Structured Derivative Notes & Swaps - Part 3

Structured Derivative Notes & Swaps - Part 3


This eCourse consists of two modules. Module 1 covers Power Reverse Dual Currency (PRDC) Notes. While the instrument itself is well understood, and has been issued in such quantities that it is almost considered a 'vanilla' instrument amongst investors, the structuring and hedging of a PRDC note is highly complex. This module tackles many of these complexities by examining in detail the structures and risks associated with these notes.

Module 2 studies the distinctive characteristics of TARNs. It will also look into the widespread applicability of the TARN concept. Finally, this module will identify the valuation difficulties and analyze the approach taken to solving them.


On completion of this course, you will be able to:
- Identify the key characteristics of power reverse dual currency (PRDC) notes
- Describe the role of the key players in the PRDC note market
- Deconstruct a PRDC note structure
- Describe the key features of a target redemption note (TARN) and determine its coupons and redemption period
- Identify the key participants in the market for TARNs and describe their roles
- List the factors to be taken into consideration while valuing a TARN structure


Module 1: Power Reverse Dual Currency (PRDC) Notes
Topic 1: Basics of PRDC Notes
Topic 2: Deconstructing the PRDC Structure
Topic 3: PRDC Investors, Issuers, & Structures

Module 2: Target Redemption Notes (TARNs)
Topic 1: Basics of Target Redemption Notes
Topic 2: Variations of the TARN Structure
Topic 3: TARNs – Market Participants
Topic 4: Valuation of TARNs


SFC:2.50, PWMA:2.50