Training Courses

Introduction to Exchange-Traded Derivatives

Category: Derivatives

Course level: Introductory

In house

This 3-hour workshop has been designed to provide a fast-track introduction to exchange-traded derivative contracts and their uses by investment managers.

No prior knowledge is assumed and all terms will be fully explained. Case studies form an integral part of the course, to allow the delegates to consolidate the information and provide the basis for group discussions.

Objectives

By the end of the workshop, delegates will have a better understanding of:

  • exchange-traded futures and options
  • the trading process (opening and closing positions)
  • how trades move through the administration process
  • initial margin and forms of collateral
  • the mark to market process and margin payments
  • common strategies – hedging, asset allocation and speculation
  • UCITS III regulations
  • fund accounting with derivatives

Length

3 hours

Course Content

Types of derivative contracts

Quick overview of differences between exchange-traded and OTC derivatives (simple matrix)

Futures

What is a future?
Calculating the forward delivery settlement price
What affects the price of a contract?
What is a tick?
Worked example: Calculating the fair price for a futures contract

Opening and closing out

Role of the exchange

Clearing

Role of the clearing house
Role of clearing brokers
Novation

Margining positions

Initial margin, variation margin and maintenance margin
    Securitising derivatives positions
    Cash buffers, using other collateral
    Showing the trade as it progresses through the administration  process
Case study: Margining a futures contract

Index futures

Valuing index futures
How do fund managers use index futures?
    Hedging
    Asset switching
    Securitising cash
Worked example: Hedging a portfolio using futures
Worked example: Asset allocation using futures
 

Gilt futures

How do fund managers use gilt futures?
    Hedging
    Asset switching
    Securitising cash
    Change duration

Options

Buying calls
Writing calls
Buying puts
Writing puts
Worked examples: Simple option strategies

Regulations governing the use of derivatives by portfolio managers

UCITS III and application in Authorised Investment Funds

Accounting for derivatives in portfolios

Valuing futures and forwards
Associated economic exposure
Cash/stock adjustment
Valuing options

This course would be suitable for:

  • Finance and accounting
  • Investment administration and operations
  • Investment professionals
  • IT and software developers
  • Legal & Compliance
  • Risk management
  • Sales and marketing

This course would be suitable for these exams:

  • CFA - Level 1
  • CFA - Level 2
  • IMC
  • SII Certificate - Derivatives
  • SII Certificate - Financial Derivatives Module
  • SII Certificate - Securities & Financial Derivatives
  • SII IAQ - Exchange-Traded Derivatives Administration
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