Introduction to Structured Products

August 8, 2012 September 12, 2012

Many classes sell out; we suggest registering at least one week in advance to ensure availability.

Introductory Level, 7 CPE Credits

Instructor: Charles Gates

Hours: 9:00 am — 5:00 pm; Registration/Breakfast begins at 8:30 am

Location: New York City, Bayard’s, One Hanover Square

Course objectives:

By the end of the course, the participant will be able to:

• Define structured products
• Explain the fundamental building blocks
• Apply basic derivatives and be able to construct structured products
• Discuss the fundamentals of pricing
• Identify the risks associated with these products

Session 1: Introduction to Structured Products

By the end of the session, the participant will be able to:

• Define structured products
• Identify the building blocks
• Categorize structured products by asset class and type of product
• Understand the drivers of the market

Session 2: Derivatives

By the end of the session, the participant will be able to:

• Explain the basic payoff profile, applications and fundamental pricing of:

• Forwards
• Swaps: Interest rate and credit
• Options
• Exotic options

• Barrier and digital options

Session 3: Structured Credit Products

By the end of the session, the participant will be able to:

• Explain the fundamental process of securitization
• Identify cash flows in a Collateralized Debt Obligation (CDO)
• Identify cash flows in a synthetic CDO
• Define a credit index: CDX, iTraxx and ABX
• Explain tranches within the index and some of the basic trading strategies
• Identify and discuss pricing components

Session 4 Equity Structured Products

By the end of the session, the participant will be able to:

• List the different types of structures
• Construct an equity linked note that is:

• Principal protected or
• Designed for maximum return

Session 5: Fixed Income Structured Products

By the end of the session, the participant will be able to:

• List the different types of fixed income structured products
• Construct a fixed income structured product
• Discuss and explain a specific deal
• Discuss hybrid deals: equity plus interest rates
• Identify and discuss pricing components

Session 6: Foreign Exchange Structured Products

By the end of the session, the participant will be able to:

• List the different types of foreign exchange structured products
• Construct a foreign exchange structured product
• Discuss and explain a specific deal
• Discuss hybrid deals: Credit and foreign exchange

Session 7: Commodity Structured Products

By the end of the session, the participant will be able to:

• List the different types of commodity related structured products
• Construct a commodity related structured product
• Discuss and explain a specific deal
• Identify and discuss pricing components

Session 8: Risk Review

By the end of the session, the participant will be able to:

• Identify the risks associated with these products including:

• Market
• Credit
• Counterparty
• Liquidity
• Operational