This course builds on the Intro to Futures course and specifically covers the fixed income futures markets. The course will begin with Eurocurrency futures products and will examine the various fixed income contracts traded globally, including features and characteristics, where they trade, and how they are used in hedging and speculating. This will follow with an in-depth examination of how futures are used to price and hedge interest rate swaps. The course will then move on to Treasury note futures and will also cover the various fixed income futures contracts that trade globally. Specific focus will be on cheapest to deliver (CTD), implied repo rate and note futures arbitrage. Finally, the course will cover how note futures are used to hedge the market risk on existing fixed income portfolios and how to hedge anticipatory cash inflows or outflows.

Objectives

By the end of the course, the participant will be able to:

• Define the various global eurocurrency futures products
• Explain how eurocurrency futures are used in hedging and speculating
• Explain how eurocurrency futures are used to price and hedge interest rate swaps
• Define Treasury note futures contracts and the various global fixed income contracts
• Explain and calculate CTD, implied repo rates and note futures arbitrage
• Explain how note futures are used to hedge market risk
• Identify Bloomberg pages that market practitioners use

This course is designed for

• Fixed income portfolio managers
• People supporting a fixed income portfolio