From 25 Jun 2018 to 27 Jun 2018    Cyber and Information Security Management    in Kyiv / Ukraine

Advanced Capital Markets: Derivatives & Structured Products & SWAPS

This seminar is designed and validated by the House of Training Quality Circle in Capital Markets.

The following subjects will be covered in 2 modules - content to be adapted depending on the duration chosen:
Module 1: Derivatives & Structures Products:  Introduction to the first generation of derivative instruments, their underlying, risk profile and payoffs; presentation of more sophisticated instruments used as of today and their exotic components, the pricing of financial instruments and their application through comparative analysis and practical cases, presentation of relevant markets, organisation and major players. Case studies on assessing specific risk profiles and analysis of various derivative markets  - maximum 3 days.
Module 2: The Mechanics of SWAPS: The analysis of the underlying products such as interest rates, foreign exchange products and long term bonds. Technical, practical and critical approach of these specific derivatives (interest rate, FX forward & FX currency interest rate and asset)  - maximum 3 days.

Please revert to the House of Training for further information.

Location & Duration

In HoT-ATTF partner countries: ideally in 2 * 3 days

or in 5 days without translation

Detailed programme Explode

I – MARKETS

  • Money markets & Capital markets
  • Exchange and OTC
  • Speculation, hedging & arbitrage
  • Arbitrage game
  • Market actors, participants and roles
  • Products : balance and off-balance sheet
  • Organization : front, middle and back-office
  • Systems : information and pricers

II – NOTIONS OF DERIVATIVES

  • Definition and purpose
  • Notion of underlying / Types of underlyings
  • Value and maturity dates
  • Sensitivity and delta hedging
  • Risks

III – FORWARDS

  • Definition
  • Mechanics
  • Types of forwards
  • Delivery and offsetting
  • FX Forwards
    • Forward points and forward prices
    • Practical example : quoting forwards
  • Non deliverable forwards
  • Purpose and limits of forwards
  • Hedging corporate risks
  • Practical Exercise : covering a multinational firm’s FX risks

IV – FUTURES

  • Definition
  • Exchanges
  • Types of future contracts
      • Storable products
      • Non storable products
      • Financial instruments and indexes
  • Organization and operation
      • Trading place
      • The futures contract
      • Operators and participants
      • The transaction system
  • Game: flashing futures
  • Price building
  • Using futures

V – SWAPS

  • Definition and characteristics
  • Standardization
  • Off-balance sheet instrument
  • Using swaps
  • FX swaps
  • Interest rate swaps (IRS)
      • The IRS contract
      • Cash flow frequency
      • Conventions
      • The reference index
      • Yield curves
      • Cash flow details
      • Pricing
      • Basis swaps
      • CMS
      • Asset Swap
      • CIRS
      • Quanto swap
      • Forward swap
  • Other types of swaps
  • Contracts and confirmations
  • Risks

VI – INTRODUCTION TO PORTFOLIO FX HEDGING WITH DERIVATIVES

  • Fixed income Products
  • Portfolio duration
  • Portfolio constraints
    • Inflows
    • Outflows
    • Notice period / Liquidity
    • Portfolio examples
  • Cash flows and NAV Hedging
  • Target Hedge ratio
  • Seeding
  • Choosing the hedging products
  • Choosing the counterparties
  • Securities trades hedging, Rebalancing and rollovers
  • Tenor
  • Trade timing
  • Hedging stop loss
  • Practical exercise : designing a front-office hedging tool

VII – OPTIONS AND WARRANTS

  • Definition
  • Types of options
  • Underlying assets
  • Characteristics
  • European and American options
  • Call and put
  • Strike
  • Maturity
  • Volatility
  • Intrinsic and time value
  • Pricing
  • Option strategies
  • Using options
  • Other types of options
  • Warrants

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