Fixed Income Special Interest Group

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  • 1.  Trading the basis on bond futures

    Posted 21-04-2024 20:24

    Hi

    Well past my prime in this area but I am wondering if anyone out there has an interest in this topic.

    Personally I find it fascinating due to the many aspects of collateral availability, convexity of bond future price performance and the resultant embedded options caused by a widening basis of a higher duration ex ctd

    It is not a visible market to many and not as far as I know well understood by financial journalists but is essential for an effective understanding of hedging portfolios.

    Any thoughts most welcome.



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    Ian Round
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  • 2.  RE: Trading the basis on bond futures

    Posted 08-03-2026 20:11
    Edited by Thomas Streater 08-03-2026 20:11

    Hi Ian,

    This is an interesting topic. Do you have any suggestions for experts in this area, that we could invite to give a presentation to CFA UK?

    Which platform(s) do you use to trade this?


    Thomas Streater, CFA, CIPM, CAIA


    Original Message


  • 3.  RE: Trading the basis on bond futures

    Posted 08-03-2026 20:37
    Sorry, I don't know why you send me this. My suggestion: create your own slide presentation for a 10-15 mns introduction followed by a wed workshop with practical cases looked at in 2-3 working groups. As the previous person suggested the theoretical aspect is not that complicated, what matters is to bear it in mind when looking at financial statements with a forensic approach. The most likely sources of unexpected compliance discrepancies are companies with an Equity & Liabilities side of the balance sheet that looks like a hedge fund, ie there are 'the usual suspects'. There is also a psychological aspect to handle as companies would not admit to exploiting loopholes and would even fire you if you work for them and want to be 'honest'.







    Original Message


  • 4.  RE: Trading the basis on bond futures

    Posted 09-03-2026 09:36

    Hi All, 

    We have a Fixed Income pathway series of events coming up - organised by this SIG - more info here for you, first few in the series not be at this level of depth, but speakers might be able to help! https://www.cfauk.org/events/cfa-uk-fixed-income-pathway-fixed-income-overview-1-of-4



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    Tilly Baker
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    Original Message


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