Structured Products - PC Workshop

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Review of Financial Engineering Toolkit

• Yield Curves and Discount Factors
• Volatility Curves
• Option Pricing Formulas and Simulation Techniques

Session 1: Structured Notes and Bonds

• Presentation of Client Case
• Construction of Solutions
  • Capped/floored Floater
  • Leveraged-Capped Floater
  • Multi-Callable Capped Floater
• Review of Solutions

12.00 - 13.00 Lunch

13.00 - 16.30 Session 1 (Continued)

• Construction of Solutions
  • Reverse Floaters
  • Bear Notes
  • CMS-Linked Notes
  • Arrears Reset Notes
  • Range Floaters/”Fairway Bonds”
  • Superfloaters
  • Callable Snowball Notes
  • Targeted Redemption Notes
• Review of Solutions

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Session 2: Credit-Linked Structures

• Presentation of Client Case
• Construction of Solutions
  • Credit Linked Notes
  • Leveraged Credit Linked Notes
  • Asset-Backed Structures
  • Arbitrage CBO’s
  • Synthetic CDO’s
  • Single-tranche CDO’s
  • CDO-Squared
• Review of Solutions

12.00 - 13.00 Lunch

13.00 - 16.00 Session 3: Equity-Linked Structures

• Presentation of Client Case
• Construction of Solutions
  • Principal-Protected Equity Linked Notes
  • Leveraged Upside Structures
  • Equity ‘Out-performance’ Bonds
  • Discount Certificates
  • Equity Reverse Convertibles
  • Clique, Ratchet and other “Exotic” Structures
• Review of Solutions

Evaluation and Termination of the Workshop