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Course: Treasury futures are an effective tool for interest rate benchmarking and price risk management. During the one-day educational course you will learn the mechanics and application of this futures product for hedging, and speculation.
During the first half of the program, IFM will discuss the differences between cash and futures on Treasury products and the implicit cost of trading each. We will explain the positive convexity built into the cash fixed income products; negative convexity embedded in Treasury futures: how the shape of the yield curve impacts which issue is Cheapest-to-Deliver; how to quantifying the interest rate risk of various term products; and the carry model for fixed income and intra/inter-market spreads.
In the second half of the course, the IFM illuminates the important, yet subtle, nuances of the fixed income future contracts. You will learn how to define and calculate gross basis, net basis, implied repo-rates, and the synthetic duration of a hedged position. You also will learn how high or low interest rates must move to precipitate a cross-over in the CTD bond/note — which alters both hedge-ratio's and/or spread-ratio's.
After the course you will be able to:
Who Should Attend: This course is suited to anyone who holds, handles, or trades debt instruments. Attendees include new entrants to fixed income markets, risk managers, finance analysts, junior research analysts, cash/money managers, auditors, and traders, compliance managers, regulators, operations and systems staff, or those with differing backgrounds such as equity professionals.
Credits: The IFM is recognized by Global Association of Risk Professionals (GARP) as an Approved Provider of continuing professional education (CPE) credits for FRMs and ERPs. This course is valid for 6 credits.
Cost: $495 Early-bird | $550 Standard registration
UK $595 Early-bird | $650 Standard registration
Complimentary morning and afternoon
refreshment breaks are provided. Lunch on own.