Summary

Learning Outcomes

• Deeper conceptual clarity on financial market price discovery and derivative markets
• Understand the mechanics and application of currency and interest rate swaps
• Do-It-Yourself approach in learning to price the swaps in excel
• Hedging of foreign currency loans by NBFCs/ Corporate borrowers, with Currency swaps and with variants for better risk management
• Using swaps, how NBFCs can manage their ALM and interest rate risks better
• Understand other instruments like Forward rate agreements, interest rate options – caps, floors, collars, etc.

Target Audience:

• NBFCs – treasury and finance executives for ECB hedging and ALM interest rate risk management
• Treasury Derivatives Sales and Corporate banking relationship managers in Banks
• Swap Traders and risk managers in Banks

Day 1

Session 1

INTRODUCTION AND BASICS

• Financial markets & price discovery process
• Interest rates structure and monetary policy
  Understanding yield curve

Session 2 & 3

INTEREST RATE SWAPS

• Types and Application
• Benchmarks
• India OIS market
• Mechanics
• Computation based learning

Session 4

CURRENCY SWAPS

• Basics of FX, Introduction to FX swaps
• Interest rates and swap price discovery
• Forward premium and yield curve linkages
• Implied yield and Arbitrages

Day 2

Session 5 & 6

'SWAP PRICING - INTUITIVE APPROACH

• Understanding pricing of Cross currency swap
• DIY: Excel based swap pricing - CCS and variants
• Derive Long term FX forward rates from MIFOR curve
• Valuation of CCS

Session 7

OTHER INTEREST RATE PRODUCTS

• Forward Rate Agreements
• Interest Rate Options  - Collar, Caps, Floors, Reverse Collars
• Interest Rate Futures

Session 8

STRUCTURED SWAPS AND RISK MGMT. 

• Hedging with Interest Rate options and swaps
• Regulations
• Credit risk in swaps
• Operational and settlement risk

Trainer Profile

He is a financial market expert with over 25 years of experience. Had started his career in a large corporate as FX risk manager and served in an MNC bank (Standard Chartered Bank) for about two decades in their foreign exchange function. He held various roles including Treasury Sales advising clients on FX and interest rate risk management, Head of FX flow business for India Head of Business management and strategy for Treasury sales function, and Head of Treasury sales business for South Asia for commercial segment.

Training dates - December 16-17, 2024

Training fees - ₹ 28,000 + applicable taxes