Interest Rate and Credit Derivatives Operations

Interest Rate and Credit Derivative Markets: Structure and Key Players
  • Exchange traded and OTC markets
  • Characteristics and uses of interest rate and credit derivatives (FRAs, caps/floors, swaps, CDS)
  • Fundamentals of derivative valuations
  • Information flow between front, middle and back offices
Prominent Organised Markets
Administration of OTC Interest Rate and Credit Derivatives
  • Legal characteristics of the contracts (master agreements, master confirmations, confirmations and long form confirmations)
  • Handling documentation
  • Managing events during the life of a contract
  • Collateralisation
  • Best processing practices recommended by different participants
  • Using SWAPSWIRE, SWAPCLEAR, DTCC, etc.
Accounting for Interest Rate and Credit Derivatives: General Principles
  • Accounting for derivatives in proprietary trading
  • Accepted aims
  • Formation of results and specific conditions
  • Effects of IAS standards
  • Practical workshop
  • Practical case for FRAs, swaps and options

  • Understand the flows of derivative operations between all participants
  • Master the back office administration of derivatives
  • Comprehend operational risks surrounding derivatives
  • Understand accounting principles for derivative operations
  • Understand and apply IAS/IFRS standards
  • Introduction to the most recent technological innovations and market developments
  • Understand accounting regulations
  • Exercises with futures, listed options, FRAs and swaps
  • Back and middle office staff
  • IT
  • Audit, Control
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