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FINANCIAL MARKET COURSES

Interest Rate & Currency Swap Structures

Courses In This Course

In order to cater for specific user requirements, a number of variations of plain vanilla swaps have been developed over the years. The ability of the OTC markets to enable market participants to develop customized and creative products for counterparties has facilitated the growth in swap variations. This course examines the structure, features, application, and pricing of many of these variations.

Objectives

In this course, you will explore:

Popular interest rate and currency swap variations

The structure, pricing and applications of in-arrears swaps

The pricing of constant maturity swaps, along with their structure and uses

Forward, amortizing, and zero-coupon swaps, and their pricing and applications

The fundamentals, pricing, and unwinding of an asset swap

The features, characteristics, and pricing of diff swaps

Overnight indexed swaps (OIS), a special type of fixed-to-floating interest rate swap

Prerequisite Knowledge

An understanding of the Interest Rate & Currency Swap Fundamentals course is required.

Learner Profile

This course is designed for:

New recruits to banking and financial organizations

Trainee dealers and traders

Operations and support staff

Sales and marketing executives

Finance and accounting staff

IT staff

Compliance and regulatory staff

Personnel managers and recruitment staff

  •    SWAPS - CURRENCY SWAPS

    Overview

    Currency swaps were first used in the 1970s. Along with interest rate, equity and commodity swaps, these instruments have changed the face of finance. At the surface level, they have allowed risks to be managed and capital markets accessed in ways that were unimaginable before. At a deeper level, they facilitate the understanding and measurement of risks across enterprises so that those enterprises can operate more effectively.

     

    In this course, we will describe the different types of currency swaps and explain how they are priced.

    Course Duration

    60 mins

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    Prerequisite Knowledge

    Swaps – An Introduction

  •    SWAPS - IN-ARREARS SWAPS

    Overview

    An in-arrears swap is a variation of a traditional interest rate swap. The difference between the two relates to the floating rate payment. With a traditional swap, floating rate payments are based on the level of the reference index at the start of the interest period. With an in-arrears swap, floating rate payments are based on the level of the reference index rate at the end of the interest period.

     

    In-arrears swaps are used to speculate on changes in the shape of the yield curve and are particularly well suited to steep yield curve environments.

    This course looks at how in-arrears swaps are structured and describes in detail how they are priced. Other topics, such as price sensitivities and hedging, are also covered.

    Course Duration

    180 mins

    Prerequisite Knowledge

    Swaps – An Introduction

    Swaps – Pricing & Valuation (Part I)

    Swaps – Pricing & Valuation (Part II)

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  •    SWAPS - CONSTANT MATURITY SWAPS

    Overview

    Constant maturity swaps (CMS), a variation of interest rate swaps, are relatively new in the derivatives market. The basic CMS structure offers the exchange of two floating rate coupon streams, one based on a par swap rate or government bond yield and the other based on a short-term rate (such as Libor). These instruments are an ideal product for investors looking to take a view on the shape of the implied forward curve.

    In this course, we describe the structure of constant maturity swaps and explain how these instruments are priced. Concepts related to their pricing, such as sensitivities and convexity adjustments, are also included.

    Course Duration

    120 mins

    Prerequisite Knowledge

    Swaps – An Introduction

    Swaps – Pricing & Valuation (Part I)

    Swaps – Pricing & Valuation (Part II)

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  •    SWAPS - FORWARD, AMORTIZING, &

       ZERO-COUPON SWAPS

    Overview

    Forward, amortizing and zero-coupon swaps are variations of the traditional interest rate swap structure that are often used in combination with one another. Forward swaps are used to take a view on forward interest rates, amortizing swaps are used to match the underlying principal to an amortizing loan, while zero-coupon swaps are useful if the floating rate receiver has a short-term cash flow deficit. In this course, you will learn how each of these swap types is used, structured and priced.

    Course Duration

    180 mins

    Prerequisite Knowledge

    Swaps – An Introduction

    Swaps – Pricing & Valuation (Part I)

    Swaps – Pricing & Valuation (Part II)

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  •    SWAPS - ASSET SWAPS - AN INTRODUCTION

    Overview

    Asset swap is a generic term for the repackaging of an interest-bearing security using one or more interest rate swaps. The asset swap adds value for investors because it allows the repackaging of bonds issued under different market conditions, giving them par prices and floating rate coupons more or less at the current market rate. The result is a synthetic security that presents the characteristics uniquely sought by the investor.

     

    In this course, we will explain the structure of asset swaps and outline some of their uses and applications.

    Course Duration

    50 mins

    Prerequisite Knowledge

    Swaps – An Introduction

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  •    SWAPS - ASSET SWAPS - PRICING

    Overview

    An asset swap is a package consisting of an interest-bearing security and an interest rate swap. Through an asset swap, a fixed rate security is transformed into a variable rate instrument without affecting the underlying fixed interest position. Any spread above or below the floating rate reflects the credit spread difference between the bond in question and the swap rate.

     

    This course focuses on pricing the initial spread and examines the price sensitivity of an asset swap. It also demonstrates how the mark-to-market value is determined and outlines the process of unwinding an asset swap.

    Course Duration

    60 mins

    Prerequisite Knowledge

    Swaps – An Introduction

    Swaps – Asset Swaps – An Introduction

    Swaps – Pricing & Valuation (Part I)

    Swaps – Pricing & Valuation (Part II)

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  •    SWAPS - DIFFERENTIAL SWAPS

    Overview

    A differential swap – also known as diff swap, index differential swap, cross currency interest rate swap or quanto swap – is a variation of an interest rate swap, distinguished by the fact that at least one (and possibly both) of the payment rates refers to a currency different from that of the notional principal. By using a differential swap, a counterparty can exploit the interest rate differential between two currencies without directly incurring any exchange rate risk.

     

    This course looks at differential swaps in detail, examining their features and characteristics and showing how to price these structures.

    Course Duration

    60 mins

    Prerequisite Knowledge

    Swaps – An Introduction

    Swaps – Pricing & Valuation (Part I)

    Swaps – Pricing & Valuation (Part II)

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  •    SWAPS - OVERNIGHT INDEXED SWAPS

    Overview

    An overnight indexed swap (OIS) is a special type of fixed-to-floating interest rate swap. The floating rate is linked to a published overnight interbank call money index. The term of an OIS typically ranges from two days to two years, but can extend beyond this if required. Overnight indexed swaps are used primarily to manage the interest rate risk on overnight rates. They are also used to speculate on movements in these rates. The importance of these swaps is derived from their impact on activity at the shortest end of the yield curve – the overnight (O/N) rate. This allows market participants to manage overnight interest rate risk, promoting better leverage and liquidity, mitigating credit risk and lowering transaction costs and capital charges.

     

    This course looks at overnight indexed swaps in detail, examining their features, markets, and characteristics, and showing how to price these structures.

    Course Duration

    60 mins

    Prerequisite Knowledge

    Swaps – An Introduction

    Swaps – Pricing & Valuation (Part I)

    Swaps – Pricing & Valuation (Part II)

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