SOF Home
Research & Resources
Home > Training > Course List & Descriptions

Course List
Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Equity Derivatives: Futures and Swaps
Available Dates:
There are no dates available.
Course Code: 812
Duration: 1 day
Level: Basic
Fee: $795.00
CPE Credits: 6
Prerequisite: No Prerequisite Required

This one-day program is a deeper examination and analysis of the most actively traded equity related forward commitment contracts. This one-day program will investigate equity swaps (index, specified portfolios, individual equity) and equity futures (index and individual equity). Equity Derivatives: Futures and Swaps is designed as a basic to intermediate level program that will touch only briefly on the general principals of futures and swaps to permit a more in-depth treatment of these equity derivative contracts.

The futures portion of the presentation will begin with a review of terminology (long/short, underlying security/index, offsetting trade, etc.), contract features (units of underlying, cash settlement versus physical delivery, point and tick values, etc.) and related concepts (daily settlement and the role of the clearinghouse) of index and individual equity futures contracts.

The presentation then moves to an exploration of the cash flow consequences of taking and holding a futures position by comparing a futures position to an equivalent position in the underlying security/index: what the buyer and seller are exchanging at the time of a trade; cash flows at position initiation and over time; initial and maintenance margins, margin calls and variation margin; mark-to-the-market and daily settlement. Subsequently, the discussion moves to a conceptual overview of futures pricing and the forward (futures) pricing curve: cost of carry pricing and the implications of positive and negative carry.

The final portion of the equity futures segment will illuminate various aspects of hedging with futures: concept of long and short hedges, number of contracts and futures delivery; price risk versus basis risk; the use of beta in weighting hedges.

The second half of the session will be devoted to equity swaps. This segment will begin with a review of equity swap fundamentals (basic structures, common variations, unique characteristics). This will be followed by an examination of the cash flows on swap positions (settlement value of the legs, daily settlement of cleared swaps) for the common variations in equity swap contracts as well as an analysis of the economic exposure resulting from the initiation of a swap position. That will set up a brief introduction to swap pricing and valuation. The balance of the equity swap segment will be focused on trading and risk management applications: creating/offsetting exposures; altering portfolio asset allocations; synthetic short positions; long/short trades; etc.

This seminar would be useful for anyone whose duties entail some exposure to equity derivatives and the program would be especially helpful to those working in areas supporting futures/swaps trading or sales as well as middle and back office areas such as clearance and settlement, compliance, financial control, information technology, portfolio administration or marketing.

Topics for Discussion Include: 


Equity Futures Contracts

  • Basic Concepts and Terminology
  • Types of Equity Futures Contracts                   

Cash Flows and Economic Exposures of Futures Positions

  • Going Long or Short Futures vs. Taking Equivalent Underlying Indices and Securities
  • Comparison of Risks and Costs

Futures Pricing and the Forward (Futures) Pricing Curve

  • Futures Prices, Derivatives and Price Discovery
  • Futures Pricing - Cost of Carry (Arbitrage) Pricing
  • Implications for Trading and Hedging Strategies     

Hedging and Risk Management with Equity Futures

  • Concept of Hedging
  • Mechanics of Constructing Hedges
  • Weighting Hedges by Beta
  • Altering Position Exposures with Equity Futures

          EQUITY SWAPS

Introduction to Equity Swaps
  • Forward Commitment Swap Contracts
  • Unique Characteristics of Equity Swaps
  • What is Being "Swapped" by Contract Counterparties
  • Potential Advantages of Using Swaps to Create/Offset Exposures

Equity Swap Contracts

  • Contract Specifications Negotiated by Counterparties
  • Types of Equity Exposures
  • Variations in Equity Swap Structures
  • Economic Equivalents of Equity Swap Positions
  • Pricing and Valuation of Equity Swaps

Trading and Risk Management Applications of Equity Swaps

  • Broadening Portfolio Diversification
  • Modifying Portfolio Asset Allocation
  • Hedging Market Risk
  • Long/Short Strategies (Relative Performance Swaps)
  • Establishing Short Positions Where Otherwise Difficult

Variance Swaps

  • Forward Contracts Tied to Variance of Return on Underlying
  • Variance Swap Contract Characteristics
  • Realized Variance vs. Variance Strike
  • Variance Swaps Payoffs at Expiration
  • Trading and Hedging Applications of Variance Swaps