Short-Term Interest Rate Futures: Introduction

In this one day workshop delegates will learn: The unique properties of STIR futures and how the markets work; How to price and value STIR futures and what impact the Credit Crunch has had on pricing relationships; How the Bloomberg functions work; How to use STIR futures to hedge interest rate exposures; The properties and applications of different exchange strategies such as spreads, butterflies, packs and bundles.
 

Date: November 2, 2010
Duration: One day (9.00am to 5.00pm)
Location: London Chamber of Commerce – London, UK
Trainer: Stephen Aikin
Course fee: £895 + VAT – Register online

 

Course Outline

Introduction to STIR Futures
+ The market for interest rate futures
+ Introduction to STIR futures and exchanges
+ Contract structure and specifications
+ Quotation conventions
+ How do STIR futures differ from other futures?
+ Outrights, Spreads, Packs, Bundles, Butterflies and Condors
+ Strip yields and the credit crunch
+ Clearing and margining
+ Accessing the market, ISV’s, co-lo, algorithms and implied pricing
+ STIR QUIZ: Constructing spreads and determining profit and losses

STIR Futures Pricing and Valuation
+ Forward rates and forward curves
+ STIR futures implied forward rates
+ STIR Pricing formula
+ Simple and Value basis & convergence
+ “Cheap” and “Dear” STIRs
+ Bloomberg STIR valuation functionality: EUS[GO]
+ Reverse-engineering EUS[GO]

Hedging Using STIR Futures
+ Interest rate hedging
+ Basic hedging of interest rate exposures using STIR futures
+ Advanced hedging to incorporate: Size, tenor, rates and basis
+ WORKSHOP: Hedging interest rate exposure with STIR futures

Using STIR Futures – Trading
+ Asymmetric trades
+ Price drivers and leading indictors
+ Economic indicators
+ Correlated and uncorrelated markets
+ Cross market STIRs
+ Event risk
+ Central Bank Rhetoric
+ Calendar spread and the yield curve
+ Spread characteristics
+ The spread matrix
+ Butterfly spreads and condors
+ Pricing strategy trades
+ The effects of the credit crunch on strategy trades
+ Inter-market spreading