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Understand the complex world of derivatives.
  • Overview

    This course makes the complex world Derivatives Markets easy to understand. While being prepared to tackle the difficult topics such as Option pricing, Securitisation and Credit Derivatives these products are explained in a way that is easy to comprehend. Case studies and exercises are used throughout, utilising “real life scenarios”, to aid learning and understanding. All the major types of derivatives are explained, from Exchange Traded to Over the Counter. We examine how Vanilla IRS and CDSs have migrated to electronic trading, meaning standardisation and the use of Clearing Houses for Netting. Counterparty Credit Risk (CCR) and the Credit Risk mitigation is dealt with. This course will give any participant, even starting with no experience, an in depth understanding of the modern derivative markets.


    The course is inter-active and we encourage delegates to apply themselves to the exercises and case studies which are intended to mirror real work experience.

    The exercises are relevant and up-to-date and we use both theoretical and where appropriate real life examples, where these are more helpful. In certain sections, we will refer to current economic data and live market prices, bringing a “real life” edge to the training.

    Summary of course content

    In five days you will expand your knowledge of the derivative products spanning the whole Financial Derivative market. Gaining an in-depth understanding of how they are priced, used and the risks involved:

    • The Life Cycle of a Futures Contract
    • Interest Rate Swaps (IRS) … pricing and uses
    • The Standardisation of IRSs and CDSs and the use of CCPs, (Clearing Houses) for Netting
    • Counterparty Credit Risk (CCR)  and CSA Agreements
    • The move from Libor to SOFR (and ESTR, SONIA etc)
    • How Equity Swaps and CFDs are used
    • FX Forwards – FX swaps and how they are traded to corporates use of Forward Outrights
    • Option trading Strategies… how Asset Managers and Hedge Funds make money from trading Options.
    • How Banks sell Options and still make money – Delta Heding and Volatility Trading
    • How Cross Currency Swaps are used and traded in modern markets
    • Credit Derivatives – trading credit and arbitrage
    • Securitisation and asset-backed securities

    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.

    Who should attend?

    • Junior traders
    • Sales staff employed by banks selling treasury products to corporate clients
    • Asset managers
    • Treasury managers in banks and non-financial institutions non-financial institutions
    • Support staff, including those involved in back and middle office functions
    • Internal and external auditors
    • Risk managers/analysts
    • Finance directors
    • Finance managers
    • Legal staff
    • Accountants and auditors
  • Day One  - Exchange Trade Derivatives

    Life Cycle of a Financial Futures Contracts

    • Contract Calculations
    • Tick values
    • STIRs (Short Term Interest Rates)
      • Calculating Strips
      • What happens when we move from Libor to SOFR
      • SOFR contracts
    • Long Term Interest Rates
    • Equity Index Contracts
    • Examples of how Traders use futures for
      • Hedging
      • Speculating
      • Leverage
    • Life Cycle of an ETD trade

    Macro Trading with Futures

    • Short Term Interest Rate Trades
      • Fed Decisions
      • Impact of Economic news
        • GDP
        • CPI
        • Non-Farm Payrolls (Unempl0yment)
        • Other Top Economic Indicators
    • Index Futures
      • S&P 500………….what impacts the price?
      • FTSE 100………. what impacts the price?
      • World Indices
      • Country v Country Macro Trades
      • Impact of US $ on Emerging Market Indices
    • Trading Indices and Economic News
      • Case studies and examples are used to illustrate how to trade these markets.
    • Commodity Trading
      • Gold Futures
        • RiskOn  – Off Strategies
      • Oil Markets
        • Trading Supply and Demand
        • Spread Trades
    • We consider what impacts these markets. We look at historical data to and analyse how profits can be made from these moves.

    Day Two – Interest Rate Swaps (IRS) and Counterparty Credit Risk

    Interest Rate Swaps Structure and Pricing

    • Structure of a Vanilla IRS         
    • IRS Pricing
    • Pricing an IRS from the Yield Curve
    • Par Curve
    • Bootstrapping
    • Zero Curves
    • Forward Curve

    Exercise: Participants will price a vanilla swap on excel. Delegates price a swap from Zero rates, calculate the Swap Price and discover pricing short cuts.

    • Understanding the move from LIBOR to SOFR
    • How Traders use IRSs and Manage the Risk
    • Portfolio Hedging
    • Duration and Convexity
    • PV01 and DV01

    Exercise: Participants calculate the Duration and hedge a bond with an IRS using Dynamaic the portfolio

    • Pricing a Swap from Futures
      • Creating an IRS from Futures Strips

    Exercise: Participants create an IRS from futures prices, allowing them to understand how IRS are priced and hedged in the real world.

    IRS Markets  

    • Dealing Quotes
    • Bid / Offer Spreads
    • Making a Profit
    • Understanding the move from LIBOR to SOFR
      • The Major Impact on Pricing
      • Overnight Index Swaps
      • ESTR, SONIA and others

    Pricing More Complex Swaps

    • Basis Swaps
    • Amortising
    • Roller Coaster
    • Forward Starting
    • Swaptions
    • Zero Coupon
    • Others

    Macro Trading for Rates – Case study

    • Trading the yield curve
    • CPI and Inflation expectations
    • Participants practice creating trades to take advantage of these moves. E.g. 2 v 10s spread trades.
    • Trading Bull Flatteners / Steepeners
    • Trading Bear Flatteners / Steepeners

    Day Three – Credit Counterparty Risk, Equity Swaps and CFDs,

    • Trading on SEFs and OFTS
    • CCP and the Clearing House
    • Margining and the role of the Broker
    • Collateral Swaps
    • ISDA Master Agreements
    • CSA ( Credit Support Annex)
    • Collateral Management

    Exercise: Calculating a margin call. Delegates need to consider, Haircuts, Minimum Transfer Amounts (Nuisance Amounts), Rounding and Independent Amounts

    CCR (Counterparty Credit Risk)

    • CVA adjustments
    • Basic CVA calculations
    • What is CVX?

    Case Study: We look at how the CVA adjustments impacts the price of an IRS throughout its life.

    Equity Swaps

    • Structure of an Equity Swap
    • TRR Index Swaps
    • Manufactured Dividends Arbitrage
    • Use of Equity Swaps by Fund Managers

    Case Study; Euro investment in East European Index. We examine how this Equity Swap is constructed, the pricing and the risks involved.


    • OTC v ETD Markets
    • Asset Managers Trading Equity CFDs
    • Long and Short Positions
    • Hedging
    • Trading on Leverage
    • Deposit Margins
    • Mark to Market (MTM)
    • Daily Variation Margins
    • Commission
    • Interest Payments (The Overnight Rate )

    Scenario Based Case Study: A Portfolio Manager wants to take long and short positions in stocks and Indices. Taking long and short positions in CFDs.

    Delegates are asked in teams to buy CFDs, calculating the cash flow over a week holding period. The position is then closed, calculating the Profit and Loss and the overall cost of the position including funding and commissions.

    Day Four - Foreign Exchange Derivatives and Options

     FX Forwards

    • FX Swaps…the Formula
    • Basic Pricing of a Swap and Forward Outright
    • Example of corporate uses
    • Trading FX Swaps

    Exercise: Quoting swaps. We look at swap quotes from O/N to 1 year and see what happens when a client trades on the price!

    Case study: Pricing FX swaps and then taking position based on expected change on the interest differential. Profits are then calculated. We also consider trading the short term yield curve with short term O/N funding

    • Risk … things to look out for!
    • Accidentally Creating Exposure
    • Managing Exposure
    • Rounding

    NDFs _ Non Deliverable Forwards

    • Calculating the P/L from an NDF trade
    • Client NDF hedge trade

    Option Basics

    • Calls, Puts, Exercise, Expiry, Premium etc.
    • ATM, OTM, ITM … Intrinsic and Time Value
    • European v American
    • Option Pricing

    Scenario Based Case Study: Delegates in their teams, compare the P/L of an Exchange Traded Equity Option, versus the underlying Equity. They will learn how Equity options are priced and how to calculate their value. They will also learn how leverage impacts the returns and the cost/benefit analysis of owning options v the underlying equity.

    • Warrants and Convertibles
      • History of Warrants and Convertibles – warrants originally attached to Bonds
      • Exchange Traded Warrants

    Case study on Convertibles: we look at a convertible bond and examine its value. Pricing it from a Binomial Model. We then consider the Conversion ratio, Floor, Parity, Call features, Conversion premium etc.

    Option Strategies

    • Trading Options; Case Studies and Exercises:
      • Long and Short Call Positions
      • Long and Short Put Positions
      • Buying OTM calls and Puts
      • Caps, Floors and Collars
      • Selling Puts Options to “Buy cheap”
      • Writing “Covered” Calls
      • Trading Volatility (Straddles and Strangles)

    Pricing Options

    • Options Pricing Black Scholes
      • Overview of the Model and its practical uses in pricing options
    • The Greeks
      • Delta, Gamma, Vega, Theta and Rho
      • How to use them in Trading and Hedging

    Case study: Delta Hedging in Practice. Hedging a short Equity option position over a period of days, staying delta neutral, while identifying the changes in Vega, Gamma and Theta.

    • The Volatility Curve….Smile and Smirk
      • Skew and Kurtosis
      • Term Structure of Volatility
      • Risk Reversals (25 Delta)

    Day 5 - Cross Currency Swaps, Credit Derivatives and Securitised Assets  

    Cross Currency Swaps

    • X Currency Swap Trade Structure
    • Market Pricing and Trading
      • Priced of Floating Rate Swaps
    • Types of X Currency Swaps
      • Fixed v Fixed
      • Fixed v Floating
      • Interbank XCS Trading
      • Physical v Synthetic
    • XCS uses eg; Bond Issues

    Credit Derivatives

    • Credit Default Swaps (CDSs)
      • CDS Pricing
      • Reference Entity and Reference Obligation, plus key terminology.
      • Buyer /Seller and Long / Short
    • Mechanics and Settlement of CDS contract

    Exercise Trading Vanilla CDS : Excel pricing and Valuation

    • Big Bang
      • Auction settlement
      • Up Front Fee Calculator
    • CDS Indices
      • Structure and Settlement
    • Trading CDS in the Market
    • CDS Arbitrage
      • Asset Swaps
      • Cash to Derivative Arbitrage

    Exercise: Participants examime a Bloomberg screen and answer questions about the CDS. What’s the risk? What is CDS fee? Upfront Points etc

    Case Study: Participants look at market prices and decide if there is an arbitrage opportunity in the CDS market? How much profit can they make?

    Securitisation Markets - MBS, CLOs and CDOs

    • Concept of Securitisation and Securitisable Assets
    • True Sale v Synthetic Structure
    • Pool of Assets
      • Special Purpose Vehicle (SPV)
      • Bankruptcy Remoteness
    • Origins of Securitisation
      • MBS (Mortgage Backed Securities)
      • Ginnie Mae, Fannie Mae and Feddie Mac
      • Principal and Interest Only Securities
    • Tranching, Subordination & Payment Waterfall
      • Pass Through Securities
      • Credit Rating Process
      • The Rating Agency
      • Credit Enhancer, Structurer and Trustee
    • Collateralised Loan Obligations (CLOs)
    • Leveraged loans
      • Tranche Owners
      • CLO Life Cycle
  • 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


  • Mark Doran


    Mark worked in Investment Banks including HSBC and Bank of Montreal for nearly 20 years. During this time he worked in Global Custody and then as a trader, running books in FX, bonds and derivatives.   Mark has run courses all over the world including Amsterdam, Dublin, London, New York, Hong Kong, Singapore, Jakarta, Johannesburg, Delhi, Accra, and all over the world.   Mark delivers courses which focus on providing a practical and in depth understanding of the markets from a Trading, Asset Management, Custody and Risk viewpoint. His courses are interactive and stimulating, offering delegates the opportunity to participate in an environment which encourages free discussion of the real issues faced in the workplace.   In nearly 20 years of delivering training Mark has spent a lot of that time delivering courses on Global Custody and Fund Services for the major Custodians including:: Citi BoNY JPMorgan Deutsche State Street HSBC And others   In addition to his training activities, Mark has undertaken various consultancy projects, such as an in depth collateral risk assessment at a major European Investment bank.   Mark held the position of Non-Executive Director of Cazenove’s Risk Oversight Committee for many years. Acting as a member of the committee in a general consultative capacity to assess the firm’s risk..   Mark has also presented at JPMorgan Forums in London, speaking on topics such as the Benefits and Risks of Derivatives. He along with representatives from regulators, law firms, hedge funds etc were asked to give their views on the risks of derivatives to 150 / 200 Directors and senior managers from the top investment firms in the UK.