Dates and location
Pricing
Hours
Dates and location
Pricing
Hours
Description
This course teaches the importance of basis, hedging, and trading with futures and forwards. Learners will discover the factors influencing basis, as well as various components of bond futures including cheapest-to-deliver (CTD) bonds, repos vs. reverse repos, and how to calculate implied repo rates. The course also explores how to hedge CTD and non-CTD bonds, and how to adjust duration using futures. After completing this course, learners will have a better understanding of LIBOR alternatives (ESTR, SOFR, SONIA, etc.), exchange delivery settlement price (EDSP), and spread (basis) trading with futures.
Topics Include:
- Futures & Forwards Pricing
- Understanding Basis
- Bond Futures: Basis Risk
- Futures Hedge: Basis Risk
- Refining the Hedge
- Libor Alternatives and Other Hedging Strategies
- Spread (Basis) Trading with Futures
Key Takeaways
Upon completion of this course, learners will be able to:
- Explain basis and factors which influence it.
- Identify basis risk within futures and bonds.
- Calculate implied repo rates.
- Determine how to hedge CTD and non-CTD bonds.
- Interpret LIBOR alternatives (ESTR, SOFR, SONIA, etc.).
Who Will Benefit
This course is ideal for finance professionals who work with derivatives and bond markets and are looking to strengthen their understanding of basis risk while developing practical hedging skills to improve trading and risk management decisions.
Disclaimer
Most of CPA Ontario's 450+ on-demand courses are compatible with the mobile app. Unfortunately, this on demand course is not compatible. For the best learning experience, we suggest you use your computer.
How to Access the Course
To access the course on your computer please visit our BlackBoard site, and log-in using the same login and password used for the Registration Portal.
Please allow up to 15 minutes after registration for the course to appear on your BlackBoard page.
Registration, cancellation, withdrawal and all other CPA Ontario PD policies can be found here.
Speaker(s)
Paul North has over 32 years of experience working and teaching in the financial markets and derivatives industry. Paul was previously Head of Education at the London International Financial Futures and Options Exchange (LIFFE). He has extensive international experience training delegates from most of the world's leading investment banks, funds, regulators, exchanges, commodity trading houses, and central counterparties.