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Training Courses > Asset Swaps

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Asset Swap Workshop, (One Day)

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This is a one-day workshop explaining how swaps and fixed income securities are combined to create asset swap packages. The workshop will cover:

  • How swaps and bonds are combined
  • How they are valued
  • Up-front payments
  • Mark-to-market valuations
  • Selected pricing screens

Training will be in a workshop format. This will include a mixture of presentation and case study material. The course is designed for up to ten staff.

Below is a summary of the workshop. The content has been placed in a logical sequence and addresses the pricing, structuring and risks associated with asset swaps.

Morning

Introduction

  • Present value techniques

Interest rate swaps

  • What they are
  • How they are used
  • Day count conventions
  • Pricing
  • Basis point value
  • Practical example

Fixed income securities

  • Cash flow structure
  • How they are valued
  • Bonds that are suitable for asset swapping

Combining swaps & bonds

  • Par/par asset swaps: what they are, how they are structured, why clients prefer par/par structures
  • What happens when a bond is at a premium, the up-front payments and additional credit risks
  • What happens when a bond is at a discount, the up-front payments and additional credit risks
  • Practical examples

Comparison with FRNs

  • Discount margin calculation
  • Practical example

Afternoon

Assets swaps - advantages for clients

  • Increased return

Asset swaps - disadvantages for clients

  • Reduction in liquidity

Valuation of the asset swap

  • Mark-to-market values of the bond and swap
  • Understanding how values change
  • Practical example

The risks associated with an asset swap package

  • Credit exposures on the bond
  • Credit exposure on the swap, how you get them, how you measure them, how they change and how they can be mitigated

Asset swapping non-vanilla bonds

  • Callable and puttable structures

End of workshop & review

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