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Investing in Structured Products and Financial Derivatives
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Investing in Structured Products and Financial Derivatives
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    24 – 25 October 2018

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School
    14
    AICB
    CPD HOURS
    10
    SIDC
    CPE POINTS
    This programme covers the various types of investment products offered to high net-worth and individual investors by banks and investment managers, and the risks and rewards for both investors and issuers. It is based around case studies of recent products issued in Asia with a focus on Singapore and Kuala Lumpur and provides participants with an understanding of how investment products can be constructed, priced and hedged by the issuers, and how they can be tailored to meet investors’ objectives. There will also be discussions on the suitability of each product for different investor profiles.

    Designed for market participants who are not option pricing specialists, this programme will give an understanding of the different structured products and how to structure, analyse and price them, to identify the risks in individual structured products and to explain the suitability of products for investors with different investment objectives.

    The main focus will be on equity and FX-linked products but other types of embedded derivatives, such as interest rate derivatives, commodity-linked and credit-linked derivatives will also be discussed. Potential regulatory and supervisory concerns will be highlighted wherever applicable.
    LEARNING LEVEL
    Advanced
    PROGRAMME FEE*

    AICB / MIBA MEMBER

    MYR

    5,500

    / PAX

    NON-MEMBER

    MYR

    6,000

    / PAX

    *inclusive of GST
    Jointly with:
  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:
    • Identify the risk and reward characteristics of structured products
    • Explain the suitability of individual products for investors
    • Explain the pricing, trading, market impact and risk management of products issued
    • Identify operational and other risks
    PROGRAMME OUTLINE
    Introduction to Investment Products
    • Capital protected products
    • Enhanced income products
    • Variable income products
    • The trade-off between income and risk
    • Risk

    Equity Options
    • Option pricing
    • Volatility
    • Option delta
    • Other option price sensitivities

    Capital Protected Notes (CPNs)
    • Creating a CPN
    • Case study – pricing and structuring a basic CPN
    • Equity linked notes
    • Other underlying assets
    • The impact of volatility and interest rates on a CPN structure
    • Case study and group discussion- pricing a CPN using different underlying assets and currencies

    Variable Income Notes
    • Range notes (accrual notes)
    • Creating a variable income note
    • The investors’ perspective
    • Case studies: examples of variable income notes
    • Group discussion: Adjusting the terms and yield on a variable income note

    High Income Products
    • The income/risk trade off
    • Creating a high income note
    • Put options
    • Reverse convertibles
    • Case study – examples of high income notes

    Refining the Product: Using Exotic Options
    • Issuer’s motivation
    • Capped returns
    • Using Asian options
    • Knockout and knock-in structures
    • Other refinements
    • Case studies: Choosing an optimum structure

    Expensive Structures
    • Cliquets

    Market Trends
    • Current market conditions and their impact
    • Group discussion: investor focus in the current market
      • Yield or safely
      • Currency
    Credit Linked Structures
    • Credit Linked Notes (“CLNs”)
    • Credit Default Swaps (“CDSs”)
    • Basket CLNs
    • Collateral and guarantees
    • Risks and potential regulatory treatment
    • Case study – Structuring a CLN

    Issue Structures
    • SPVs
    • Collateral and guarantees
    • Risks and potential regulatory treatment
    • Case study – mini-bonds

    A Regulatory Perspective
    • Potential causes and concerns for the regulator
      • Client risk: High returns imply high risk - is product risk identified and explained?
      • Issuer risk

    Structured Warrants
    • Valuing structured warrants
      • Traditional valuation measures - premium, gearing and capital fulcrum point
      • Option based valuation measures - implied volatility, delta and effective gearing
    • Issuing a structured warrant
    • Case study: pricing and hedging a structured warrant

    Enhanced Income Structures
    • The cost of enhanced income
    • Increasing the level of income
      • Using leverage
      • Other processes
    • The risk to investors
    • The risk to the issuer
    • Case study: making the yield more attractive
    • Case study: reverse engineering, pricing and hedging
    • Case study: dual currency structures

    Correlation Based Products
    • Using correlation in CPNs and high income structures
      • Basket structures
      • Best of/worst of structures
    • Cross Currency Structures
      • Compo and quanto options
    • Group Discussion: structuring an attractive dual currency structured product

    Course Summary and Conclusion
  • Methodology
    The programme is based around case studies of recent and relevant products issued in Asia.

    Participants will analyse investment characteristics of the various products, their suitability for investors with different investment objectives and risk appetites, and their pricing and hedging.

    The programme is designed for market practitioners who are not mathematics specialists.
  • Participant Profile
    Suitable for investment advisors, fund managers, family wealth advisors, traders, compliance officers, institutional sales and risk Managers. Participants should have a basic knowledge of call and put options and of futures, and an understanding of the Present Value (PV) of cash flows and the valuation of bonds will be assumed.
  • Trainer

    David Roden

    David Roden has over 30 years’ experience in the financial markets. He joined the London stockbroker, de Zoete and Bevan, in 1980 and became a partner in 1984. After it was acquired by Barclays Bank in 1985, David was appointed as Global Head of Equity Derivatives at BZW (now Barclays Capital) responsible for the overall management of sales, trading, research and risk management for equity derivatives globally. He was also responsible for the expansion of the business, which by 1997 had teams working in London, New York, Hong Kong, Singapore, Tokyo, Paris and Frankfurt. During this time, David was appointed by the Bank of England as chairman of the committee for the merger of the Traded Options and Futures markets in London. This merger was successfully completed within the schedule initially agreed with the Bank of England.
    Since leaving BZW in 1998, David has acted as an independent consultant in derivatives, credit and risk management. In 2000, David founded European Research Ltd to provide independent research in Mergers and Acquisitions. It now publishes four research products in mergers and acquisitions and special situations with over eighty institutional clients in the US, UK, Europe and Asia Pacific.

    David has a BA in mathematics from Wadham College Oxford, and has been a resident in Singapore for sixteen years, while spending his time equally between London and Singapore.

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