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Course details

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School of Derivatives

A guide to derivatives instruments & markets management
  • Course overview

    This five day School of Derivatives provides you with a thorough understanding of the derivatives market for both OTC and exchange-traded instruments. It focuses on how banks use derivatives to manage their own exposures and to provide practical solutions to their customers.

    This course consists of two parts:

    Fundamentals of Derivatives
    is a comprehensive overview of the major classes of derivatives, distinguishing between linear and non-linear derivatives.

    Bank Applications of Derivatives explains, by way of specific examples, how banks use derivatives for their own and their customer benefit. The first part looks at specific solutions for customers and focuses on the role of swaps in the primary issuance business, and managing customer FX exposures; whilst the second looks at financial engineering, and more specifically, at how derivatives can be used to reduce funding costs and/or as a means of the bank earning fees without taking a proprietary position, whilst at the same time providing investors with instruments that meet their risk/reward requirements.

    Summary of course content:

    • How and why are derivatives used in practice?
    • The difference between exchange-traded and OTC derivatives?
    • Clearing procedures for exchange-traded derivatives
    • Understanding the principal money market derivatives and how they are used to manage interest rate risk
    • Swaps and how banks and other institutions use them
    • Prima on options and their application in the management of FX risk
    • How derivatives are embedded in common structures to provide investors with attractive risk/reward profile


    The School uses interactive lectures, worked examples and real-world case studies showing in detail how the products are used and why. It shows the products in a highly practical way, without over-complication, with clear illustrations of each so that you may readily understand them and the role the bank plays.

    FTS Eligible

    This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.

    Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles.

    The FTS is available to eligible entities, at a 50% funding level of programme fees, subject to a cap of $2,000/participant/programme and all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with specified validity period. Please refer to for more information.

    Please note that this course is only eligible for FTS Funding when registering for all module.


    Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2. 
  • Day 1

    Introduction to Derivatives & Derivative Types

    Session 1: Introduction to Derivatives
    • What is a derivative?
    • The equity CFD market explained
    • Why is there a market for derivatives?
    • Attributes of derivatives
    • Practical uses of derivatives
    • Leveraged trading
    • Risk management applications
    • Creating synthetic positions
    • Advantages of derivative instruments over cash instruments

    Session 2: Market Structure for Derivatives
    • Exchange traded v over-the-counter (OTC) derivative instruments
    • Identifying derivatives risks and how they can be managed
    • The role of Master Agreements in OTC transactions
    • What is payment netting and when does it apply
    • Termination of contracts in the event of insolvency: close-out netting
    • Credit Support Annex (CSA) and collateralisation
    • From bilateral to multilateral netting: advantages and reasons for caution
    • CCPs and the management of counterpart risk
    • Variation margin v collateralisation
    • Initial margin v maintenance margin

    Session 3: The Regulatory Framework
    • Regulation pre the financial crisis
    • Regulation post the financial crisis
    • Underlying policy objectives
    • The provisions of the European Markets Infrastructure Directive (EMIR) and the Markets in Financial Instruments Regulation (MiFIR)
    • Reporting transactions

    Day 2

    Swap Instruments

    Session 1: Swaps
    • Interest rate swap (IRS) mechanics
    • Market conventions explained
    • IMM and MAC swaps
    • Relationship between swaps, forward rates and forward based instruments
    • The IRS as a collection of forward rate agreements (FRAs)
    • Creating a synthetic IRS using short-term interest rate (STIR) futures
    • Current issues for IRS
    • What should the “floating leg” reference to?
    • Libor following the financial crisis
    • Overnight rates v term rates
    • Recent developments in interbank reference rates and their implications on the swaps market
    • The rise of the overnight index swap (OIS)
    • Currency swaps
    • Understanding he role of the cross currency basis swap
    • Impact of regulatory changes on swap market infrastructure
    • Multi-lateral trading platforms
    • Central clearing
    • Prospects for exchange traded swaps

    Session 2: A Framework for Marking-to-Market OTC Derivative Positions
    • Building the discount function
    • The concept of discounting and zero rates
    • Which curve should be used?
    • “Bootstrapping” the swaps curve

    Case Study: Using the bootstrapping approach, delegates will derive the inter-bank discount function

    Session 3: Marking-to-Market Interest Rate & Currency Swaps
    • Identifying the cash flows
    • Representing the floating cash flows as notional cash flows
    • Pricing and market-to-market a vanilla IRS
    • Assumptions and limitations
    • OIS discounting and forwarding curves

    Case Study: Using the discount function derived earlier, delegates will mark-to-market a number of swap positions

    Day 3

    Introduction to Options

    Session 1: An Options Primer
    • What is an option?
    • Option terminology
    • Exercise types
    • Option “moneyness”
    • Intrinsic v time value
    • Understanding the payoff profiles

    Session 2: Trading & Hedging Strategies with Equity Options
    • Understanding how to construct payoff profiles for combinations of options and the underlying
    • Understanding the relationship between puts and call
    • Identifying common directional and volatility trading strategies
    • Hedging with options

    Case Study: Delegates will draw the payoff profiles of a number of trading strategies

    Session 3: 
    Introduction to Option Pricing & Risk Measures
    • The importance of correct valuation
    • What drives the price of the option: Understanding the model inputs
    • Approaches to option valuation: hedge approach v probabilistic approach
    • Breaking-down the Black Scholes option pricing model
    • Option risk measures: defining the “Greek” sensitivities

    Case Study: Delegates will use the option Greeks to estimate the new price following a change in market variables

    Day 4

    Bank Applications of Derivatives (1)

    Session 1: Delivering Customer Solutions (1): Using Swaps in Primary Bond Issuance

    • Market structure
    • Inter-bank v customer market
    • Broker quotes in the inter-bank market
    • Why a swaps market exists
    • Linking the securities market place and loan market
    • Using IRS to alter corporate liability profiles
    • Understanding the motivation for swapping from fixed financing to a floating liability
    • Swaps and price discovery in the primary market: Calculating the “all-in” funding cost as a spread over LIBOR
    • Using currency swaps to manage liability structures
    • Using swaptions and interest rate caps to secure lower floating rate funding costs
    • Miss-uses of derivative products aimed at SMEs: Best practice

    Case Study: Delegates will compare funding alternatives for a company

    Session 2: Delivering Customer Solutions (2): Providing Tailored Hedge Programmes for Customers’ FX Exposures
    • Understanding typical corporate FX exposures
    • Managing FX exposures with FX forward contracts
    • The problem with “forward only” cover
    • FX option primer
    • Using vanilla currency options to retain the up-side
    • Tailored solutions for non-financial institutions: Creating zero premium products with option combinations
    • Collars, range-forwards, forward-bands and cylinders
    • Participating forwards
    • Ratio forwards
    • Break-forwards, FOXs and forward reversing options
    • Introducing more innovative solutions: using “exotic” options to reduce hedging costs
    • Introduction to barrier options

    Case Study: Delegates will propose a suitable hedging strategy for a corporate with FX exposures



    Day 5

    Bank Applications of Derivatives (2)

    Session 1: Financial Engineering with Derivatives
    • Primary motivations for structuring
    • Securing cheaper funding
    • Providing attractive risk/reward profiles for investors
    • Earning fee income
    • The structuring process

    Session 2: Delivering Cheaper Funding: Inverse Floating Rate Notes

    • Investor perspective
    • Understanding the structure
    • Variations on a theme
    • Deferral period
    • Adding a minimum rate
    • Step-ups
    • Adding leverage
    • Pricing and valuation
    • Hedging the issuer exposure
    • “Super-floater” FRN’s

    Case Study: Delegates will construct a deferred reverse floating rate note, identifying appropriate parameters, and identifying the “hedge” required by the Issuer to ensure LIBOR based financing

    Session 3: 
    Targeting the Retail Market: Capital Guaranteed Notes & High Income Products
    • Understanding the process and distribution channel
    • Who takes the risk
    • Constructing a capital guaranteed note
    • Introducing a cap and other common variations
    • High income products
    • Selling puts to increase income
    • The listed certificate market
    • Auto-callable structures

    Case Study: Delegates will critically analyse a recent World Bank equity-linked note from the perspective of issuer and investor
  • Our Tailored Learning Offering

    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 and dramatically increase your ROI.

    If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

  • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
    • Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
This course can be run as an In-house or Tailored Learning programme


  • Paul Kitching


    The Course Director was the Strategic Development Manager at the London International Financial Futures Exchange (LIFFE), where he was responsible for the research and definition of new specialist swap and risk transfer contracts. Prior to this, he was Head of Interest Rate Product Development with responsibility for the maintenance of the existing product range and the development of new products.He began his career with Ernst & Young and Grant Thornton as a tax specialist, before moving into corporate treasury management at Royal Mail where he was project leader for a treasury and risk management group. In this role he developed risk management protocols and procedures for the use of derivative products. He was responsible for recommending the optimal combination of product types and features for a wide range of situations. Following the completion of a quantitative finance masters degree, he became senior lecturer in Corporate Finance and Taxation at the University of Greenwich. He is a visiting lecturer to Cass Business School on their Executive MBA programme. He is a panel member for the Securities Institute, a member of the Association of Corporate Treasurers and an associate of the Institute of Taxation.



The course will take place at a Central London hotel.

The map attached details some of our most frequently used venues

If you need help booking accommodation for your visit, please contact and one of our partners will help you get the best rate possible.