Page 10 - MONECO Financial Training Catalogue

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INTEREST RATE RISK HEDGING WORKSHOP
DATES: October 21 – 22, 2024 • PRICES: € 1,400 In-class, € 1,050 Online • LOCATION: Prague and Online
Attend this 2-day training workshop and learn about:
• The nature and source of This 2-day workshop offers a detailed analysis of the process of interest rate hedging,
interest rate risk within from the measurement of risk through to detail on the products used to hedge.
companies and banks On day one, we start with the basics of interest rate risk. How does it arise? How do we
measure it? The workshop will look at how to quantify interest rate risk and the different
• The hedging decision process measures popular with companies. During this section we will talk about how companies
including a look at how real make the hedging decision and how they create a risk management policy. We also discuss
companies decide how to dealing with banks - what’s in it for them and how do they manage the risk?
hedge On day two we move our focus to the hedging products themselves with a detailed analysis
• How to measure interest rate of the different products available and what each one offers as a hedge. Participants will learn
the products in an intuitive way but also be taught the important pricing and risk calculations
risk and quantify it using risk for each one. The products will be assessed in aggregate and we will discuss the role of each
metrics and gap analysis one in a diversified hedging portfolio. Once the products have been understood, the next
• Creating a risk management section deals with how the valuation of the trade evolves over time, looking at the importance
of yield curve shape in the valuation and future break costs.
policy
The workshop finishes with a session analysing some real company hedging decisions
• The spectrum of interest rate and policies, bringing together all the knowledge gained over the two days to critique the
hedging products available to approach taken by these companies to the job of interest rate risk management.
companies and their pros and Who should attend?
cons • Bank traders, salespeople, structurers
• The hedge lifecycle and the • Bank market risk managers, middle office and operations professionals
evolution of hedge valuation • Investors - institutional investors, fund managers, private traders
and break costs • Company treasury managers and staff, accountants, risk managers
MONDAY, OCTOBER 21 Exercises: – When is it a hedge and when is it not?
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09 –09 10 • Corporate financing decisions – Balancing the floating-rate and fixed-rate
Welcome and Introduction • Hedging discussion mix
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09 –12 15 • Using FRAs and swaps to hedge
Interest Rate Risk and the Hedging 12 –13 15 – Understanding the pricing and the
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Decision Lunch settlement of the hedging product
• How does interest rate risk arise within 13 –17 00 – Aligning dates and amounts
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a company? Interest Rate Measuring and
– How are companies financed? Managing TUESDAY, OCTOBER 22
– Equity versus debt • How do we measure interest rate risk? 09 –12 15
00
– Why do commercial banks lend on a – Description of quantitative measures Interest Rate Risk Hedging (cont.)
variable rate basis? of interest rate risk • Using an option-based hedge
– Why do companies usually want to – Duration and DV01 – Paying a premium or constructing
pay a fixed rate? – Duration gap analysis a zero-cost combination?
• How can we forecast cash flows and
• The market for fixed-rate loans expected debt requirements? – Using exotic options – how do we
– Why are fixed-rate loans so rare? – Cash flow statement forecasting balance flexibility and complexity?
– Is there still interest rate risk if you – Stress-testing our cash flow forecasts • Flexible hedges
have a fixed rate loan? • Macro hedging – How can we construct a hedge for a
• The corporate hedging decision – inside – Creating a risk management policy variable debt amount?
the mind of the corporate treasurer • Managing the structural impact of low/ – Using variable notional swaps – how are
– How is risk identified and quantified? high interest rates they constructed and priced?
– What are the pros and cons of • Bringing the products together
hedging? Exercises: – Examination of the full spectrum of
– How much risk do we hedge? • Interest rate exposure calculation interest rate hedges available
– How does a typical company make • Building a simple cash flow statement • Other hedging issues
the hedging decision? forecast – Appropriateness and suitability rules
– Comparing to peers, does it matter Interest Rate Risk Hedging • Analysis of previous bank mis-selling
what they do? cases
• Dealing with banks • What are the hedging products – Hedging accounting under IFRS9 – why
– What do banks get out of it? available? does it matter?
– What happens to the risk once the – Pros and cons of different hedging • Reporting of hedge P/L
company has hedged? choices Exercises:
• Understanding how banks profitably – Plotting the future scenarios • Liability hedging using derivatives
seek and manage risk on hedging deals – Linear products versus option
products, how do we strike the right • Using full and partial hedges
balance?
10 Hybrid course – both classroom and online training available.
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