Introduction to Treasury Futures: Factoring the Risks

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Course: Treasury futures are one of the most popular futures contracts for both hedging and speculating. Some of the factors that influence value in the treasury complex include: interest rate risk, inflation risk, and the willingness of investors to continue buying Treasury debt. These factors lead to volatility in the underlying value of debt instruments as interest rates move up or down.

If your business borrows money, you can mitigate the effects of higher or lower interest rates by trading the treasury future complex. Moreover, with treasury interest rate levels at multi generational lows, a robust case can be made for hedging the threat of higher interest rates in the future now -before interest rates return to 'normal' levels.

This IFM short course provides the foundation to understand how the cash and futures markets are connected, and how to guard against interest rate volatility.

After the course you will be able to:

  • Understand why futures are hearty substitutes for the cash market, yet they are cheaper to trade
  • Quantify the interest rate risk inherent in treasury securities by applying duration and basis point value (BPV) statistics to a particular bond or portfolio of bonds
  • Distinguish among the basket of deliverable securities which is cheapest-to-deliver (CTD)
  • Recognize how the shape of the yield curve impacts serial futures spreads
  • Master the implications of the conversion factor (CFi ) invoicing process

Class Size: Registration is limited to approximately 15 participants to promote student participation and interaction.

Who Should Attend: Anyone who holds, handles or trades debt instruments would benefit from this course. Course attendees could include new entrants to fixed income markets, finance analysts, junior research analysts, portfolio managers and traders, compliance managers, regulators, operations and systems staff or those with differing backgrounds such as equity professionals.

Level: Basic/Intermediate

Cost: $250 early-bird ends 4 weeks prior to course date; $375 standard registration.
Complimentary refreshments are provided.

To Register: Online click here, contact
the Institute at 202.223.1528
or via e-mail at

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