Commodities, Derivatives and Structured Products

Interest Rate & Currency Swap Structures - Part 2 (2021)


This eCourse consists of three modules. Module 1 describes the key features of overnight index swaps (OIS). An OIS is an interest rate swap whose floating leg is tied to an overnight rate. It also covers the development of the market since the global financial crisis.

Module 2 looks at how swap counterparties mitigate credit risk through the CSA and its standardized version, the SCSA. Other regulatory initiatives in the area of clearing and collateralization of swaps are also covered in detail.

Module 3 looks at developments in swap book management before and after the global financial crisis. Different types of hedging technique such as stack and strip hedging are discussed and an example of hedging multiple swap positions using Euribor futures in Excel is also provided.


On completion of this course, you will be able to:
- Recall how the OIS market has boomed in the post-crisis world as interbank deposit transactions have been concentrated into the shortest tenors
- Identify the key features of OIS transactions including the indices used, how cash flows are settled, and typical maturities and coupon structures
- Calculate OIS cash flow in Excel
- Identify the key steps in building an OIS zero curve
- Recognize how interest rate risk can be managed using OIS
- Define what a CSA is and how it mitigates counterparty credit risks
- Recognize how CSAs have been standardized by ISDA through the SCSA
- Recall various regulatory initiatives in the area of swaps clearing and collateralization
- Recall the practice of swap book management in the pre-crisis era
- Identify the different types of post-crisis swap book management techniques, including macros and micro hedges, stack hedging and strip hedging


Module 1: Swaps – Overnight Index Swaps (OIS)
Topic 1: Overview of OIS
Topic 2: OIS Features & Indices
Topic 3: OIS Calculations
Topic 4: OIS Zero Curves
Topic 5: OIS & Hedging

Module 2: Swaps – CSAs & Collateral
Topic 1: Credit Support Annex (CSA)
Topic 2: Standardized CSA (SCSA)
Topic 3: Swaps Clearing & Collateralization

Module 3: Swaps – Book Management
Topic 1: Developments in Swap Book Management
Topic 2: Hedging Strategies


Relevant Subject
Type 2 - Dealing in futures contracts
Type 5 - Advising on futures contracts
SFC:2.00, PWMA:2.00
All Member: HK$650
Staff of Corporate Member: HK$650
Non-Member: HK$980