Fixed Income and Debt

Fixed Income Analysis - Part 2 (2019)


This eCourse consists of two modules. Module 1 looks at the main features of government bond futures, how they are priced and settled, and the key hedging an asset allocation strategies used with these instruments.

Module 2 looks at the main features of swap futures, including how they are priced, traded, and settled. The historical and regulatory development of these instruments is also examined in detail.


On completion of this course, you will be able to:
- Identify the key features of government bond futures, including notional amounts and coupons, conversion factors, deliverable bonds, and the cheapest to deliver (CTD)
- Recognize the main pricing concepts with bond futures, including basis, cash and carry trades, the implied repo rate, and invoice prices
- Recall the importance of modified duration and its relationship with the CTD
- Identify the key hedging and asset allocation strategies with bond futures
- List the key features of market adjusted coupon (MAC) and Eris swap futures, including pricing, margining, and settlement mechanisms, and the main benefits of these instruments
- Recall the regulatory background to the development of swap futures
- Recognize how traders use forward rates top identify pricing anomalies and trading opportunities


Module 1: Bond Futures
Topic 1: Key Features of Bond Futures
Topic 2: Pricing
Topic 3: Duration
Topic 4: Hedging & Asset Allocation

Module 2: Swap Futures
Topic 1: Overview of Swap Futures
Topic 2: Forward Swap Rates


Relevant Subject
Type 2 - Dealing in futures contracts
Type 5 - Advising on futures contracts
Type 9 - Asset management
SFC:1.50, PWMA:1.50
All Member: HK$460
Staff of Corporate Member: HK$460
Non-Member: HK$665