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Day 1   Recap of Valuation Principles

Session 1     Vanilla Valuation methodologies
 

 - Binomial / Trinomial

 - MCS

 - Analytical derivation

 - Exercise: Valuation of vanilla options using particular methodologies

Session 2     Basic Exotics
 

 - Binary

 - Barrier

 - Average Rate

 - More involved structures are examined

 - Exercise: Participants structure a range of exotic profilesand replicate hedges

Session 3  Structuring Option Based Products

Yield enhancement products

 - Range and Accrual Notes

 - Extendible Notes

 - Step Up Notes

 - Ladder Notes

 - Dual Currency Notes

Case Study: Participants structure and hedge the products subject to risk considerations

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Day 1

Session 1

Fixed Income Products – the vehicle into which the structure is embedded

 - Bond pricing and Fixed Income maths recap including Forward Rates

 - Bond dynamics and sensitivity

 - Convex and Linear Payoff Structures

 - Equity Redemption Linked products

Session 2

Case Study

Participants structure and hedge a range of highly geared (static hedged non option based) Redemption Linked Note using the techniques described

 

Session 3

Swap Structures – the vehicle for transforming cashflows

 - The valuation of swap cashflows

 - Present value using Zero Coupon and Forward Rates

 - The Equity Swap: pricing a Stock Index / LIBOR structure

 - Variations on Equity Swaps

Session 4

Case Study:

Participant’s structure and price an Equity Swap to embed into a MTN structure

 

Day 2

Session 1

Option Structures – the vehicle used to provide upside benefit and protection

 - Pricing vanilla options using a binomial model

 - Pricing using Monte Carlo Simulation

 - Demonstration of MCS valuation versus analytical routes 

Session 2

Case Study

Delegates apply the techniques to valuing an Equity Convertible structure, including issuer call features

Reverse Convertibles and ELKS

Session 3

The non – vanilla options used in Structured Products

 - Payoff and pricing of the main components

 - Digital

 - Barrier

 - Average

 - Lookback

 - Spread

 - Options to Exchange

 - Basket

 - Quanto

 - Etc

Session 4

Profile Replication

Creating specific payoff profiles using replication

Day 3

Session 1

Case Study

Participants apply the appropriate option products to replicate current market structures eg:

 - S & P Principal Protected Equity Linked Notes with / without  Lock Ins

 - Nikkei 225 Enhanced Tracker Notes

 - Enhanced Yield Deposit Notes

Participants are required to prepare investor risk / reward statements as part of their analysis

The discussion widens to review some current market Convertible structures (Exchangeables, Chooser, Cash Outs etc)

Session 2

Asset Backed Structures

 - Structuring investment products with asset backing

 - CDOs and Synthetic CDOs - how they work 

 - Structure and yields of Arbitrage and Balance Sheet CDOs

 - Analysis of market structures and operation

Session 3

Case Study

Participants review the structure of an asset backed product from the risk / reward perspective

Session 4

Conclusion

 - The key points of the course are summarised

 - Questions on any specific structures 

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Aim

This half day course provides participants with a working understanding of the Securities Lending business. The programme covers the evolution of the business, reasons for entering in a Securities lending transaction, market conventions for calculation fees and margins, together with key documentary issues.

Objectives

 By the end of the seminar, participants will be able to:

- Define Securities Lending and differentiate it from Repo and Sell Buyback

- Calculate cashflows relating to a number of lending situations (eg Stock vs DBV, Stock vs Cash, Bond vs Bond etc)

- Describe the key risks relating to the Securities Lending business

- Identify key documentary issues (GMSLA and predecessors)

- Understand the structure of underlying market transactions that require a Securities Lending solution (CFD trades, Index Arbitrage, Convertible arbitrage etc)

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Aims

During Day 1 the focus will be on understanding the principle issues of Asset Liability and Liquidity Management as it applies to the structure and effectiveness of the balance sheet within Financial Institutions. Recent Regulatory changes and the impact of Basel III are considered, as well as considering the lessons to be learnt from Northern Rock.

Day 2 aims to provide an overview of the impact on the Trading Book from an ALM perspective resulting from Basel III. This will be accompanied by a look at the CVA requirement resulting from the need to address Counterparty Credit Exposure in a more robust way

Objectives

By the end of the programme the participant will be able to:-

 - Outline the main features of good balance sheet management

 - Participants will be able to describe the ways in which both risks within the balance sheet can be managed and value can be created for stakeholders

 - Describe the role of Treasury within the ALM process and interest rate risk management

 - Outline the objectives of the ALCO

 - Describe how recent regulatory changes impact on the balance sheet

 - Describe the importance of Liquidity management

Day 1

Session 1     Asset and Liability Management

 - The Role of an ALM Committee

 - The goals and objectives of ALM

 - Current Trends in Balance Sheet Management

 - How an institution manages the overall process

Session 2     Banking Services and the Balance Sheet

 - The balance sheet structure and Interest Rate Risk management

 - IRR manifestation and IRR management

 - Profit allocation and transfer pricing

 - What affects Net Interest Income

 - Profit centre management

 - Bank specific factors

 - Gap management

 - Income simulation

Session 3     Value Creation and the Balance Sheet

 - Earnings volatility analysis

 - Sensitivity of Shareholder Value

 - Approach to Earnings at Risk

 - Earnings simulations

 - Economic Value of Equity

 - RAROC

Session 4     Liquidity in ALM

 - Business priorities

 - Liquidity Management

 - Analyzing Asset quality

 - Northern Rock lessons - so what happened?

 - The goals of ALCO management

 - Key actions and implementations

Day 2

Session 1     Summary of Basel III and impact on Trading Book
 

- Stressed VAR

- Long Term Incremental Risk Charge

- Wrong Way Risk and EEPE

- Credit Value Adjustment

 - Collateralisation and Margining

 - Comprehensive Risk Measure

 - Liquidity Coverage Ratio

 - Net Stable Funding Requirement

 - Quality and Quantity of Capital

Session 2     Basel III and Counterparty Credit Risk
 

- Credit Valuation Adjustment concept

 - Measures of Counterparty Credit Exposure

 - Calculating CVA in a Swap portfolio

 - Bilateral CVA

 - Centralising CVA management

 - Course Summary and Close

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A day in which to improve your practical understanding of Bond  Markets

Overview

A one-day session in which participants improve their understanding of Bond Market products and gain insights on life in the front office, trading the markets and testing their survival skills in a real-time market environment. This course is suitable for those participants who have already been working within a financial institution and are already familiar with some of the trader’s ‘jargon’, or indeed anyone who needs to understand these markets better.

Objectives

By the end of this day participants will be able to:

- Derive and value bond cashflows

- Analyse the risks inherent in a bond market

- Formulate and implement interest rate trading strategies using cash bonds

Specifically by the end of the simulation sessions the participants should be able to:

- Trade basic cash bond products

- Identify the drivers of profit and loss

- Identify the risks associated with trading cash interest rate products

Methodology

The morning and early afternoon sessions concentrate on the fundamentals of the Bond Markets and allow participants to improve their understanding of the market products. Knowledge is consolidated by exercises and case studies.

The second afternoon session is devoted to the practical application of the product knowledge. The trading session will begin with a briefing on the parameters within which the trader aims to maximise profits, including:

- Counterparty and position limits

- Average deal size

- Bid-offer spreads

- Average deal execution speed

- Ratio of market making to market taking transactions

At the end of each session the participants review their dealing reports and discuss the issues they faced.

Agenda

Session 1

Cash Bond Products
 

- Basic yield curve theory

 - Bond cashflows

 - Market conventions

 - Calculating prices and yields

Session 2

Bond Dynamics

- Carry

- Roll

- Duration, DV01 and yield sensitivity

- Convexity

Session 3

Trading Strategies

- Static Carry and Roll trades

- Steepeners / Flatteners

- Butterflies

In this session participants gain familiarity with the Risk Manager trading simulation by trading basic cash products. Participants will be quoting prices, analysing news and market events with a view to running a profitable trading book.

Course Summary & Close

Review of the day, analysis of the trading results. Identifying some key trading lessons.

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A day in which to improve your practical understanding of Money  Markets

Overview

A one-day session in which participants improve their understanding of Money Market products and gain insights on life in the front office, trading the markets and testing their survival skills in a real-time market environment. This course is suitable for those participants who have already been working within a financial institution and are already familiar with some of the trader’s ‘jargon’, or indeed anyone who needs to understand these markets better.

Objectives

By the end of this day participants will be able to:

- Price and quote a range of Money Market products

- Analyse all the risks inherent in a trading book and take appropriate action to manage them

- Formulate and implement short term interest rate trading strategies

Specifically by the end of the simulation sessions the participants should be able to:

- Trade a variety of Money Market cash and derivative products

- Identify the drivers of profit and loss

- Identify the risks associated with trading short term interest rate products

Methodology

The morning and early afternoon sessions concentrate on the fundamentals of the Money Markets and allow participants to improve their understanding of the market products. Knowledge is consolidated by exercises and case studies.

The second afternoon session is devoted to the practical application of the product knowledge. The trading session will begin with a briefing on the parameters within which the trader aims to maximise profits, including:

- Counterparty and position limits

- Average deal size

- Bid-offer spreads

- Average deal execution speed

- Ratio of market making to market taking transactions

- At the end of each session the participants review their dealing reports and discuss the issues they faced.

Agenda

Session 1

Cash Money Market Products
 

- Basic yield curve theory

 - Market conventions

 - Deposits and CDs

 - T Bills, CP 

 - Calculating yields and discounts

Session 2

Short Term Interest Rate Derivatives

- Calculating forward interest rates

- Mechanics and application of FRAs

- STIR Futures and pricing convex instruments

- Money Market Swaps (OIS)

In this session participants gain familiarity with the Risk Manager trading simulation by trading basic cash products. Participants will be quoting prices, analysing news and market events with a view to running a profitable trading book.

Trading Simulation – STIR Derivatives

Participants gain experience quoting FRAs. They will need to price and quote for a range of dates and to position themselves for trading the yield curve.

Course Summary & Close

Review of the day, analysis of the trading results. Identifying some key trading lessons.

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Overview

A one-day session in which participants improve their understanding of FX products and gain insights on life in the front office, trading the FX markets and testing their survival skills in a real-time market environment. This course is suitable for those participants who have already been working within a financial institution and are already familiar with some of the trader’s ‘jargon’, or indeed anyone who needs to understand these markets better.

Objectives

By the end of this day participants will be able to:

-  Interpret quotations and make markets in various FX products with increased confidence

-  Analyse all the risks inherent in a trading book and take appropriate action to manage them

-  Formulate and implement FX trading strategies

Specifically by the end of the simulation sessions the participants should be able to:

-  Trade a variety of currency pairs in the spot and Forward FX markets

-  Identify the difference between an outright forward FX transaction and an FX swap

-  Identify the risks associated with trading just outright forward FX

-  Identify how a forward FX trader exploits interest rate differentials by using FX swaps

Methodology

The morning session concentrates on the fundamentals of the FX markets and allows participants to improve their understanding of the market products. Knowledge is consolidated by exercises and case studies.

The afternoon is devoted to the practical application of the product knowledge. Each trading session will begin with a briefing on the parameters within which the trader aims to maximise profits, including:

- Counterparty and position limits

- Average deal size

- Bid-offer spreads

- Average deal execution speed

- Ratio of market making to market taking transactions

At the end of each session the participants review their dealing reports and discuss the issues they faced.

Agenda

Session 1

Spot Foreign Exchange
 

- Base and Quoted Currency

- Quoting as Market Maker

- Cross Rates

- Calculating Forward Outrights

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Background to Crude Oil
 

- Fundamentals of Crude (Density, Acidity, Pour Point etc)

- API and Heavy / Light oils

- Breakdown of the Oil Assay

- Gross Product Worth and Best Crude

 - Evolution of Market Pricing (Cartel, Netback, Markers)

Session 2   The Prompt Market
 

- Dated Brent, BFO and North Sea operation

 - WTI / Brent Spread

- Shipping Terms

- Tanker Routes and the role of the Baltic

- Worldscale and Shipping 

- Managing Freight Risks with FFAs

Session 3   Forward Markets

- The concept of the Forward Curve

- Storage, Convenience etc and impact on Term Structures

- 21 Day BFO operation

- Book Outs

Session 4   Oil Products

- The Refinery Process

- Crack Spreads

- Product Markets

Session 5  Crude and Product Derivatives

- Brent CFDs and managing Dated to Front month risk

- ICE Futures: Operation, application 

- EFP

- WTI Futures and deliverables

- WTI Swaps

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The aim of this one day course is to enable participants to apply their understanding of Fixed Income cash and derivative products to a practical portfolio management simulation exercise. The day is run on a team oriented competitive basis.Prerequisite: Participants should be familiar with Fixed Income pricing and risk sensitivities

Session 1

 - Introduction and Objectives

 - Introduction and overview of Portfolio Optimiser

 - Participants are required to complete a number of Portfolio Optimiser inputs and calibrations. This exercise aims to familiarise participants with the operation of the software

Session 2

 - Cash Portfolio Case Study : Beating the BenchmarkThe Fund objectives and management style are explained, together with a commentary on the  prevailing economic scenario. Teams are required to define a strategy and construct a portfolio consistent with:

 - The Investment Benchmark 

 - Limits on:

    - Long / Short mix

    - Gearing

    - Portfolio Duration

    - Credit Risk

    - Curve Pivot Risk

    - Derivatives

    - Real vs Nominal product mix

- Participants construct their “optimal” portfolio within  the above constraints based upon a prescribedHorizon Period.

 - Based on further discussion and inter – team exchanges, participants review their portfolio construction.

 - With Horizon Period economic and market scenario information, participants review the performance of their portfolio. Teams are required to explain the performance attribution

Session 3

 - Applying Derivatives

 - Participants now consider a further investment period and are allowed to apply derivatives (swaps, swaptions, caps etc) to the portfolio in order to better achieve their objectives.

 - Review and Debrief

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Introduction

This five day programme is designed for participants who are planning to prepare for, and pass, the ACI Dealing Certificate examination. 

Objectives

By the end of this programme participants will be able to:

 - Sit and pass the ACI Dealing Certificate Examination

 - In so doing, participants will be able to:

 - Understand the fundamentals of FX, Money Markets and Derivatives

 - Interpret and understand market quoting conventions

 - Understand how to calculate the settlement amounts on various market securities

 - Understand the significance of good market risk management procedures

 - Understand the risks that arise from various FX and interest rate exposures

 - Understand the principles underpinning the Model Code

Once participants have completed the training sessions, they will also have an opportunity to take and review a practice test, prior to them taking the ACI Dealing Certificate examination.

Methodology

This course will consist of a mixture of instructor led teaching sessions and practical exercises. Participants will work either individually or in pairs and will have the opportunity of attempting examination style questions, so as to become familiar with both the question style and complexity of typical ACI Dealing Certificate questions.

Of necessity there will be a certain amount of numerical work and participants will be given the basic knowledge of financial maths essential to ensure that the key concepts are firmly established.

NB Chisholm Roth can also make available at a special rate to the participants an electronic version of the material covered in the programme based upon our Magellan On-line Learning^® e-learning system, customised for the ACI Dealing Certificate which can be used as a self-study tool in the event that either the anticipated examination date has to be deferred, or in the unlikely event that a candidate fails the exam.

Chisholm Roth can also provide e-mail support to participants prior to the examination, to deal with particular question or issues, via our ‘Study Buddy’ facility. This aspect will be discussed in more detail by the nominated course facilitator.

Facilities & Location

Delivery of the course will take place within the premises of the excellent

ifs location:

ifs School of  Finance

Peninsular House

36 Monument Street,

London EC3R 8LJ

Agenda

This programme has been designed around a 5 full day format from 9.00am to 17.00pm, Monday – Friday.

Below is a summary of the learning objectives planned for each Session:

Day 1

Session 1: Basic Interest Rate Calculations

- By the end of this session, participants will be able to:

 - calculate simple interest rates on different day bases 

 - demonstrate the principles of time value of money, present & future value, discounting & compounding 

 - calculate broken dates through interpolation 

 - explain the difference between money market basis and bond market basis

 - calculate the yield on money market instruments on both a true yield and discount to yield basis 

 - construct a yield curve and explain the possible causes of its shape 

 - manipulate core formulae correctly

Session 2: Money Market Products

By the end of this session, participants will be able to:

 - explain the main features of a broad range of money market products, e.g. cash deposits, treasury bills etc

 - calculate the yields on key instruments

 - explain the rationale for differing returns from differing products

 - list the advantages and disadvantages of the products

 - explain the interrelationship between the products

 - list the different types of repos

 - explain the terminology of the repo market, why they are used, and the main characteristics of repos

Day 2

Session 3:  The Spot Foreign Exchange Market and the Role of Settlements

At the end of this session, candidates will be able to:

 - identify main markets, their size and location

 - interpret market practices successfully

 - explain the difference between base currencies and quoted currencies

 - calculate and use spot rates as market maker and market taker

 - calculate cross rates correctly

 - identify the mechanics and methods of trading

 - identify the mechanics of market making

 - explain the importance of liquidity

 - explain the need for separation of dealing function from settlement function

 - explain the use of Nostro accounts and reconciliation

 - describe the workflow of a typical transaction and state the responsibilities of the back office

 - calculate settlement amounts correctly

Session 4: Forward Foreign Exchange – Outrights and Swaps

By the end of this session, participants will be able to:

 - explain the role of spot and interest rate differentials and the concept of arbitrage

 - list the features of an FX outright and FX swap

 - describe the derivation of forward rates using the basic equation for calculating points

 - calculate broken dates through interpolation

 - calculate complex rates such as forward crosses and forward broken dates

 - explain the role of FX outrights and FX swaps in the money markets

 - explain the use of FX outrights and FX swaps to hedge outright forwards and to create synthetic asset and liabilities

Day 3

Session 5: Forward Interest Rates, FRAs and Futures  

By the end of this session, participants will be able to:  

 - explain the derivation of forward/forward interest rates

 - explain Forward Rate Agreements (FRAs)

 - calculate FRA settlement amounts

 - explain using FRAs to hedge

 - explain Futures operations, pricing and terminology 

 - describe and explain the use of short term interest rate futures in hedging

Session 6: Interest Rate Swaps and Options

By the end of this session, participants will be able to:  

 - explain the concept of Interest Rate Swaps (IRS), and their main characteristics

 - interpret Swap quotes

 - explain Option terminology and Payoff profiles

 - list the features and benefits of option use in hedging

 - explain the nature of risk in option - the nature of the ‘Greeks’

 - describe the trading practices in the derivatives markets

Day 4

Session 7: The Risk Environment

At the end of this session, candidates will be able to:

 - identify price risk in currency and interest rates  

 - explain the difference between transaction, translation and economic risk

 - explain counterparty, delivery and related risks

 - describe a limit structure, and how it works

Session 8: The Model Code

By the end of this session, participants will be able to:  

 - explain the purpose of the Model Code, and its application within the industry

 - list the general principles of professional conduct

 - explain market terminology

 - explain the procedures for disputes

 - list the market practices covering

    - Foreign exchange

    - Money market

    - Derivatives

    - Securities

    - Dealer-broker relationships

 - Dealer-customer relationships

Day  5

Session 9: Full Mock Exam

Session 10: Exam debrief and Revision Session

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Technical Knowledge

Inflation Linked Derivatives


Aim

This half day course provides a practical understanding of the Inflation Linked Swaps and Options markets.It describes the mechanics of a range of Inflation linked products, provides explanation of why a particular product is used, and demonstrates the valuation of such products.

Objectives

 
By the end of the seminar, participants will be able to

-  Describe and apply Zero Coupon Break Even, Year on Year and TIPs Swaps to specific client requirements

 - Value a generic Inflation Linked swap by building an Inflation curve from market data

- Discuss seasonality,convexity and other issues relevant to the valuation 

- Apply Inflation Linked options (Real Rate Swaptions, Caps / Floors, LPI products) to market requirements

Prerequisites

 
To participate successfully in this programme, you should be able to

- Describe the operation and valuation of a basic Inflation Linked Bond

- Explain basic inflation linked terminology (Real Yield, Break Even etc)

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Technical Knowledge

Options Trading Strategies


Aim
This one day course provides participants with a practical understanding of a number of trading strategies using vanilla options.The course describes the rationale for each trade and, using a strategy spreadsheet, participants construct and test the positions under a variety of market circmstances. Examples are drawn primarily from the equity options market, with reference being made to other asset classes where relevant.


Objectives
By the end of the seminar, participants will be able to

- Construct and evaluate basic directional trades

- Structure synthetic positions, conversions and reversals

- Apply Gamma trading to Realized Volatility expectations

- Construct Vega trades

- Explain the existence of Smile and Skew and apply Risk Reversal and Strangles

- Apply relative time trades

- Construct Dispersion Trades

Prerequisites
To participate successfully in this programme, you should be able to

- Describe the basic Greek sensitivities of an option

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Technical Knowledge

Inflation Linked Securities


Aim
This half day course provides participants with a practical understanding of the mechanics of Inflation Linked Securities.The course describes issuer / investor motivations, the characteristics of the main Inflation Linked bond markets, and provides practical examples of Inflation Linked Valuation.

Objectives
By the end of the seminar, participants will be able to
 

- Identify the main inflation indices

 - Calculate the cashflows arising from the main Inflation Linked securities (8 month Lag UK, 3 month UK, US, Euroland etc)

 - Determine the Real Yield of a lagged security 

 - Define Break Even Inflation and its significance

 - Understand Carry in regard to Index Linked instruments

 - Apply the products from the perspective of asset allocators, traders etc

Prerequisites
To participate successfully in this programme, you should be able to
 

- Describe the cashflows and valuation of a vanilla fixed income bond 

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Technical Knowledge

Fixed Income Trading Strategies


Aim
This one day course provides participants with a practical understanding of a number of Fixed Income trading strategies, explaining the rationale for each trade and how each is executed. Examples are drawn from both the Bond and Interest Rate Swap markets


Objectives
By the end of the seminar, participants will be able to

- Construct and evaluate a basic static roll and carry trade

- Use Relative Value information to make cheap / rich decisions

- Structure steepener / flattener trades

- Construct Butterfly trades using a variety of different weightings

- Evaluate Credit Spread opportunities

- Effectively finance a Fixed Income trading position

Prerequisites
To participate successfully in this programme, you should be able to

- Explain the basic measures of Fixed Income sensitivity (Duration, DV01, Convexity etc)

- Explain the concept of valuing basic Fixed Income products

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A One Day Programme

Base Metals and Base Metal Trading

Session 1     Economic Fundamentals

 - Historical perspective

- Mining and metal production

- Commodity price risk management

- Economic factors and metals prices

Session 2     The Base Metals Market

- Background and structure of the London Metals Exchange

    - Objectives, role and management structure 

 - Development of the market

- Price determination and control

 - Membership criteria and the Brokers role

 - The contracts traded and specifications

 - Market terminology

Session 3     Base Metal Trading

 - Participants, producers, service providers and location

- Open outcry ‘Rings’ and price quotations

- Good Delivery 

-  Settlement prices and how prices move

- Daily timetable – the Brokers routine

Session 4     Forward Structure and Delivery

- Dates traded – how they relate

-  The LME warehousing policy and delivery

     - Location, operating procedures and charges

 - Cash/ metal flow implications

-  Basic market terms and descriptions

-  Simple trading actions – adjusting open positions

-  Cost/benefit of contango/backwardation

Session 5     Derivatives and Hedging Examples 

- Applying derivatives to manage metals price risk

- The selling hedge with delivery or buy back – and stock financing

- The buying hedge in backwardation – dealing costs and the cash flow effect

- Index products

-  Summary

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Aim

To investigate how corporates manage their transactional exposures

Objectives

By the end of the session the participant will be able to:

Understanding corporate risk management strategy

- Derive a model that identifies a company’s strategic and tactical approach to managing transactional risk

- Determine the impact on a set of financial statements of a variety of simple interest rate and FX based hedges

Using options to manage FX exposure

- Design and interpret a variety of FX option based strategies

- Forward plus

- Boosted forward

- Participating forward

- Ratio forward

Using options to manage interest rate exposure

- Design and interpret a variety of interest rate option based strategies

- Caps and floors

- Premium reduction strategies

- Collar with a knock in floor

- Discounted swap

- Participating swap

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Session 1 

Understanding the Repo Product and Variations

Morning                                

 - Objective: To make participants fully comfortable with the operation and mechanics of the standard Repo Market

 - Objectives of Repo: Cash borrrowing / lending vs Securities driven transactions

- Mechanics and Terminology of Classic / All In Repo

- Collateral Types

- Repo Rate drivers and pricing considerations

- Haircut and  Mark to Market calculations (re - margin and close out and extend examples; cash vs securities margins)

- Handling Collateral Substitution and Out of  Currency Repo 

- Case Study: Participants apply the fundamental mechanics of the All In Repo to a transaction example

- Variations on the Repo theme

 - Key points relating to the following are presented:

- Sell / Buy Back

 - Cashflow implications and Mechanics

- Legislation reasons why Sell / Buy Back exists

- Triparty Repo

 - Objectives of Triparty Repo

- Role and Responsibilities of Custodian

- Central Counterparty Clearing (CCP)

 - Objectives and Operation of CCP

- Forward Start Repo

 - Collateral Nomination considerations

- Securities Lending

 - Comparison to Repo Transactions

- Why Securities Lending?

Session 2  

The Repo Legal and Risk Control Framework

 - Objective: To Review the framework of control of the Repo Market and consider the risks inherent

 - Summarising the risks of All In Repo

- History of Repo Market Disasters (Drysdale, Lombard Wall, etc) and the need for documentation

- PSA , TBMA, ISMA – who are they?

The  GMRA

- What it covers and aims to achieve 

- Applicability and Definitions

- Initiation and Confirmation

- Margins

- Coupon Payments

- Substitution of Collateral

- Representations

- Default Events

- Other Issues

Annexes

Course Summary and Conclusion

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Session 1                 Fundamentals of Shipping

 - Bulk

 - Liner

 - Specialised

 - Ownership

- Period Time Charter

- Spot Charter

- Affreightment

- Market Risks

- Drivers of Freight Costs

Session 2                Freight Markets

- The Baltic Indices

- Routes and Shipping Terms

- The Forward Freight Agreement

- Using FFAs to manage market risk

- Worldscale 

- Imarex Products

- Sale and Purchase Forward Agreements

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Aim

To explain the concepts of swap pricing for a variety of interest rate structures

Prerequisites

A basic understanding of swap terminology

Objectives

By the end of the seminar the participant will be able to:

 - Interpret an interest rate swap quotation

 - Describe the main factors that influence the swap spread

 - Adjust the price of a swap to take into account different day basis conventions and compounding periods

 - Price and revalue a swap position as an equivalent position in a fixed and floating rate bond

 - Calculate the price / mark to market of a generic interest rate swap using a zero coupon technique

 - Calculate the basis point value of a swap

- Calculate the price of a number of interest rate swap variations

   - Forward starting swaps

   - Amortising swaps

   - Constant maturity swaps

- Outline how interest rate futures could be used to price an interest rate swap

- Use OIS discounting to value swaps that are daily margined and collateralised

- Explain the impact of Liquidity on Basis Swaps and their effect on floating tenor valuations

Enquire

Technical Knowledge

Power Trading Markets and Products


Aim

This one day course provides participants with a working understanding of the Power Trading markets. The programme covers the evolution of the deregulated market for the generation, transmission, distribution and supply of power. Risks inherent in the Power Markets, and the operation of a range of physical and financial products designed to manage those risks are explained.  Specific reference is made to the UK market, together with examples from the European and US sectors.

Objectives

By the end of the seminar, participants will be able to
 

- Explain the development of Power Markets from Monopoly, through Mandatory Pool and Voluntary Pool to Bilateral Markets

 - Describe the operation of the Balancing Mechanism within the power supply chain and the explain structure of the power market day

 - Explain the fundamentals of power generation, understand Heat Rate and calculate Spark and Dark Spreads 

 - Identify risks inherent in the Power Markets

- Describe and apply a range of Physical and Financial market products (EFAs / Forwards, Swaps, Futures etc) using examples from global power markets, both OTC and Exchange Traded

- Discuss the solutions offered by other markets for managing power related risks e.g. Volume Risk and Weather Derivatives 

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