FINANCIAL MARKET COURSES
Japanese Equity Market
Receivable Finance (New)
Lending - An Introduction
The Lending Cycle
Commodities - An Introduction (Revised)
Commodities - Trading (New)
Commodities - Livestock (New)
Commodities - Softs (New)
Primer – MiFID II/MiFIR (New)
Understanding Private Wealth Management Business
Private Wealth Management Products & Services
Primer – Smart Beta (New)
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Capped and Collared FRNs
A capped FRN is a floating rate note combined with an interest rate cap, while a collared FRN is one that combines both an interest rate cap and floor. These instruments are attractive to issuers seeking to reduce funding costs and to investors seeking to earn a higher spread over the floating rate index.
This course describes how capped and collared FRNs work and illustrates the payoffs on these instruments from the viewpoint of both the issuer and the investor.
On completion of this course, you will be able to:
• Recognize the main characteristics of capped and collared FRNs
• Identify the main considerations in the pricing of capped and collared FRNs
Topic 1: Basics of Capped and Collared
• Capped FRNs
o Investors and Issuers Perspective on Capped FRNs
• Collared FRNs
o Investors & Issuers Perspective on Collared FRNs
• The Yield Curve and Capped & Collared FRNs
o Forward Libor Rates > Yield Curve Rates
o Forward Libor Rates < Yield Curve Rates
• Product Variations
Topic 2: Pricing Capped & Collared FRNs
• Pricing Capped FRNs
• Pricing Collared FRNs
ESTIMATED COMPLETED TIME
This course describes the basic trigger structure, how it is priced using the binomial tree and the most common uses of these structures.
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