Interest Rate Structured Products

2 days 14-15 Sep 2017, Hong Kong Hong Kong $3,350.00 Download brochure Add to basket

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A wide range of interest rate structured products traded in Asia will be explored in this two-day event.  The programme will start with the building blocks of structured products.  Basic concepts like forward rates, interest rate vanilla and exotic derivatives, and risk measurement methodologies will be recapitulated to ensure participants are well equipped to advance to the understanding of more complicated structures.

Participants will examine how to construct, price and risk manage some common structures from first principles.  In the case of more complex structures, the focus will be to develop an intuitive understanding of the products and the inherent risks, especially those that are not hedgeable, to which the investors and the structuring banks are exposed.  This course does not deal with quantitative interest rate modelling.  

Participants will be expected to work on a number of case studies to enhance the learning process. Termsheets of recent interest rate structures will be examined.


We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

Hong Kong
Goliath Lau

The Course Director has over 13 years of trading experience in the financial derivatives industry.  After a brief period as an officer in the back office, he became a bond and interest rate derivatives trader at HSBC Hong Kong in 1995.
He joined JPMorgan Chase as a derivatives trader in 2000. In 2003 he moved to the exotic derivatives desk within the bank, where he traded and structured exotic products in Asian local currencies. In 2007, he joined Bear Stearns Asia as a managing director to set up the exotic business in Asian currencies.
Since 2010 the Course Director has designed and delivered a wide range of financial markets and risk management training courses to investment banks (both supporting and front office staff), corporates, financial institutions, investment funds and financial market regulators.
The Course Director has an MSc in Finance from the City University of Hong Kong and a degree in Business Administration from the University of Bath in the UK.



Hong Kong

4-5 Star Hotel in Hong Kong

All of our courses are held in 4 – 5 star hotels, chosen for their location, facilities and level of service. You can be assured of a comfortable, convenient learning environment throughout the duration of the course.

Due to the variation in delegate numbers, we will send confirmation of the venue to you approximately 2 weeks before the start of the course. Course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

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Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

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Day 1

Overview of the structured product market

  • Generic composition of a structured product
     - Note form vs swap form
  • Rationale for issuers and investors
  • What are the views that can be embedded in a structured note?
  • Market trends and themes following the financial crisis

Toolkit for structured products (I)

  • Recap of interest rate swaps pricing and risk management concepts
     - Forward curves: the fundamental for all structures
     - PV01 and time bucket PV01; using the concept to understand and express curve trading views/strategies
     - [a swap pricing spreadsheet will be provided for participants to understand the concept of time bucket PV01 and how it is related to risk managing plain vanilla and structured interest rate products ]
  • Recap of interest rate options
     - Cap/floors and swaptions
     - The Greeks
     - Volatility smile and its relevance
  • Yield enhancement: how structured products can offer a higher potential return?

Toolkit for structured products (II)

  • Common exotic options embedded in structured products
     - Digitals options
     - Path-dependent options
     - Ease of marketing vs difficulty in risk management to the structuring banks
  • Overview of different pricing methodologies for exotic structures


Day 2

Starting from simple structured products

  • Capped, floored and collared FRNs
  • European and Bermudan callable bonds
     - Connection between the issuer and the arranging bank that provides the hedging
     - Decomposing the pricing of a deal
     - Callable zeros: a variation
  • Inverse floaters
  • understanding the leveraged risk of inverse floaters
  • Fixing-in-arrears: a way to add value to a structure

Range accrual structures

  • Utilising digital options in range accruals
  • A closer look at the dynamic risk profile of a range accrual

Constant maturity swaps (CMS)

  • Mechanics of a CMS
  • Intuitive pricing concept from the forward curve
     - Understanding convexity adjustment in CMS
     - Risk profile of a CMS
  • CMS spread (yield curve spread) structures
     - CMS spread options and spread digital options as building blocks
     - Understanding correlation of forward rates and its importance in CMS spread structures
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