CMFAS Module 6A – Securities & Futures Product Knowledge
Summary of Updates
(May 2017 – Version 2.7)
The updates made to the CMFAS Module 6A (October 2016 – Version 2.6) are summarized as follows:
*Additions / updates / corrections are indicated in blue italics.
Deletions are indicated in strikethrough.
Section and page references relate to the updated study guide.
Chapter /
Section
Page Update / Amendment
No
Chapter 2 – Futures
2.7.3
Equity
Index
Futures
4. Pricing Equity Index Futures
29
The fair value of an equity index futures contract is normally expected to be positive
such that futures prices are more than the spot prices (S > F) (F > S).
Chapter 3 – Futures Strategies
Example of a Calendar Spread
Current Market
USD/Euro September
July 2014
= 72.65
USD/Euro December
= 72.25
Market view: Trader feels that the yield curve will steepen.
3.3.1
Calendar
Spread
37
Strategy: BUY September contracts, SELL December contracts
If the yield curve does steepen and market prices are now:
USD/Euro September
= 72.00
USD/Euro December
Profit and loss calculation:
September contract =
December contract =
PROFIT
= 71.30
USD 25 x 100 x (72.00 – 72.65)
USD 25 x 100 x (72.25 – 71.30)
*Note: Each tick = USD 250 25, Each contract = 100
1
=
=
=
(USD 1,625.00)
USD 2,375.00
USD 750.00
Chapter / Page
Section
No
Update / Amendment
Chapter 3 – Futures Strategies
3.3.2
Butterfly
Spread
37
2
Chapter /
Section
Page Update / Amendment
No
Chapter 3 – Futures Strategies
Example of a Condor Spread
Current Market
Eurodollar March 2014
Eurodollar June 2014
Eurodollar September 2014
Eurodollar December 2014
Strategy:
3.3.3
Condor
Spread
1 August 2014
97.00
97.20
97.80
98.00
=
=
=
=
1 Bull Spread, 1 Bear Spread
BUY/Long Spread
Day 1
March
1
97.00
June
-1 9 97.20
Day 15
96.95
97.00
Net
-5.00
20.00
15.00
SELL/Short Spread
September
1 -1
December
-1 1
Day 15
97.60
97.90
Net
20.00
-10.00
10.00
Day 1
97.80
98.00
39
Net
Gain:
Long Spread
Ticks
Ticks
15.00
Short Spread
+
=
Profit & Loss Calculation
Value per contract
Net gain
=
*Note: Each tick = USD 250 25
3
10.00
25.00
Ticks
USD 25.00
25.00
Ticks
USD 625.00
Chapter
/ Section
Page
No
3.4.12
50
Update / Amendment
Further
Examples
of
Hedging
3.6.1
55
Arbitrage
Using
Interest
Rate
Futures
4