Structured Products
Duration:
3 days
3 days
Location:
Prague, Mövenpick Hotel
Prague, Mövenpick Hotel
- Structured Notes and Bonds
- Credit-Linked Structures
- Equity-Linked Structures
- Commodity and Currency Linked Structures
- Advanced and Exotic Structures
- Regulatory Issues
The purpose of this seminar is to give you a good understanding of “structured products”, how they are constructed and their uses for financing, investing and risk management purposes. For each product, we explain the product’s mechanics, uses and suitability for investors.
First, we introduce different types of “Structured Bonds and Notes” and review their risk and reward opportunities from both the investor’s perspective and that of the issuer. Examples include "Reverse Floaters", "Bear Notes", "Capital Market Floaters", “Capped Floaters” and "Fairway Bonds". We explain how these products are used to obtain leveraged investing, reduced financing costs, or to create “tailored” exposures to changes in the level or shape of the yield curve.
Next, we look at selected credit-linked structures such as credit-linked notes, leveraged credit linked notes and CDO’s. We explain how these instruments are used to “repackage” and transfer credit exposures and how they are used by investors to obtain “yield enhancement”.
Further, we look at structures with mixed interest rate/equity exposures. Examples include best of equity/interest rate and interest swaps triggered by equity level.
We then present and analyze a number of different equity-linked structures, including various examples of "Principal Protected" structures, "Guaranteed Bonds", "Reverse Convertibles" and many others.
Further, we examine some commodity and currency-linked structures. These include “Dual Currency Loans”, “Reverse Dual Currency Loans” and “Quanto” structures, where the currency risk has been hedged dynamically or using “Quanto Derivatives”.
We present and explain examples of exotic/path-dependent structures such as "Step-up Bonds", Catastrophe Bonds, "Clique Structures", and bonds with knock-in/knock-out features etc.
Finally, we discuss some important regulatory issues in buying and selling structured products. Our main focus here will be the “Markets in Financial Instruments Directive” (MiFID) which implies a higher degree of investor protection.
First, we introduce different types of “Structured Bonds and Notes” and review their risk and reward opportunities from both the investor’s perspective and that of the issuer. Examples include "Reverse Floaters", "Bear Notes", "Capital Market Floaters", “Capped Floaters” and "Fairway Bonds". We explain how these products are used to obtain leveraged investing, reduced financing costs, or to create “tailored” exposures to changes in the level or shape of the yield curve.
Next, we look at selected credit-linked structures such as credit-linked notes, leveraged credit linked notes and CDO’s. We explain how these instruments are used to “repackage” and transfer credit exposures and how they are used by investors to obtain “yield enhancement”.
Further, we look at structures with mixed interest rate/equity exposures. Examples include best of equity/interest rate and interest swaps triggered by equity level.
We then present and analyze a number of different equity-linked structures, including various examples of "Principal Protected" structures, "Guaranteed Bonds", "Reverse Convertibles" and many others.
Further, we examine some commodity and currency-linked structures. These include “Dual Currency Loans”, “Reverse Dual Currency Loans” and “Quanto” structures, where the currency risk has been hedged dynamically or using “Quanto Derivatives”.
We present and explain examples of exotic/path-dependent structures such as "Step-up Bonds", Catastrophe Bonds, "Clique Structures", and bonds with knock-in/knock-out features etc.
Finally, we discuss some important regulatory issues in buying and selling structured products. Our main focus here will be the “Markets in Financial Instruments Directive” (MiFID) which implies a higher degree of investor protection.
13.00 - 16.30 Structured Notes and Bonds (cont’d)
- Bear Notes
- Mechanics, pricing and hedging
- CMS-Linked Notes
- Definitions and uses
- Mechanics, pricing and hedging
- Range Floaters/”Fairway Bonds”
- Definitions and uses
- Mechanics, pricing and hedging
- Callable Snowball Notes
- Definitions and uses
- Mechanics, pricing and hedging
- Small Exercises
Day Two
09.00 - 09.15 Recap
09.15 - 12.00 Structured Notes and Bonds (cont’d)
- Targeted Redemption Notes
- Definitions and uses
- Construction, pricing and hedging
- Credit-Linked Structures
- Credit Linked Notes
- Leveraged Credit Linked Notes
- ABS, CDOs, and CBOs
- Innovative Interest Rate/Equity Hybrids
- Interest Swaps Triggered by Equity Level
- Equity-Linked Swaptions
- Small Exercises
12.00 - 13.00 Lunch
13.00 - 16.30 Equity-Linked Structures
- Overview of Equity-Linked Notes
- Principal-Protected Equity Linked Notes
- Leveraged Upside Structures
- Equity ‘Out-performance’ Bonds
- Discount Certificates
- Equity Reverse Convertibles
- Super Coupon Growth Bond
- Small Exercises
Commodity and Currency Linked Structures
- Commodity-Linked Notes
- Currency-Linked structures
- Dual Currency Structures
- Quanto Structures
- Small Exercises
Day Three
09.00 - 09.15 Recap
09.15 - 12.00 Some Advanced and Exotic Structures
- CAT Insurance-Linked Products
- Equity-indexed annuities
- Asian
- Lookback
- High/Low-Water-Mark
- Cliquet (Ratchet) Structures
- Bull-Certificate with Knock-out
- Stepped Indexation
- Up-and-Out Indexation
- Bonus Certificates
- Himalaya Bonds
- Small Exercises
12.00 - 13.00 Lunch
13.00 - 16.30 Regulatory Issues in Buying and Selling Structured Products
- Complying with The Markets in Financial Instruments Directive (MiFID)
- Client Classification
- Marketing
- Information about Firm and Services
- Client Agreements
- Suitability and ”Know Your Customer”
- Appropriateness and Execution-only Services
- Best Execution
- Client Order Handling
- What Will Be the Impact of MiFID on the Markets for Structured Products?
Evaluation and Termination of the Seminar
