Swaps & Swap Derivatives

The Swaps & Swap Derivatives Seminar is designed to give the attendee an in-depth knowledge of these securities. The rapid increase in the use of these instruments among institutional investors has greatly increased the demands on accounting and systems professionals. This session will help the attendee gain a thorough understanding of how these securities are structured, why they are important to portfolio management, and the accounting, audit and systems concerns which pertain to them.

Attendees will concentrate on gaining a broad, comprehensive knowledge of the various types of Swaps entered into by institutional investors. There will be discussion as to why these instruments are created, who creates them and why portfolio managers choose to use them. Time will be spent on all the various types of Swap Derivatives including Swaptions, Credit/Default products and others.

Since FAS 133 has had such an impact on the derivative markets, the session will begin with an overview of this accounting regulation and it's effect on the Swap market in particular.

• Introduction
• FAS 133 Issues
• The Swap Marketplace
  • Interest Rate
  • Currency
  • Index and Equity
  • Amortizing
  • Commodity
  • Credit/Default
  • Spread Locks
• Hedging with Swaps
  • Fixed to Floating Rates
  • Floating to Fixed Rates
  • Currency Exchange
  • Asset Allocation
  • The Proctor & Gamble Story
• Pricing Issues
  • The Swap Curve
  • Broker Pricing
  • Model Driven Pricing
• Swap Derivatives
  • Swaptions
  • Caps
  • Floors
  • Collars
  • Corridors