Commodity-based structured products: Structuring and Main Uses

LEVEL: INTERMEDIATE LEVEL

▪	Knowing Black&Scholes adapted to commodities
▪	Mastering the mechanics of barrier options
▪	Using options to hedge the exposure of producers/consumers
▪	Mastering the dynamic hedge of options
▪	Using forward curves (contango/backwardation) to structure effective products
▪	Mastering the principles of structuring commodity products
▪	Calculating the return of structured products
▪	Understanding the risks of structured products

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▪	Course based on structured products in line with market trends at the date of the course
▪	Detailed analysis of risk/return opportunities
▪	Selecting structured products in line with hedging objectives and risk-aversion

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
▪	Listed markets
▪	Various issuing vehicles
▪	Forward pricing
Structuring process and zero-coupon curve
▪	Structuring process: private placement and public offering
▪	Modelling the price of risk: zero-coupon curve calculation
▪	Calculating forward prices
Practical workshop
▪	Calculate forward interest rates in Excel™
Use of options in structured products
▪	Vanilla options
▪	Exotic options: pay-off, beaking 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
▪	Exploiting contango & backwardation
▪	Exploiting 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