Advanced OTC Derivatives: Equity Derivatives, Credit Derivatives & Structured Notes

Advanced OTC Derivatives: Equity Derivatives, Credit Derivatives & Structured Notes

Euromoney Training
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Description

Euromoney Legal Training and this course are neither endorsed by, nor affiliated with, ISDA®. Course overview Since 1990 Euromoney Legal Training, in association with Schuyler K. Henderson, has organised a widely praised course on the basic legal concepts in swaps and the documentation of swap transactions using the ISDA® Master Agreements. Each year, swaps and derivatives become more and more complex. New developments in equity and credit derivatives and insurance derivatives and synthetic securitization, new and emerging jurisdictions are involved, and derivatives are increasingly used as part of financing structures. This course is specifically designed for delegates who having mastered t…

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Euromoney Legal Training and this course are neither endorsed by, nor affiliated with, ISDA®. Course overview Since 1990 Euromoney Legal Training, in association with Schuyler K. Henderson, has organised a widely praised course on the basic legal concepts in swaps and the documentation of swap transactions using the ISDA® Master Agreements. Each year, swaps and derivatives become more and more complex. New developments in equity and credit derivatives and insurance derivatives and synthetic securitization, new and emerging jurisdictions are involved, and derivatives are increasingly used as part of financing structures. This course is specifically designed for delegates who having mastered the basic issues, are facing the challenges of these new and complicated applications. As the range of users and applications of swaps and derivatives increase, the legal and documentation issues become difficult and require more sophisticated techniques. How this course will help you You will learn: The significance of "appropriateness" and "suitability" Use of derivatives in project financing Rationale, "Tricks" and risks in structured financing Synthetic investing Off balance sheet structures: lending against puts and calls Legal structure, key terms, documentation and risks incredit derivatives and equity derivatives Repackagings and synthetic securitisation Use of the ISDA® Master Agreements in structured financing Who should attend? The course is specially designed for those with some experience of swaps and the associated legal issues. It is particularly suitable for past delegates of Euromoney's Legal Issues in Swaps and Swap Derivatives course. In-house lawyers in banks and securities houses Bankers involved in complex financing using swaps and derivatives Lawyers in corporations, fund managers and other end users Lawyers and accountants in private practice who advise clients on the above categories Senior documentation staff Compliance officers ISDA® is a registered trade mark of the International Swaps and Derivatives Association.
Euromoney Legal Training and this course are neitherendorsed by, nor affiliated with, ISDA®. Day 1 Description of derivatives Overview of the OTC derivatives markets Form: swap, option and forward Optionality Present value; marking-to-market, marking to model Dealers and end-users Hedge issues Standardisation; liquidity Derivatives technology and uses Examples Valuations Hedges; asymmetry Accounting issues FAS 133 IAS 39 Documentation Master agreement Confirmations Definition booklets Currency products Forwards and NDFs Options and barrier options Currency products (cont’d) FX and currency option definitions Disruptions Commodity/project financing Commodity swaps “Pre- Export financing” Relationship to lending documents Bullion definitions Energy annexes 2005 ISDA® Commodity Definitions Insurance and economic derivatives Insurance derivatives Notional amount contracts Regulation Weather derivatives 2005 and 2006 ISDA® Inflation Definitions Real estate derivatives Issues with respect to particular counterparties Analysing the risks Agents and fiduciaries Hedge and other Funds Partnerships Sovereigns Day 2 Equity derivatives Equity share derivatives Equity index derivatives Baskets Form: option, swap and forward Equity-funding deposit swap Other uses Takeover legislation (Perry) Employee offering (Marconi) 2002 Equity Derivatives Definitions Products; the dealing market Trading (hedge disruptions) Index events Extraordinary events (mergers, recapitalizations, etc) Fallbacks Knock-in/out events Additional disruption events; hedging issues Calculation agent; determining party Additional representations and acknowledgements Master equity derivatives confirmation agreements Credit derivatives Overview of market Default swaps Baskets: leverage or diversification Uses Hedging Investment Capital reduction Physical and cash settlement 2003 Credit Derivatives Definitions: overview Reference entity Credit events (obligations and credit event): issues 2003 Credit Derivatives Definitions (continued) Physical and cash settlement: issues Dealing market choices: compromise; standard Indexes 2009 protocols and fundamental changes Lookbacks and pricing Determination committees Auctions Capital Day 3 Principles of structured derivatives Tricks Indexed security Currency option built into loan Embedded derivatives: principal protected/unprotected Issuing vehicles: program issuers, SPEs and rating agencies Structured notes Reverse floaters: embedded swap Leverage Credit linked notes: embedded credit default swap Broad selections Exposures Case studies workshop Deconstructing complex notes Common issues Calculation agent Prohibited transactions Hedging and self-dealing Disclosure Tax issues Structured issuers SPE issues Credit supplied independent of originator Rating agency requirements Enron structures Monetized put and call: deferred sale of securities Hedge issues Transformer companies Repackaging: yield enhanced note based on asset swaps Clean, yield-enhanced note; complexity at issuer level Credit issues Synthetic securitisation “Traditional” vs synthetic securitisation - considerations Risk transfer mechanisms Credit loss determination Allocation of losses Documentation issues CDOs and AIG Issues in relation to the ISDA® Master Agreement Rating agency requirements Termination close-out calculations: default or external illegality or tax Commonly overlooked issues Program issuers: note payments on an unanticipated early termination? Commonly overlooked exposures Suitability and misrepresentation Transparency of pricing Hedge risk Liquidity Bankers Trust cases, Kwiatkowski, Caiola, Eternity, Korea Life PERLS and Puglisi SunTrust/PowTel; Peekay Enron related lawsuits and administrative proceedings Reputational issues FSA: treating customers fairly New regulatory world Central clearing counterparties: mandatory, heavy capital charges on others SEC and CFTC Suitability for “unsophisticated” counterparties Questions and recap
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