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Description

Interest Rate Risk: Measuring Exposure, Hedging and Steering

Quantify the exposure of a debt book or portfolio to rate movements and select the appropriate hedging instrument

  • 1 day — 7 h
  • In-person or virtual
  • Intermediate
  • Up to 6 participants

A company borrows at a floating rate, places its surpluses short term and discovers that a few basis points move its finance result significantly. Without measurement, hedging decisions are taken on instinct, often after the market has moved, and the cost of the instruments is never compared with the risk actually covered.

This 7-hour programme focuses solely on interest rate risk. It teaches participants to build an exposure schedule, measure the sensitivity of the finance result, compare a swap, a cap and a collar against a given requirement, then formalise a hedging policy with its limits and its accounting follow-up.

Learning objectives

  • Build the interest rate exposure schedule of a debt facility and an investment
  • Measure the sensitivity of the finance result to a rate movement
  • Compare interest rate hedging instruments against an identified requirement
  • Quantify the cost of a hedge and compare it with the risk avoided
  • Formalise a hedging policy with limits and indicators
  • Anticipate the accounting treatment and the documentation of the hedging relationship

What makes this programme different

An interest rate position is built during the session from a real anonymised debt amortisation schedule
Swap, cap and collar are priced side by side against the same hedging requirement
Each participant drafts and takes away a hedging policy note

Programme

1Measuring Interest Rate Exposure

Building the position before discussing it

  • Sources of exposure in debt, investments and contracts
  • Distinguishing fixed, floating and resettable rates
  • Building the exposure schedule by period
  • Calculating the sensitivity of the finance result to a rate movement
  • Reading the yield curve and its shifts

2Selecting a Hedging Instrument

Swap, cap, collar and contractual alternatives

  • Mechanics and payoff profile of an interest rate swap
  • Buying a cap and the logic of the premium
  • Building a collar and the cost-protection trade-off
  • Hedging features embedded in the loan agreement
  • Selection criteria according to horizon and risk tolerance

3Steering the Hedge Over Time

Policy, limits and accounting

  • Drafting a hedging policy and setting limits
  • Monitoring indicators and position dashboard
  • Documenting the hedging relationship and testing effectiveness
  • Accounting for the instruments under IFRS and impact on the financial statements
  • Reporting to executive management and banking partners

Who is it for

Treasurers and financing managers as well as chief financial officers, financial controllers and analysts responsible for debt

Prerequisites

Be able to build a cash flow forecast and understand the mechanics of a bank loan

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.