Introduction to STIR Futures

Short-Term Interest Rate Futures are one of the most liquid exchange traded futures in the market place. In this one day workshop delegates will learn: The unique properties of STIR futures and how the markets operate; How to price and value STIR futures and the effects of the financial crisis on pricing relationships; How to use STIR futures to hedge interest rate exposures; The different exchange strategies such as spreads, butterflies, packs and bundles.

Available for in-house delivery. Call +44 (0)1483 573150
Duration: One day (9.00am to 5.00pm)
Location: In-house
Trainer: Stephen Aikin
Please contact us for a quotation

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 Hedging

+ Forward rates and forward curves
+ STIR futures implied forward rates
+ Value basis and convergence
+ 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

+ Outright 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 financial crisis on strategy trades