Foreign Exchange & Interest Rate Products

This practical 2-day training course will enable participants to: Build upon their existing knowledge of the structure of foreign exchange and interest rate markets and understand the role of key players Translate how FX and interest rate products are priced using global pricing conventions Identify how currency and interest rate risks are measured and marked-to-market Perform basic accounting functions required for hedging purposes Analyze the benefits and disadvantages in basic hedging techniques Who Should Attend: This course has been designed for the benefits of: Relationship managers within the corporate banking sector Compliance and back office support within financial institutions Personnel providing support to any trading/sales areas Audit and Financial Control Legal, Technical Support, Human Resources
Day 1 Structure of FX and money markets in financial centers Major players and their respective roles Impact of key economic indicators on level for FX and interest rates Factors affecting shape of yield curves and term structure of interest rates OTC versus exchange traded contracts FX quoting and positioning Market maker vs. price taker/bid vs. offer Trending techniques FX cash flows Net exchange position (NEP) Mark-to-market process Money Market quoting and positioning Definition, types and risks inherent in money market gaps Gapping strategies Money market cash flows Cost-to-close process FX Forwards Define obligations/cash flow implications in FX forward agreements Forward rate calculations Fully hedged FX forward positions P/L calculation on forward NEP Market risks inherent in forward net exchange positions Day 2 FX Options Options pricing sensitivities in Black–Scholes and pricing models Discuss various methods used for estimating volatility FX rate risk hedges using single option strategies and combinations of options (i.e. caps, floors and collars) Pay-off profiles in FX options positions and effect on underlying exposure Comparative analysis between FX forwards, single option structures and/or combinations of FX options Managing exposure to fixed and floating-rate debt using FRA’s and IR swaps Corporate interest rate risks in floating rate debt exposures Structure and pricing issues with FRA’s and IR swaps Key linkages between FRA’s and IR swaps Discuss financial risks and termination techniques used for IR swap "unwinds" Managing corporate debt through use of options on interest rates Review options pricing methods and price sensitivities in pricing models Graph derivative hedges using single and combined options strategies Compare hedging advantages/disadvantages between use of forwards vs. options of interest rates