Structured Derivative Notes & Swaps - Part 1

Structured Derivative Notes & Swaps - Part 1

Overview

This eCourse consists of two modules. Module 1 examines the evolution and construction of inverse FRNs and closely-related structures, where the coupon being paid to investors is a hybrid of different components (such as a fixed part and a floating part). The module analyzes the motivations behind the purchase of such structures, as well as how the value of the structures can change.

Module 2 looks at range accrual structures in detail, examining their features and characteristics and showing how to price these instruments.

Objective

On completion of this course, you will be able to:
- Identify the structure of an inverse/reverse FRN, and some of the more common variations
- Describe how the structure is derived from different component pieces
- Explain how the value of the structure (and hence the price to the investor) varies
- Define a range accrual structure and differentiate it from other structured notes
- Outline the main features and characteristics of range accrual structures
- Price a range accrual structure

Content

Module 1: Inverse FRNs
Topic 1: Overview of Inverse FRNs
Topic 2: Constructing an Inverse FRN
Topic 3: Inverse FRN Validation

Module 2: Range Accrual Structures
Topic 1: Introduction to Range Accrual Structures
Topic 2: Structuring Range Accrual Notes
Topic 3: Valuation of Range Accrual Structures

Details

Code
TEPDS17003601
Venue
ePlatform
Language
English
Level
Advanced
Hours
SFC:2.5, PWMA:2.5
Fees
All Member: HK$750
Non-Member: HK$1125
Staff of Corporate Member: HK$750