| Mechanics of the main interest rate structured products |
| ▪ | Definitions and mechanics of structured products
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| ▪ | The market of structured EMTN: main markets, key-players (objectives and constraints)
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| ▪ | Comparing EMTN vs structured swaps
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| ▪ | Constant Maturity Swaps
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| ▪ | Issuing vehicles: EMTN, CD, warrants etc.
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| ▪ | Structuring process: reverse inquiry, public offering/private placement
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| ▪ | Studying term sheets
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| ▪ | Notion of qualified investors
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| ▪ | Impact of MiFID on structured products offering |
| Study of options embedded in structured products |
| ▪ | Forward rates calculation and zero-coupon curves
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| ▪ | Practical workshop
. Calculate forward rates in Excel TM
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| ▪ | Sensitivities (Greeks)
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| ▪ | Exotic options: pay-off, decomposition of some options into vanilla and digital options |
| Using structured products in debt management |
| ▪ | Using exotic options
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| ▪ | Structuring exotic packages
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| ▪ | Comparative analysis of various debt management strategies |
| Standard structured products (with examples of recent market transactions) |
| ▪ | Corridors
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| ▪ | Reverse floater
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| ▪ | Callable fixed rate
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| ▪ | Practical workshop
. Build in EXCEL™ a spreadsheet to compare structured products based on various market expectations |
| Building strategies using second generation structured products |
| ▪ | The main types of second-generation structured EMTN: callable range accrual, CMS spread, TARN , RATCHET
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| ▪ | Example of the principal models: path-dependent products, multi-underlying
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| ▪ | Uses of structured products:
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| . | In relation to the needs of corporate, fixed-income portfolio managers, private bankers, institutional investors
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| . | Building up market anticipations
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| . | Simulations and strategies
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| ▪ | Analysis of the sensitivities of structured products |
