield Curve
  • Targets and instruments of monetary policy
  • Expectations and the impact of monetary policy
  • Interest rates and exchange rates in an open economy

6. Market Directional Trades
  • Outright trades with cash instruments
  • Outright trades with STIR futures

7. Curve Trade
  • Calendar spreads (path of forward rates)
  • Other curve trades

8. Relative Value Trades
  • Treasury-Eurodollar (TED) spread, term TED spreads and credit risk
  • LIBOR-OIS spread and counterparty credit risk

9. Interest Rate Swaps and STIR Futures
  • Hedging and pricing swaps with STIR futures
  • Convexity adjustment for implied forward rates

10. Basis Swaps
  • Basis swaps and cross-currency basis swaps
  • Overnight index swaps (OIS)

11. Carry Trades
  • Covered and uncovered interest rate parity
  • Risks in carry trades

12. Caps and Floors
  • OTC interest rate caps, floors and collars
  • Simple interest rate risk management with caps and floors

13. Options on Eurodollar Futures
  • Constructing caps and floors with options on Eurodollar futures
  • Curve trades

14. Options on other STIR Futures or Short-Term Rates
  • Treasury bills
  • Federal funds
  • OIS

ICE EducationDetails of the next seminars


16-17 October 2017

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.


£1,400 for members and £1,850 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.


Should you have any queries, please contact education@icmagroup.org.

Join ICMA Executive Education on: