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Training Course Summary:

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.

Delegates will be required to bring a laptop running Microsoft Office with CD-Rom to the seminar.

Training Course Overview/Content:

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