Interest Rate & Currency Swap Fundamentals - Part 4

Interest Rate & Currency Swap Fundamentals - Part 4

Overview

Thirty years ago, the swap desks of global banks were small, arcane areas of finance. Things have changed considerably since then. According to a 2005 BIS survey, the global swap market had outstanding contracts with a notional value of almost USD 150 trillion. The USD sector alone had a size of nearly USD 60 trillion; in comparison, the USD bond market had just USD 23.5 trillion of outstanding issues.

In this tutorial, we will cover the day-to-day trading and risk management of a swaps portfolio. We will examine the position management and cash management of a swaps book from a trading perspective. We assume that the basic structures and mathematics of swaps(such as cash flows and the derivations of zero curves) are already understood.

Objective

On completion of this tutorial, you will be able to:

- Identify the activities of a swap desk
- Explain various ways of hedging a swaps book
- Describe how various positions are managed in a swaps book
- Describe how a swaps book helps manage cash flows
- Explain how currency basis is generated

Content

Topic 1: The Swap Trading Desk
Topic 2: Hedging Concepts
Topic 3: Position Management
Topic 4: Managing Cash Flows
Topic 5: Currency Basis

Details

Code
TEPDS17001901
Venue
ePlatform
Language
English
Level
Advanced
Hours
SFC:1.5, PWMA:1.5
Fees
All Member: HK$450
Non-Member: HK$675
Staff of Corporate Member: HK$450