Derivatives and Others Financial Instruments

Duration: 3 Days

Full Fee: €1,300

Network Members Fee: €900

Programme overview

This 3-day Derivatives and Other Financial Instruments workshop is designed to introduce students to the latest developments in Financial Derivatives, the associated business processes and the underlying technologies.

Part 1 :

This initial section is a comprehensive introduction to derivative products and the application of derivative tools in financial engineering and risk management.

Part 2 :

This section focuses on the processing of transactions emanating from the fast growing derivative market. Among the products discussed are: Over The Counter Options, Currency Forwards, Interest Rate Swaps, Swaptions and Credit Default Swaps. The program takes the participant from the time the trade is made until it is settled. Along the way, terminology and forms unique to these products will be explained as to content and purpose. As these derivatives use different underlying products, the properties of those products themselves are delved into, including the application of margin and delivery processes.

Learning Outcomes

Part 1

  • Identify the derivatives markets participants, how they use the products and why
  • Demonstrate ability to price futures, swaps and options
  • Explain how option models work, what information they give us, and how to use them in practice.
  • Track how these products can be combined to create other products, such as structured notes, range accrual notes, etc.

Part 2

  • Be conversant in the terminologies germane to these products
  • Be able to distinguish the differences between listed and over-the-counter traded products
  • Demonstrate an understanding of the different margin applications through hands-on exercises
  • Display comprehension of processes through interaction with the instructor and other participants
  • Appreciate the importance of timely and accurate processing and understand the high cost of mistakes and erroneous data

Who Should Attend

  • International and investment bankers
  • Country and bank risk managers
  • Corporate treasurers
  • Risk analysts
  • Investors and fund managers
  • Financial institution bankers and relationship managers
  • Banking system regulators and supervisory staff

Course Content

Part 1

Futures, Trading, Pricing & Applications

  • What is a Derivative?
  • Derivative Market Participants
  • Basic Types of Derivatives
    • Forwards
    • Futures
    • Options
  • Exchange Traded vs. Over-the-Counter
    • Futures vs. forwards
    • Contract specifications
    • Margin & role(s) of a clearinghouse
  • Time Value of Money
  • Calculating the Value of Futures on Different Products
  • Uses & Applications of Futures
    • Hedging
    • Optimal hedging
  • Speculation
  • Arbitrage

Swaps – Part 1, Introduction and Market Participants

  • Eurodollar Futures
  • Forward Rate Agreements
  • What is a Swaps Contact?
  • Ways we Speak and Diagram Swaps Transactions
    • Box & arrow, time line & cash flow diagrams
  • Interest Rate Swaps
    • Market participants
    • Uses & applications

Swaps – Part 2, Pricing & Valuation

  • Market Participants
  • Uses & Applications
  • Swaps Valuation and Pricing
    • Pricing using ED futures
    • Repricing Interest Rate Swaps

Swaps – Part 3, Other Types of Swaps

  • Other Types of Swaps
    • Currency swaps
    • Total return swaps – equity swaps
    • Credit default swaps

Swaps – Part 4, Swap Risks & Options – Part 1, Introduction to Options

  • Market Risk – Value at Risk
  • Other Types of Risk
  • Introduction to Options
    • Terminology
  • Payoff Profiles
  • Factors Affecting Options Price

Options – Part 2, Strategies

  • Uses & Applications
    • Put–call parity
    • Types of option strategies
      • Yield enhancement strategies
      • Strategies involving multiple options (bull / bear spreads; straddles; strangles)

Options – Part 3, Pricing & Valuation

  • Volatility & Probability
    • What it is and what it isn’t
  • Option Pricing
    • from a non-mathematical point of view
  • Value of Options Prior to Expiry & Risk Management

Options – Part 4, Risk Management – The Greeks

  • The Greeks
    • Delta
    • Gamma
    • Theta
    • Vega
    • Rho

Part 2

  • Derivatives to be Discussed
    • Listed Options
    • Over-the-Counter Options
    • Futures
    • Forwards
    • Interest Rate Swaps
    • Swaptions
    • Interest Rate Caps
    • Collars
    • FRA’s
    • Credit Default Swaps
  • Method of Trading
    • Exchange Market Places
    • Negotiated – Bi-lateral Negotiations
    • Pricing Vendors
  • Master Agreements
    • Understanding Terminology
    • Contents
    • Provisions
    • Workings of the ISDA
  • Figuration
    • Face Value
    • Notional Amount
    • Interest Calculations
    • Settlement Money

Customer Confirmation

    • Systematized
    • Electronic / Paper
  • Comparison and Settlement
    • Workings of the Clearing Banks
    • Workings of the Clearing Corporations
    • Workings of the Depositories
    • DTCC’s DerivSERV Processing
    • Eurex
    • Fedwire
    • SWIFT
  • Client Record Keeping
    • Margin
    • SPAN Margin
    • Account Maintenance
  • Books and Records
    • Transaction Recording
    • Use of Sub Ledgers

Trainer Profile

Gail Rolland has over 30 years experience in financial markets including trading and sales for major financial institutions in London and New York, as well as training and consultancy in the markets globally. She lectures in finance at post- and under-graduate level  at ICMA Centre University of Reading

Sample Relevant Experience

  • Grad programs: Citi; HBOS; Barclays Capital
  • Financial Markets training including:
    • All market sectors, both cash and derivative
    • Infrastructure training: increasing understanding of the structure of markets and market institutions
    • Workflow and process training: explaining and demonstrating workflow and increasing understanding of the processes in key areas of the bank, particularly in the front office (both buy-side and sell-side) and Operations
    • Preparation for key market examinations such as ICMA FMFC and IFID, ACI Dealing and Operations Certificates and Diploma

Gail’s Key Competencies include

  • Broad market knowledge on a global basis
  • Understanding of the market environment
  • Understanding of the requirements of a bank or financial institution
  • Familiarity and experience in dealing with the expectations of both the bank and the graduates
  • Creating an active and relevant learning environment