Rates

Government bonds, yields and the curve, duration, repo, swaps and inflation.

1. R1Government bonds and how they’re quotedKnow what a government bond is, read its price, and work out what a buyer actually pays.8 min
2. R2Price, yield and the curveWork out a bond’s price from its yield, read the rate the market expects next year, and name a move in the curve.9 min
3. R3Duration, DV01 and convexityTurn any move in yields into a profit or loss in pounds, and say why long bonds move more than short ones.8 min
4. R4Money markets, repo and the expected policy pathPrice a Treasury bill, work out repo interest, and read from market prices what traders expect the Bank of England to do next.9 min
5. R5Supply, auctions and relative valueTell whether a government bond auction went well, explain why the newest bonds yield a little less, and say how heavy borrowing moves the curve.8 min
6. R6Bond futures and hedgingWork out how many bond futures hedge a position, what a futures seller is paid, and which bond the futures price tracks.9 min
7. R7Interest rate swapsExplain who pays what in a swap, choose the right side for a hedge or a view, and value a swap after rates move.9 min
8. R8Curve trades, carry and roll-downSet up a trade on the gap between short and long yields, size it so only the gap matters, and work out what a bond earns while you wait.9 min
9. R9Inflation-linked bonds and breakevensWork out the inflation rate the bond market is pricing, say whether an inflation-linked bond or an ordinary one wins, and read the 5y5y.9 min
10. R10What moves rates: event daysSay which news moves short-term yields and which moves long-term ones, and split a day’s move into rate expectations and everything else.7 min