Training Courses > Asset Swaps

  

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