FRAs, Swaps and Interest Rate Options

Day One

09.00 - 09.15  Welcome Address

09.15 - 10.15  General Introduction to the OTC Markets

• Historical Background
• Overview of lst-, 2nd- and 3rd- generation instruments
• OTC - versus listed instruments

10.30 - 12.30  Forward Rate Agreements (FRAs)

• Definitions
• FRA time profile
• Fixing and settlement
• Pricing and mark-to-market
• Interest rate sensitivity
• Risk management with FRAs
• Exercises

12.30 - 13.30  Lunch

13.30 - 16.30  Interest rate Swaps (I)

• Swaps - general introduction
• Types and markets
• Time profile for swap trading
• Fixing and settlement
• Conventions
• Par swaps
• Comparison swap
• Zero coupon valuation
• Mark-to- Market and close-out
• Exercises

Day Two

09.00 - 09.15  Recap

09.15 - 12.00  Interest Rate Swaps (II)

• Applications of swaps (cases)
• Synthetic loans with liability swaps
• Synthetic investments with asset swaps
• Managing interest rate risk with micro swaps
• Managing interest rate risk with macro swaps
• Exercises

12.00 - 13.00  Lunch

13.00 - 14.30  Currency Forwards and Swaps

• Definitions, types
• Pricing
• Asset and liability swaps
• Hedging of FX risk with forwards
• Hedging of FX risk with swaps
• Cases
• Exercises

14.45 - 16.30  Non-generic Swaps

• Amortizing and Accreting Swaps
• Rollercoaster Swaps
• Forward Starting Swaps
• Arrears Reset Swaps
• Constant Maturity Swaps
• Differential swap
• Overnight Index Swaps
• Cases and Exercises

Day Three

09.00 - 09.15  Recap

09.15 - 12.00  Interest Rate Options

• Why Use Options?
• Interest Rate Guarantees
• Caps, Floors
• Collars
• No-cost collars
• Swaptions
• Cases
• Exercises

12.00 - 13.00  Lunch

13.00 - 16.00  Structured Products

• What is a Structured Product?
• Financial Engineering
• Equity-linked Structures
• Reverse Convertibles
• Reverse Floaters
• Bear Notes
• Capital Market Floaters
• Superfloaters
• Limited Caps
• Fairway Bonds
• Other Structured Products
• Exercises

16.00 - 16.15  Evaluation and Termination of the Seminar