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Structured Products
This
one-day module offers an introduction to the exciting world of
structured products -- a $100+ billion market. By their very nature,
these instruments are designed to meet the special-situation needs of
investors and issuers; hence they are ever-changing. Delegates will
learn investors' and issuers motivations, and the pricing and risk
aspects of the products. We'll illustrate the different classes of
structured products with many current examples.
Structured Products
Time
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Topics
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Resources
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| Morning |
Structured Products: Introduction
- Motivation and economics of structured notes
- Valuation and risk management of the instruments
- Examples of structured finance instruments in the global bond market
- Broad categories: perfomance-enhancement versus income-enhancement instruments
- Principal-protected notes: Why are these so popular, and how are they priced?
- Case study: Endesa Principal-Protected Notes. What were the investors getting? What was the issuer's advantage?
- Pure-play structured products
- Exchange-traded versus OTC products
Equity-Linked Instruments
- Background: equity derivatives
- Hedge-ratio measures, including delta and gamma, applied to equity-linked structured products
- Convertible bonds and warrants
- Case study: DBS PENS
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Capital-protected index-linked notes -- and variants
- Case study: JP Morgan Equity-Index Linked Note
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Unprotected and protected equity bull notes
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Unprotected and protected equity bear notes
- Case study: RBC Bear ELNs
- Hedge fund linked products
- More: leveraged index-driven strategies (with a cap), index outperformance strategies, and volatility arbitrage
- Case study: LYONS. Who would buy these?
- Hybrid bonds as a financing instrument
- Case study: US Bancorp Hybrid. Is this debt or equity?
Credit-Linked Structured Products
- Structured products linked to loan markets and companies' credit perfomance
- Collateralized debt obligations and credit derivatives
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Credit-linked notes
- Case study: Chase Leveraged Loan Participation Note
| Presentations
sp1.pdf
Case Studies
Endesa
DBS Pens
Equity Index Note
Lyons
US Bancorp Hybrid
Article
Structured
Notes
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Afternoon
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Fixed-Income, Commodity-Linked Structured Products, and More
- Background review of fixed-income derivatives: FRAs, swaps, caps, floors, collars, swaptions
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Measures of risk, including duration and convexity, applied to fixed-income structured products
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Callables and puttables and combinations
- Case study: The Bavaria Bond. What is the effective cost of borrowing to the isuer in this case?
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Capped, floored, collared FRNs
- Fundamentals of commodity derivatives
- Applications: gold-linked notes, energy-linked notes, currency plays, etc
- Case study: A Capital-Protected Oil Opportunity Note. How is the "participation rate" determined?
- Investor motivations and risk aspects
- Cross-market notes
Designing a Structured Note
Review and Conclusion
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Presentations
sp2.pdf
Case Studies
Bavaria Bond
Oil-Linked
Notes
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About the Instructor
Dr. Ian
Giddy,
born in South Africa, has taught finance at NYU, Columbia, Wharton,
Chicago and
in over 40 countries worldwide for the past three decades. He was Director
of
International
Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The
author of more than fifty articles on international finance, he has
served
at the International Monetary Fund and the U.S. Treasury and has been a
consultant with numerous corporations and financial institutions in
North and South America, Europe, Asia, the Middle East and Africa. As a
banker and consultant he has been involved in the
growth of the structured finance market in the USA, Europe and Asia. He
is the author
or co-author of The International Money Market, The Handbook
of International Finance, Cases in International Finance,
Global Financial Markets, Asset Securitization in Asia and The
Hudson
River Watertrail Guide. He and his wife are the founders of Cloudbridge, a nature reserve in Costa Rica.
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