Background
Swaps have increased both in variety and use over the last few years. They underpin many trading strategies and numerous investment products. While simple to those in detailed daily contact with Swaps, they appear confusing to those with less experience or to those without formal training.
This course provides a fairly detailed overview of Swaps, what they are, how they are used and the major varieties. No prior knowledge is assumed of Swaps but a good general knowledge of securities is assumed.
Delegates
- Fund Managers new to Swaps
- Dealers new to Swaps
- Accountants and Internal and External Auditors (CPD eligible)
- Compliance Officers
- Back Office Managers and Staff
- Institutional Salesmen
- Lawyers (CPD credit available)
- IT & Systems Executives developing Systems for Swaps
CONTENT
MARKET OVERVIEW
Development of the swap market
Key users and uses. ISDA
Interaction with related markets
INTEREST RATE SWAPS
Definition of an interest rate swap
Floating versus fixed rate asset/liability
Cash flows over time
Quoting a swap price
Coupon, basis, asset, term, money market swaps
USES OF IR SWAPS
Converting floating to fixed and vice versa
Arbitrage using swaps
Gaining access to markets
Increasing lending and reducing borrowing rates
Role of broker and intermediary
CURRENCY SWAPS
Definition of a currency swap
Types of currency swaps
Quoting a price
Use of Currency Swaps
ASSET, DIFF, CIRCUS, COCKTAIL SWAPS
CREDIT DEFAULT SWAPS
Definition, Structure, Use
SWAPTIONS
Definition, Structure, Use
PRICING AND VALUATION OVERVIEW
Review of time value of money
Discount functions
Defining price and value of a swap
NPV of fixed versus floating cash flows
Amortising, accreting, roller coaster swaps
VALUING A SWAP SET BY FUTURES PRICES
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