Derivatives Overview for Front Office Staff


Derivatives Overview for Front Office Staff

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Knowledge of the Basel/CRD rules is essential for anyone working in the financial sector. This is however a significant challenge both due to their complexity and because they keep changing. The course covers the main changes introduced since the crisis by both Basel III (CRD IV and CRR) and so-called Basel IV (CRD V and CRRII) and other still-to-be-implemented measures. It also includes connected regulatory measures such as EMIR, the BRRD and SRMR and the revisions in these areas to give a comprehensive overview.

Price £699.00 + VAT

Course Syllabus


  • Defining derivatives – the key differences between Cash/Underlying and Derivative instruments: settlement features

  • Overview of OTC v Exchange-traded derivatives, clearing

Contracts For Difference (CFDs)

  • Key terms – what they are and how they work

  • Applications – who uses them, how and why

  • Pricing and hedging

Forward FX

  • Spot v Forward

  • Applications – e.g. hedging ex/imports

  • Forward points and the interest rate differential

Introduction to Futures

  • The exchange and the clearing house

  • Margin, Initial and Variation and how it is determined

  • The proposed Revised method, including the Sensitivities-based Method

Stock Index futures

  • Key terms – what they are and how they work

  • Applications – who uses them, how and why

  • Pricing consideration

Interest rate swaps

  • Key terms

  • An application: swapping a floating rate loan

  • Pricing and risk management – clearing


  • Standard option key terms (based on equities) and pay-off profiles, ‘moneyness’

  • Settlement: physical delivery or cash-settled

  • Applications – hedging and speculation, zero-cost collars/risk reversals

  • Interest rate option jargon, caps and floors, key terms and applications

  • FX option jargon, key terms and applications

  • Towards valuation: Intrinsic and Time Value

  • Pricing: dynamic delta-hedging and its costs

  • Volatility, historical, implied and realised, its impact on option pricing

  • ‘Exotic’ options (in brief): barrier options, their appeal and risks

  • The various buffers, including MREL

Credit Derivatives

  • Review (brief): cash market credit instruments – loans and bonds

  • The key terms of the non-sovereign single-name Credit Default Swap (CDS): the two counterparties, maturity date, Reference Entity, the premium/spread, the compensation payment if triggered


CDS terms in more detail:

  • Standardised coupons plus up-front payments

  • Credit Events, ISDA committees, Restructuring, Succession events

  • Settlement: auctions, cash settlement and physical delivery

Sovereign CDS – key terms and how they differ from non-government reference entities CDSs

Index swaps – the key features of the main instruments: iTraxx Main and Xover, CDXs, SovX

Learning Objectives

  • To understand how the various derivatives work and how they are used

  • Who uses them and why

  • The key inputs and assumptions behind their pricing

  • Their risks and how they may be mitigated

Who is the course suitable for?

Ideally participants will already have some familiarity with the essentials of the underlying markets, and in particular the fixed income area. However, a brief review of the respective ‘cash’ or underlying market can precede each section


Michael Stafferton

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Date And Time

13-October-2020 - 09:00
- 16:30




Haysmacintyre Offices

Event Category

Technical Financial Training

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