Treasury Futures: Using International Fixed-Income and Money Market Spreads

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Course: This progressive course builds on the knowledge gained in two previous IFM courses: Introduction to Treasury Futures: Factoring the Risks, and Treasury Futures Basis: Beyond the Risks. The program provides a decidedly international perspective and explores the enormous spread trading opportunities in trading one sovereign yield curve against another sovereign yield curve, using just futures.

We begin with a discussion of the price volatility of various libor-based contracts vs. their sovereign fixed-income sovereign future contract counterparts. We reconcile how many eurodollar futures to spread vs. the ten-year note futures, among many other examples. This discussion is extended to the international arena, initially by calculating how to weight money market spreads using futures, i.e. short sterling spread vs. euribor. Next, we consider trading one sovereign yield curve vs. another one, using just futures, on a duration neutral-basis and currency neutral-basis. These currency hedged yield spreads are now popular macro strategy tools.

After the course you will be able to:

  • Differentiate money market future characteristics vs. fixed-income futures
  • Distinguish how the contract size, BPV of CTD, and base currency determines how many of one sovereign bond future to spread vs. another sovereign bond future
  • Construct a spread that is duration neutral and currency neutral in each market.
  • Understand the motive and proper construction of currency hedged yield spreads (CHYS); implemented when you think one yield curve is too steep or flat relative to another yield curve
  • Recognize proper calculations of NOB (Notes over Bonds) spread ratios (or Schatz vs. Bobl) depending on if the yield curve is expected to move in a parallel, or non-parallel fashion
  • Class Size: Registration is limited to approximately 15 participants to promote student participation and interaction.

    Who Should Attend: Proprietary traders, relative-value (RV) traders, and speculative traders, hedge funds, CTA's, CPO's who are looking to diversifying beyond trading treasury debt futures. Individuals already experienced with what makes trading treasury futures unique, yet looking for new ways to consider growing and trading beyond domestic sovereign will find this course productive.

    Level: Intermediate/Advanced

    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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