Note and Bond Futures - Online

This module covers futures contracts based on fixed income securities. These futures contracts enable you to fix the price of a bond today to be bought or sold in the future. We'll start out by introducing contract specifications and conversion factors, and then work our way through the cheapest to deliver scenario, invoice amounts and accrued interest, pricing, and cash and carry. The module wraps up with a discussion of implied repo rates, finding the cheapest to deliver bond, and hedging with bond and note futures.

This course replicates the content from lesson 4 of Forwards and Futures - Online

This is an asynchronous eLearning course that can be accessed 24/7 from any internet enabled computer. Subscription period for this course is 90 days.

Available TodayOnlineUSD$60.00
Instructional Method:
Self-Study
Level: Intermediate

CPE CREDITS
1
Traders, sales professionals, back office professionals, financial analysts, cash/money managers, auditors, compliance professionals, financial and bank officers, accountants and regulators.
Students will be able to:
  • Identify the standard elements of note and bond futures.
  • Define the function of the conversion factor.
  • Describe how the cash and carry process determines bond futures pricing.
  • Recognize the methods for identifying Cheapest To Deliver bonds.
  • Identify the two measures of bond risk as they're related to hedging.
Derivative Instruments or equivalent level of knowledge
  • Introduction to Forwards and Futures - Online
  • Forward Rate Agreements (FRAs) - Online
  • Short Term Interest Rate Futures - Online
  • Stock Index Futures- Online
  • Risks of Forwards and Futures - Online
    • Note and Bond Futures
    • Contract specifications
    • Conversion factors and cheapest to deliver
    • Invoice amount and accrued interest
    • Pricing: cash and carry
    • Finding the cheapest to deliver
    • Hedging with bond and note futures
    Duration: 1 hour