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Advanced Futures & Forwards

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Overview

Advanced Futures & Forwards Course Overview

This Advanced Futures & Forwards course teaches the importance of basis, hedging, and trading with futures and forwards. You will learn about 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. You will also learn how to hedge CTD and non-CTD bonds, and how to adjust duration using futures. After completing this course, you will have a better understanding of LIBOR alternatives (ESTR, SOFR, SONIA, etc.), exchange delivery settlement price (EDSP), and spread (basis) trading with futures.



Modules explored: 

  • Futures & Forwards Pricing - Review
  • Understanding Basis
  • Bond Futures - Basis Risk
  • Futures Hedge - Basis Risk
  • Refining the Hedge
  • Spread (Basis) Trading With Futures



Advanced Futures & Forwards Learning Objectives

Upon completing this course, you 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.)



Advanced Futures & Forwards Is an Elective Course of CFI’s CMSA® Program

CFI’s Capital Markets & Securities Analyst (CMSA)® program covers all the basic, intermediate, and advanced topics about sales and trading, investment banking, and asset management. This program teaches you trading strategies used in the finance and capital markets industry. It is ideal for students who want to learn how to trade different asset classes. The program is completely online so you can take it at your own pace, from anywhere in the world.

Common career paths for students who take the CMSA® are Sales & Trading, Asset Management, Wealth Management, Treasury, Risk Management, and other capital markets careers.



Who Should Take This CMSA® Course?

This Advanced Futures & Forwards course is ideal for any student or professional interested in gaining a better understanding of the futures and forwards markets. Whether you are interested in derivatives or not, this course provides the key learning objectives required to become familiar with these complex tools.

What You'll Learn

Slide
Lesson
Multimedia
Exams
Files
Course Introduction
Course Introduction FREE PREVIEW
Learning Objectives
Download Course Presentation
Futures & Forwards Pricing - Review
Generic Futures Contract
Cost of Carry
Contango and Backwardation Markets
Interactive Exercise 1
Understanding Basis
Understanding Basis
Basis Overview
Basis and Hedge Outcome - Scenario 1
Basis and Hedge Outcome - Scenario 2 and 3
Basis and Hedge Outcome - Change in Basis
Factors Influencing Basis
Natural Long Example
Storage and Basis
Storage and Basis - Example
Quoting Basis FREE PREVIEW
Quoting Basis - Example
Interactive Exercise 2
Bond Futures - Basis Risk
Bond Futures Introduction
Bond Futures Example
Bond Price Factor
Cheapest-To-Deliver Bond
Repo vs. Reverse Repo FREE PREVIEW
Repo vs. Reverse Repo Trade
Return on Cash and Carry
Calculate Implied Reverse Repo - Exercise
Calculate Implied Reverse Repo - Solution
Implied Reverse Repo Exercise
Cash and Carry Arbitrage
Net Basis
Net Carry
Net Basis - Example
Net Basis Exercise
Net Basis - Example Continued
Cash and Carry Summary
Reverse Cash and Carry Summary
Futures Hedge – Basis Risk
Futures Hedge Introduction
Simple Hedge Ratio
Basis Point Value (BPV)
Basis Point Value Historical Observation
Basis Point Value Exercise
Hedging the CTD
Hedging the CTD Continued
Refining the Hedge
Refining the Hedge Introduction
Hedging the CTD - Example FREE PREVIEW
Hedging the CTD - Solution 1
Hedging the CTD - Solution 2
Hedging the CTD Exercise
Hedging Non-CTD Bonds
Hedging Non-CTD Bonds Continued
Hedging Non-CTD Bonds - Example
Hedging Non-CTD Bonds Exercise
Risks in Hedging Non-CTD Bonds
Hedge Efficiency
Calculation of Portfolio Duration
Calculation of Portfolio Duration Continued
Duration Adjustment With Futures
Duration Adjustment With Futures - Example
Duration Adjustment Exercise
Simple Hedge Ratio - Beta Example
Tactical Asset Allocation - Question
Tactical Asset Allocation - Answer
Hedge Ratio - Question
Hedge Ratio - Answer
Libor Alternatives and Other Hedging Strategies
Libor Alternatives
Spot Rates vs. Forward Rates
ESTR Spot Rate
ESTR Overview
One-Month ESTR Contract - Example
Exchange Delivery Settlement Price (EDSP)
ESTR One-Month Period
ESTR EDSP
EDSP Formula
EDSP Calculation
ESTR EDSP Expanded
EDSP Calculation Continued
EDSP Exercise
Market Risk
Concept of Hedging FREE PREVIEW
Long Hedge
Tails and Stubs
Tail Hedge Example
Stub Hedge Example
Stub Hedge Example Continued
Odd Month Hedge Overview
Odd Month Hedge Example
Odd Month Hedge Example Continued
Hedging Within a Month
Spread (Basis) Trading With Futures
Spread (Basis) Trading Introduction
Trading With Futures - Spread or Basis
Trading the Switch - Spread Narrowing
Trading the Spread Outcome
Course Summary
Qualified Assessment
Qualified Assessment
Share Your Feedback
Course Completion

Become a certified Capital Markets & Securities Analyst (CMSA)®

Advanced Futures & Forwards is part of the All Capital Markets & Securities Analyst (CMSA)® courses, which includes 29 courses.

Capital Markets & Securities Analyst (CMSA)® Certification
  • Skills Learned Trading strategies used in the finance and capital markets
  • Career Prep Work in capital markets, whether on the buy-side or the sell-side
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Path To Certification

Prep Courses

5 courses from beginner to intermediate level.

01Optional

Core Courses

8 courses from beginner to intermediate level.

02Required

Elective Courses

16 courses in advanced and intermediate levels.

03Required

Get Certified

Submit your CMSA® checklist and order your certificate.

CMSA Certificate 04Required

Join Our Community

Get access to the Global Corporate Finance Society.

05Optional

How the Certification Works

Capital Markets & Securities Analyst (CMSA)® courses are offered 100% online, allowing you the flexibility to start the Capital Markets & Securities Analyst (CMSA)® program anytime and learn when it’s most convenient for you.

The program is a part of the All Access Subscription, which includes all programs and courses.

CFI courses are designed by instructors with over 21 years of financial analyst training experience.

Students must complete all core and 7 elective courses (13 in total) and demonstrate mastery of the topics through successful completion of course materials, quizzes, and assessments.
Within 48 hours of program completion, your Blockchain Verified (CMSA)® Certification will be emailed to you.

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