Page 10 - MONECO Financial Training Catalogue
P. 10

INTEREST RATE PRODUCTS – MECHANICS, PRICING AND APPLICATIONS
        DATES: December 3 – 4, 2019 • PRICE: € 1,400 • LOCATION: Prague, NH Hotel Prague

        Attend this 2-day training course and learn about:
        •  The nature of interest,         This 2-day course offers a detailed analysis of the interest rate market, the products that
          interest rate calculations and   trade within it, and how they are used by traders, investors and companies.
          discounting methods              On day one, we start with the basics of interest rates – how are they quoted, how are the levels
        •  The scope and structure of the   set and what drives movements in rates? We then look at the marketplace for debt products
          bond market                      focussing on the details of the money and bond markets. The course will help participants
        •  Bond pricing and risk           understand how companies, banks and investors use these markets as well as covering the
          management                       technical details around pricing and risk management.
        •  Interest rate derivative        On day two we move our focus to interest rate derivative products. This section begins with
          products – concepts and          a look at the linear derivative products: FRAs, futures and swaps.  We cover the intuitive
          technical details                understanding of these products and the client applications, through to detail on the pricing
        •  Creating synthetic assets using   and risk management. Once we have laid the derivative foundations, we move onto option
          interest rate swaps              products, including a look at exotic derivatives. Main option applications will be covered, and
        •  The risk of interest rate       participations will be introduced to option pricing and option risk. The course fi nishes with a
                                           look at interest rate structured products, examining some of the investor favourites and asking
          derivatives – measuring and      what makes them so appealing.
          managing
        •  The interest rate volatility    Who should attend?
                                           Bank traders, salespeople, structurers
          surface and pricing approaches   Bank market risk managers, middle offi ce and operations professionals
          for interest rate options        Investors – institutional investors, fund managers, private traders
        •  Interest rate exotics and       Company treasury managers and staff, accountants, risk managers
          structured products, and how     Course methodology
          they are used by traders and
          investors                        The course consists of classroom-based training which combines formal teaching of concepts
                                           and technical content, with individual and group exercises to reinforce learning points.
        TUESDAY, DECEMBER 3                   –  Issuing debt instruments – the role of     Interest Rate Derivatives
          00
        09 –09 10                             the Debt Capital Markets division in a    •  From cash markets to derivatives – what
         Welcome and Introduction             bank                              changes?
          10
        09 –12 30                             –  Who participates in the debt markets    •  The concept of a forward interest rate
         Interest Rates                       and what is their motivation?      –  Why do we need forward rates? Who
         •  What is interest?               •  Borrowing short-term debt – the Money   uses them?
           –  What is interest compensation for?  Markets                        –  How might we develop a pricing
           –  How to determine interest rates from      –  Understanding the conventions and   approach for forward rates?
           risk-free to high-risk             pricing of money market instruments   •  Derivative products relating to forward
         •  Benchmark rates                                                     rates
                                                 30
                                             30
           –  The use of central bank ‘risk-free’   12 –13                       –  Description of FRAs and Futures
           rates                            Lunch                                –  Look at the details of both and contrast
                                             30
           –  IBOR benchmarks and future   13 –17 00                             differences
           reference rates                  Debt Markets (cont.)                 –  Understanding the convexity difference
           –  How do central banks control the    •  Borrowing long-term debt – Bonds  between FRAs and Futures
           interest rate environment?         –  How do bonds differ from money
         •  Interest rate maths               market products?                WEDNESDAY, DECEMBER 4
                                                                                00
           –  Calculating interest cash fl ows     –  Introduction to coupon, price and yield   09 –12 30
           –  What conventions does each currency   – the way we measure bonds   Interest Rate Derivatives (cont.)
           use?                               –  The relationship between price and    •  Interest Rate Swaps – switching fi xed
           –  Dealing with simple and compound   yield                          interest for fl oating
           interest                           –  How to we measure the risk of a bond      –  Who uses interest rate swaps and why?
         •  Using interest rates to present value   investment?                  –  Creating synthetic assets using interest
          future cash fl ows                 •  Financing using bonds – the Repo   rate swaps
           –  Which rate do we choose and why   market                           –  Bank asset and liability hedging using
           does it matter?                    –  Using Repos to fund a bond      tenor basis swaps
         Exercises:                           investment                       •  Measuring the risk of interest rate
         Interest rate calculations       –  Borrowing bonds using Repos    derivatives
          Discounting and the choice of    •  Creating a yield curve         –  Managing a derivatives portfolio
             discount rate                    –  How do we defi ne a yield curve?     –  Defi ning and quantifying your risk
                                              –  What governs its shape and what      –  The delta ladder – the risk position for a
         Debt Markets                         are the consequences of difference   derivatives trader
         •  The role of debt                  shapes?                         Exercises:
           –  Why and how do companies and    Exercises:                       FRA settlement calculations
           governments borrow money?        Bond pricing                   Interest rate swap applications
           –  Debt versus equity – the corporate     Repo calculations and forward bond
           fi nancing choice                    pricing

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