Introduction to Structured Products
May 3, 2012
Registration Fee: US$995.00 Register Location Instructor
Many classes sell out; we suggest registering at least one week in advance to ensure availability.
Introductory Level, 7 CPE Credits
Instructor: Charles Gates
Hours: 9:00 am - 5:00 pm; Registration/Breakfast begins at 8:30 am
Location: New York City, Bayard's, One Hanover Square
Course objectives:
By the end of the course, the participant will be able to:
- Define structured products
- Explain the fundamental building blocks
- Apply basic derivatives and be able to construct structured products
- Discuss the fundamentals of pricing
- Identify the risks associated with these products
Session 1: Introduction to Structured Products
By the end of the session, the participant will be able to:
- Define structured products
- Identify the building blocks
- Categorize structured products by asset class and type of product
- Understand the drivers of the market
Session 2: Derivatives
By the end of the session, the participant will be able to:
- Explain the basic payoff profile, applications and fundamental pricing of:
- Forwards
- Swaps: Interest rate and credit
- Options
- Exotic options
- Barrier and digital options
- Generically construct a structured product
- Discuss the OTC clearing counterparty solution for derivatives
Session 3: Structured Credit Products
By the end of the session, the participant will be able to:
- Explain the fundamental process of securitization
- Identify cash flows in a Collateralized Debt Obligation (CDO)
- Identify cash flows in a synthetic CDO
- Define a credit index: CDX, iTraxx and ABX
- Explain tranches within the index and some of the basic trading strategies
- Identify and discuss pricing components
Session 4 Equity Structured Products
By the end of the session, the participant will be able to:
- List the different types of structures
- Construct an equity linked note that is:
- Principal protected or
- Designed for maximum return
- Discuss convertibles and reverse convertibles
- Discuss hybrid deals: equity plus credit
- Identify and discuss pricing components
Session 5: Fixed Income Structured Products
By the end of the session, the participant will be able to:
- List the different types of fixed income structured products
- Construct a fixed income structured product
- Discuss and explain a specific deal
- Discuss hybrid deals: equity plus interest rates
- Identify and discuss pricing components
Session 6: Foreign Exchange Structured Products
By the end of the session, the participant will be able to:
- List the different types of foreign exchange structured products
- Construct a foreign exchange structured product
- Discuss and explain a specific deal
- Discuss hybrid deals: Credit and foreign exchange
Session 7: Commodity Structured Products
By the end of the session, the participant will be able to:
- List the different types of commodity related structured products
- Construct a commodity related structured product
- Discuss and explain a specific deal
- Identify and discuss pricing components
Session 8: Risk Review
By the end of the session, the participant will be able to:
- Identify the risks associated with these products including:
- Market
- Credit
- Counterparty
- Liquidity
- Operational