Structured Interest Rate Products: Structuring and Main Uses

Main Mechanics of the Structured Interest Rate Products Market
  • Definitions and mechanics of structured products
  • EMTN structured market: main markets, players, motives and constraints
  • Structured swaps and non-vanilla swaps, CMS
  • Various issuing products: EMTN, BMTN, CD, warrants, ...
  • Structuring process: reverse inquiry, public supply/private
  • placement
  • Calculating forward rates
  • Basics of interest rate options
  • Practical workshop
  • Build a forward yield curve pricer in EXCEL™
Study of Options Embedded in Structured Products
  • Vanilla options: Black & Scholes model
  • Exotic options: pay-off, decomposition of some options into vanilla and digital options
Standard structured products (with examples of recent market transactions)
  • Corridors
  • Reverse floater
  • Callable
  • Non standard interest rate products: Quanto, CMS, etc.
  • Examples of hybrid products: interest-rate + credit, interest-rate + forex
  • Practical workshop
  • Build in EXCEL™ a spreadsheet to compare structured products
  • based on market expectations
Building Strategies Using Second Generation Structured Products
  • Main types of second-generation structured EMTN: callable range accrual, CMS spread, TARN , RATCHET
  • Example of the principal models: path-dependent products, multi-underlying
  • Uses of structured products:
  • In relation to needs of companies, money-market book managers, bond book managers, private asset managers
  • Forecasting
  • Simulations and strategies
  • Analysis of the sensitivities of some structured products

  • Model forward yield curves
  • Master Constant Maturity Swaps
  • Understand 1st and 2nd generation structured EMTNs
  • Master the concept of « callable » products
  • Master the mechanics and main uses
  • for the principal fixed-income structured products:
  • corridor, reverse floater, callable, snowballs, TARNs
  • Set up strategies in relation to market conditions
  • and anticipations
  • Structure up-to-date market products
  • Detailed analysis of cash flows and associated
  • yield/risk opportunities
  • Determine the choice of a structured product
  • in relation to investment targets
  • This course does not touch on exotic options pricing
  • Fund managers
  • Junior structurers, sales
  • Financial intermediaries
  • Support staff: middle office, senior back office, internal control, audit
  • IT
  • Bank financial divisions
  • Risk managers
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