Europe 2019

CME Institute LIVE

Don’t miss your chance to dive into financial futures and learn how they can assist your portfolio

Financial futures and the institutional trader’s toolbox

Today’s European money managers must be on the lookout for new ways to generate alpha in low-return environments, while nimbly navigating hairpin market turns from a 24-hour world news cycle. Uncleared Margin Rules have many institutions looking for ways to negate higher costs, such as switching to listed FX options. Portfolio managers must manage a slew of risks and new technologies while seeking greater cost efficiencies in ever-more-regulated, capital-constrained markets. To be successful requires a deep and comprehensive toolbox of the right tools, innovative strategies and a forward-thinking mind ready to learn.

This workshop provides a deep dive into how you can achieve just that using CME Group’s benchmark interest rate, equity index and FX derivatives products. Discover new ways to reduce existing and new margin requirements from Uncleared Margin Rules while freeing up credit lines, increasing cost efficiencies and maximizing your risk/return.

Who should attend?

Investment and research professionals at asset managers, pensions, insurance firms, and banks.

What you’ll learn

The CME Institute Live event will provide you with practical applications of exchange-traded derivatives (ETD) as effective trading and risk management tools. You also will learn how to analyze the price of futures versus cash markets, and how to evaluate ETDs as an effective tool for your portfolio.

Interest Rate Workshop

  • Deconstructing pricing between US Treasury futures and Treasury cash securities
  • Determining proper hedge ratios for individual securities and portfolios using UST futures
  • Constructing inter-commodity spreads (ICS) in UST futures to manage/trade yield curve risk
  • Analyzing Eurodollar futures convexity bias to the Interest Rate swaps market
  • Evaluating and selecting shorter maturity ICS to trade or manage credit exposure

Equity Index Workshop

  • Comparing Equity Index futures vs equivalent ETFs and swaps in total cost analysis and relative value terms
  • Measuring the capital needed for futures vs other equity index beta replication products
  • Executing cash equitization, portable alpha, and sector rotation strategies with futures

FX Futures Workshop

  • Calculating the fair value of an FX futures contract
  • Applying FX futures as an overlay for exchange rate risk
  • Analyzing FX futures correlation to other asset classes
  • How capital usage differs for ETD and OTC under Uncleared Margin Rules (UMR)

Ready to register for CME Institute Live?

Sign up today to reserve your seat at a CME Institute Live event near you. Events are free to attend and offered in multiple locations.

Event Locations


09 - 10 Sept
Zurich Marriott
Neumuehlequai 42, Zurich 8006, Switzerland


12 - 13 Sept
The Grand Stockholm
Södra Blasieholmshamnen 8, 103 27 Stockholm, Sweden


07 - 08 Oct
The Dylan Amsterdam
Keizersgracht 384, 1016 GB Amsterdam, Netherlands


09 - 10 Oct
InterContinental Paris - Le Grand
2 Rue Scribe, 75009 Paris, France


14 - 15 Oct
CME Group Office
1 New Change
London, EC4M 9AF


17 - 18 Oct
Villa Kennedy
Kennedyallee 70, 60596 Frankfurt am Main, Germany


Day 1 │ Interest Rate Workshop

9:00 – 9:30


  • Standardized futures vs. OTC
  • Exchange-traded derivatives & clearing benefits
  • CCP vs. bilateral counterparty risk

9:30 – 10:30

US Treasury Futures Foundations

  • Delivery process
  • Pricing mechanics
  • Basis, carry-repo, net basis
  • Cheapest to deliver (CTD), measuring risk

11:00 – 12:30

US Treasury Futures Applications

  • Basis trading
  • Invoice spreads
  • Duration adjustments
  • Yield curve
  • Option overlay

12:30 – 13:30

Break, lunch provided

13:30 – 14:30

STIRs Basics

  • Contracts, design & specs
  • Fed Funds (FF) & FedWatch
  • Convexity bias
  • Eurodollar (ED) Packs, Bundles, and Strips

14:30 – 15:00


15:00 – 16:30

STIRs Applications

  • Hedging rate exposure & creating synthetic investments
  • Pricing/hedging interest rate swaps
  • Calendar spreads & butterflies
  • Inter-commodity spreads: FF-ED & Term TED spreads
  • Eurodollar options

Day 2 │ FX & Equity Index Workshop

9:00 – 9:30


  • Financial futures, incl. exchange-traded vs. OTC
  • Uncleared Margin Rules (UMR) implications and margin
  • CCP vs. bilateral counterparty risk

9:30 – 11:15

FX Futures

  • Size and scope of FX
  • Quote conventions, futures pricing, contract mechanics
  • Currency overlays
  • FX as a non-correlated asset class
  • Basis: CME FX Link
  • FX options
  • Uncleared Margin Rule (UMR) considerations

11:15 – 11:30


11:30 – 12:30

Equity Index 1.0

  • Indexing/benchmarks
  • Pricing mechanics
  • Carry, dividend income
  • CAPM review, beta, alpha
  • Beta replication, beta adjustment

12:30 – 13:30

Break, lunch provided

13:30 – 15:00

Equity Index 2.0

  • Cash equitization
  • Portable alpha
  • Index spreads
  • Select Sectors, sector rotation

15:00 – 15:15


15:15 – 16:45

Equity Index 3.0

  • Basis Trade at Index Close (BTIC)
  • Trade at Cash Open (TACO)
  • Total Return & Dividend futures
  • Futures versus ETFs
  • Options for price risk

*Agenda subject to change

Course Credit

This program has been approved by GARP and qualifies for 12 GARP CPD credit hours. If you are a Certified FRM or ERP, please record this activity in your credit tracker at

Derivatives are not suitable for all investors and involve the risk of losing more than the amount originally deposited and any profit you might have made. This communication is not a recommendation or offer to buy, sell or retain any specific investment or service.