Interest Rate Swaps and Forward Rate Agreements Training Course

Introduction

The Interest Rate Swaps and Forward Rate Agreements (FRAs) Training Course is designed to provide professionals in finance and treasury with a solid foundation in managing interest rate risk through derivative instruments. This course explores the mechanics, valuation, structuring, and application of interest rate swaps and FRAs in both hedging and speculative contexts. Participants will gain hands-on experience in pricing, executing, and managing swap and FRA contracts using real-world examples, enhancing their ability to optimize funding and investment strategies.

Structured for SEO effectiveness and practical relevance, the course caters to individuals involved in asset-liability management, corporate finance, and risk control. Through an in-depth curriculum covering both theoretical and applied aspects, this training empowers participants to develop and implement robust interest rate risk management frameworks in alignment with regulatory requirements and market best practices.

Duration: 5 days
Target Audience: Treasury professionals, corporate finance officers, risk managers, investment bankers, asset managers, financial controllers, and regulators
Objectives:

  • Understand the fundamentals of interest rate swaps and FRAs
  • Develop the skills to price, structure, and value interest rate derivatives
  • Apply swaps and FRAs to manage interest rate risk in portfolios and liabilities
  • Analyze market conditions influencing derivative pricing and hedging strategies
  • Ensure compliance with accounting, clearing, and regulatory standards

Course Modules

  1. Introduction to Interest Rate Derivatives
  • Overview of derivative markets and instruments
  • Importance of interest rate risk management
  • Key terminology: notional, fixed vs. floating, reset dates
  • Comparison of swaps, FRAs, futures, and options
  • Regulatory landscape affecting derivatives usage
  1. Mechanics of Interest Rate Swaps
  • Structure and purpose of plain vanilla swaps
  • Fixed-for-floating and basis swaps explained
  • Swap market conventions and quotation methods
  • Interest payment calculation and day count conventions
  • Swap lifecycle: trade, confirmation, and settlement
  1. Forward Rate Agreements (FRAs) Fundamentals
  • Structure and operation of FRAs
  • Quoting conventions and cash settlement process
  • FRA valuation and rate locking
  • FRA use cases in hedging and arbitrage
  • Comparing FRAs to short-term interest rate futures
  1. Valuation and Pricing Techniques
  • Time value of money and zero-coupon discounting
  • Constructing discount and forward rate curves
  • Pricing swaps and FRAs under different interest rate environments
  • PVBP and DV01 as risk measures
  • Market data inputs and valuation software tools
  1. Applications in Hedging and Asset-Liability Management
  • Managing exposure to interest rate volatility
  • Hedging floating-rate liabilities and assets
  • Using swaps for duration management
  • Strategic liability structuring in corporate finance
  • Case studies on hedging with swaps and FRAs
  1. Risk Management and Counterparty Exposure
  • Types of risks: market, credit, operational, and model risk
  • Mark-to-market valuation and collateralization
  • Credit Support Annex (CSA) and margining practices
  • Netting arrangements and counterparty risk mitigation
  • Role of clearing houses in reducing systemic risk
  1. Accounting and Regulatory Considerations
  • Hedge accounting under IFRS 9 and ASC 815
  • Documentation and effectiveness testing
  • EMIR, Dodd-Frank, and Basel requirements for OTC derivatives
  • Reporting obligations and trade repositories
  • Impact on capital and liquidity ratios
  1. Case Studies and Simulation Exercises
  • Structuring a swap-based hedge for a corporate borrower
  • FRA implementation for short-term rate exposure
  • Sensitivity analysis and scenario testing
  • Market simulation: building and adjusting a swaps portfolio
  • Review of real-world derivative strategies by institutions

CERTIFICATION

  • Upon successful completion of this training, participants will be issued with Macskills Training and Development Institute Certificate

TRAINING VENUE

  • Training will be held at Macskills Training Centre. We also tailor make the training upon request at different locations across the world.

AIRPORT PICK UP AND ACCOMMODATION

  • Airport pick up and accommodation is arranged upon request

TERMS OF PAYMENT

Payment should be made to Macskills Development Institute bank account before the start of the training and receipts sent to info@macskillsdevelopment.com

 

Interest Rate Swaps And Forward Rate Agreements Training Course in Morocco
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