Commodity-Based Structured Products: Structuring and Main Uses

Commodity markets

• Energy markets and market conventions (Gas, electricity, oil, CO2, climate)
• Metal markets and use of products to hedge customers’ exposure
• Main market players
• Key pricing factors
• Underlying listed markets
• Various issuing vehicles
• Forward pricing

Structuring process and zero-coupon curve

• Structuring process: private placement and public offering
• Modeling the price of risk: zero-coupon curve calculation
• Forward rate calculation

• Practical workshop

• Build in EXCEL™ a spreadsheet to calculate zero-coupon and forward rates

Use of options in structured products

• Vanilla options
• Exotic options: pay-off, breaking down some exotic options into a set of vanilla and digital options

Use of structured products to hedge exposure

• Hedging the exposure of commodity consumers
• Study of the most commonly used structures

Using the forward curve to structure effective products

• Use of the forward curve in structured products (contango, backwardation)
• Use of volatility

• Practical workshop

• Build an Excel™ spreadsheet to compare various structured products for various market anticipations

Study of market structured products

• Presentation and analysis of current offering of commodity-based structured products
• Overview of pricing models
• Sensitivity analysis