Derivatives in Fund Management
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Description and objective: The Basics of Futures and Forwards
What is the underlying asset for these contracts?
Equity indices, government bonds, foreign exchange, short term
interest rates
What is the difference between a forward and future?
Exchange-traded vs OTC
Valuing Contracts
What is the fair value for a contract?
Calculating the forward delivery settlement price
Basis, pricing contracts, ticks
Calculating the closing settlement price (EDSP)
Backwardation and contango
Trading Futures Contracts
The main derivative markets
Liffe, Eurex, CBOT, CME, Simex
Electronic vs open-outcry trading
Opening & closing out positions
Clearing
Role of the Clearing House
Novation, initial margin, guaranteed settlement
The role of clearing brokers
Securitising derivatives positions
Initial margin, cash buffers, using other collateral
Variation margin
Futures
Valuing index futures
How do portfolio managers use index futures?
Efficient Portfolio Management (EPM)
Hedging, asset allocation, pre-allocation before the cash is received
Pricing and using stock futures
Bond Derivatives
Change portfolio duration
Asset allocation: Bonds vs Equities
Currency Contracts
Using currency derivatives for international portfolio management
Currency overlays and hedging
Options
Using options in portfolio management - hedging, insurance
Writing options to increase portfolio income
Regulations Governing the Use of Derivatives by Portfolio
Managers
FSA regulations
Efficient Portfolio Management
New UCITS rules
Trustee regulations
Client restrictions
HOW YOU WILL BENEFIT
This course provides a fast-track understanding of the main derivative tools that are available to investment managers. It introduces the concepts of forwards, futures and options before exploring their uses in efficient portfolio management. The course also covers the regulations governing the use of derivatives; accounting for derivative in portfolios and performance measurement attribution. Case studies and workshops form an integral part of the course, to allow the delegates to consolidate the information and provide the basis for group discussions.
Contact Redcliffe Training Associates
| Phone | +44 (0)20 7631 2090 When calling be sure to mention Training Pages
| Fax | +44 (0)20 7631 2060 |
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