Treasury Futures Basis: Making Sense of the Statistics

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Course: This short course extends the knowledge gained from the IFM's Introduction to Treasury Futures: Factoring the Risks, and explores the important, yet subtle nuances of the fixed income future contracts. We begin by defining and calculating the gross basis, net basis, implied repo-rates, and the synthetic duration of a hedged position. Next we will consider how high or low must interest rates move to precipitate a cross-over in the CTD bond/note. Knowing the location of those inflection points allows you to foresee how your hedge or speculative ratios are likely to change if the price/yield changes by the requisite amount. This is important to understand even for a speculator who has no intention to ever make or take delivery.

After the course you will be able to:

  • Explain why a systematic favoritism implied by the "6% nominal yield" exists
  • Calculate for a given bond or note its: gross basis, net basis, and implied repo rate
  • Construct proper hedge ratios and be able to differentiate among the un-weighted hedge ratio, the conversion factor weighted hedge ratio, and the basis point value (BPV) weighted hedge ratio
  • Recognize the implicit strategy in any portfolio hedging technique. Understand why someone might want to hedge their portfolio with just the 2-year note, or just the 10-year note; rather than bucketing their portfolio across the range of available futures contracts
  • Quantify the value of the options embedded in the treasury futures basis. What is the cost of acquiring the options embedded in the treasury futures basis
  • 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: 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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