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 21 hours ago
    Edited by Thomas Streater 21 hours ago

    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 20 hours ago
    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 7 hours ago

    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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