Training Courses
Swaps Workshop
Category: Derivatives
Course level: Introductory
In house
This 5-hour workshop is designed to provide an accelerated review of the main types of swap contracts and how they are used by their clients in retail funds under the wider powers of UCITS III.
No prior knowledge is assumed and all terms will be fully explained.
Case studies form an integral part of the course, to allow the delegates to consolidate the information and provide the basis for group discussions.
Objectives
By the end of the workshop, delegates will have a better understanding of:
- different types of swaps and their uses
- risks of using swaps
- VAR
- accounting for swaps
Length
5 hoursCourse Content
Introduction
What are swaps?
Different types of swaps
Vanilla interest rate swaps
LIBOR rates
Swap quotes and yield curves
Floating rate fixing
IRS applications
ISDA documentation
Pricing and valuing IRS
Case study: Interest rate swap
Other types of swaps
Cross currency swaps
Inflation swaps
Index swaps
Total return / equity swaps
Credit default swaps
Worked example: Inflation swap
Worked example: Using a total return swap by a fixed income team
Case study: Credit default swaps
Value at Risk (VAR)
What is VAR?
The normal distribution curve
Volatility
Correlations
Worked example: Calculating the VAR for a single-asset case and a two-asset case
UCITS III and COLL for trustees
Requirement for global cover
Internal risk management process
Restrictions on uses of OTC derivatives and counterparty exposure
This course would be suitable for:
- Finance and accounting
- Investment administration and operations
- Investment professionals
- IT and software developers
- Legal & Compliance
- Risk management
- Sales and marketing
- Senior managers
This course would be suitable for these exams:
- CFA - Level 1
- CFA - Level 2
- CFA - Level 3
- SII Certificate - Derivatives
- SII Certificate - Financial Derivatives Module
- SII Certificate - Securities & Financial Derivatives
