Foreign Exchange & Money Markets

This practical 3-day training course will enable participants to: Identify key participants in the foreign exchange and money markets and describe the role of each Describe the characteristics in FX spot and forward markets and contracts Define the term structure of interest rates and calculate spot and forward yield curves Discuss the structure of interest rate gaps and conventional gapping techniques Perform accounting functions required to capture and manage net exchange positions (mark-to-market) and interest rate gaps (cost-to-close) Review options pricing theory and price sensitivities in binomial models Structure and price derivative solutions more commonly used for hedging interest rate and currency exposure Perform comparative analysis between the use of forward hedges versus using options markets and products Who Should Attend? This course has been designed for the benefits of: Money market managers Corporate finance executives Treasury executives Relationship officers Foreign exchange executives Accountants and auditors
Day 1 The FX and Money Markets Overview of Foreign Exchange and Money Markets The structure and interface between FX and money markets Defining the market players Impact of economic fundamentals Events on foreign exchange and money markets Market Conventions Describing conventions for quoting and positioning in FX spot contracts and markets Identifying and Measuring Interest Rate Risk Management Reviewing interest rate calculations Term structure of interest rates Yield curve analysis Money markets gapping strategies Defining rationale for controlling and managing interest rate and currency risks Pricing and Hedging in Forward FX Markets Defining the structure of forward FX markets Reviewing no-arbitrage pricing techniques Exploring methods for hedging open forward positions Defining correction mechanisms used to eliminate arbitrages in forward markets Day 2 FX and Money Markets Instruments Defining and Pricing FX Swaps FX swaps mechanics Discussing common uses for FX swaps Hedging via FX swaps Risk issues FX Forwards FX forwards mechanics Discussing common uses for FX forwards Comparing economic advantages/disadvantages between alternative methods for unwinding open forward positions Demonstrating how the use of FX forwards transform corporate currency exposure FX Options Reviewing FX options definitions Payoffs Basic options pricing Reviewing price sensitivities for FX rates used in Black – Scholes model Hedging using FX Instruments Structuring corporate applications for hedging currency exposure using options contracts: -caps -floors -collars Reviewing advantages and disadvantages between the use of forwards vs. options contracts Day 3 Interest Rate Risk Management Corporate Interest Rate Risk Management Identifying and discussing corporate exposure to interest rate risk Interest rate risk in ALM Exploring corporate risk management frameworks -Developing a risk management policy -Risk measurement and management techniques -Reporting, monitoring and controlling risks Managing Interest Rate Risk – Forward Rate Agreements (FRAs) and Interest Rate Swaps Discussing the structure of forward rate agreements (FRAs) and interest rate swaps Hedging with FRAs and IR swaps Pricing methods Constructing the forward curve Pricing and Hedging Interest Rate Risk Reviewing no-arbitrage pricing techniques and hedging methods used by corporations and financial institutions for managing interest rate risk Discuss structures, pricing methods and hedging techniques for managing interest rate risks using options (caps, floors and collars) Cross Currency Swaps Reviewing the structure of cross currency swaps Pricing techniques Risk management applications Feedback and Close