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?
          00
        09 –09 10                           •  Corporate financing decisions     –  Balancing the floating-rate and fixed-rate
          Welcome and Introduction          •  Hedging discussion                mix
          10
        09 –12 15                                                              •  Using FRAs and swaps to hedge
          Interest Rate Risk and the Hedging   12 –13 15                         –  Understanding the pricing and the
                                             15
         Decision                           Lunch                                settlement of the hedging product
         •  How does interest rate risk arise within   13 –17 00                 –  Aligning dates and amounts
                                             15
          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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