This programme will give participants a thorough background and understanding of the main derivative products, both exchange traded and over the counter (OTC). These are futures, options and swaps with a step-by-step guide to the products, applications, risks and documentation. We also introduce participants to credit derivatives and focus on how the market is structured and the various participants. We review market developments such as Straight Through Processing (STP) and the importance of timely and efficient settlement of trades.

Day One

Session 1:

Market background

• Definition

• Futures, FRAs, Options, Swaps

• Exchange Traded VS Over the counter (OTC)

• Credit Risk and Gearing

• Overview of Documentation - ISDA

Session 2:

Market Participants

• The Sell side VS The Buy side

• Brokers and Custodians

• Information providers, IT specialists

• Post trade processing agents

Session 3:

Underlying asset classes:

• Interest rates

• Currency

• Equity

• Commodities

• Credit

Session 4:

Financial futures

• Definition and key features

• Terminology

• The role of the Clearing House

• Market operations;

• Initial and Variation Margin calculations

• Marking to Market

Session 5:

Forward Rate Agreements (FRAs)

• Definition and key features

• Terminology

• Understanding forward/forward rates

• Examples and Applications

Day Two

Session 1:

Interest Rate and Currency Swaps

• Definition and key features

• Terminology

• Range of swap types including “vanilla”, fixed/floating, basis and currency swaps,

• Risk management with swaps

Session 2:

Options

• Definition and Key features

• Terminology and the basics of volatility

• Traditional VS exotic options

• Currency and Interest Rate Options

Session 3:

Credit Derivatives

• Definition and key features

• Buying and selling credit protection

• What is a Credit Event?

• Credit Default Swaps;

• Applications and examples

Session 4:

Understanding the Business Process

What happens after the dealer says "Done"

• Trade Capture

• Validation/Enrichment

• Inward/outward confirmations

• Fixings

• Settlement

• Investigations

Session 5:

Market Initiatives

• Straight Through Processing (STP)

• Central Counterparty (CCP)

• Using Portals

Course Close