Commodities, Derivatives and Structured Products

Structured Products - Part 2


This eCourse consists of three modules. Module 1 looks at the valuation and return analysis of structured products with a particular focus on the valuation of callable bonds. A worked example of the pricing of a callable bond in Excel is also provided.

Module 2 describes Greeks, the sensitivities that structured products have to pricing factors such as the underlying index/price, time to maturity, and interest rates in detail and provides a worked example of how sensitivities affect the value of an equity-linked note.

Module 3 looks at various types of structured product, highlighting the main issuer and investor motivations behind each. The Excel-based valuation of one structured product – the RIB note – is also shown.


On completion of this course, you will be able to:
- Recognize the risks of structured products and how such risk is measured by option-adjusted spread (OAS)
- Identify the main methods used to analyze returns on structured products such as total return and horizon analysis
- Recognize the process of pricing a callable bond using OAS analysis
- Identify the key measures of sensitivity for structured products, namely, delta, gamma, theta, rho, and vega
- Recall the importance of stress testing and credit spread for structured products
- Recognize the main sensitivities for an equity-linked note
- Recognize the difference between arbitrage-driven and view-driven investor strategies with structured products
- Identify the key issuer and investor motivations with various types of structured product such as range index binary notes, dual-currency bonds, credit-linked notes, reversible convertibles, inverse FRNs, and step-up and call products
- Recall how Monte Carlo Analysis of a RIB note is performed in Excel


Module 1: Structured Products – Valuation & Analysis
Topic 1: Risks & Yield Analysis
Topic 2: Total Return & Horizon Analysis
Topic 3: OAS Analysis & Callable Bonds

Module 2: Structured Products – Risks & Sensitivities
Topic 1: Sensitivity Measures with Structured Products
Topic 2: Stress Testing & Liquidity Risk
Topic 3: Sensitivities of an Equity-Linked Note

Module 3: Structured Products – Examples & Cases
Topic 1: Arbitrage & View-Driven Trades
Topic 2: Investor & Issuer Motivations


Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
SFC:2.50, PWMA:2.50
All Member: HK$850
Non-Member: HK$1275
Staff of Corporate Member: HK$850