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