Ciele

The course is designed to provide the participants with an understanding of the key areas that will be affected by OIS discounting. Following this training, the participants will:

• Find out what is holding up OIS discounting implementation
• Be able to explain the problem of dual discount curves
• Understand the problem of counterparty collateral switches
• Discover the problem of NPV jumps in portfolio valuation
• Project time-lines for changes to financial libraries
• Understand what the accounting sense of 'fair value' means under OIS/CSA
• Specify areas where risk models will be vulnerable
• Describe quant/non-quant staffing requirements in different areas of the organisation

Účastníci

The course is appropriate for delegates at management level and heads with responsibility for one or several teams from the following areas:

• Accounting
• Finance
• Treasury
• Reporting
• Operations
• Risk Valuations
• Product Control
• Internal Audit

Obsah

Session 1:  Market Issues

• Slow market transition
• CSA dependent fair value calculations
• Non-IR derivatives
• Non-CSA counterparties

Case Study/Exercise:        What are the 10 most important market issues with OIS discounting?

 Session 2:  Methodological Issues

• Pricing trades under CSA
• Multiple curve issues
• Pricing trades without CSA
• Funding curve construction

Case Study/Exercise:        What are the key CSA issues to focus on?

 Session 3:  Liquidity and Collateral Management Issues

• Collateral currency arbitrage
• CSA conditions for haircut, margin, currency
• Internal deals with other Group entities
• Dealing with varied collateral requests from counterparties

Case Study/Exercise:        Explain the benefits in collateral currency arbitrage

 Session 4:  ALM Issues

• Revisit hedge accounting methodology
• Basis risk between bond and swap legs
• Dealing with large NPV jumps
• Renegotiating hedges after OIS discounting switch

Case Study/Exercise:        What is the source of large NPV jumps?

 Session 5:  IT Issues

• Ensuring financial libraries are multiple curve compliant
• Configuring multiple curve bootstrapping
• Trade entry and processing to be CSA compliant
• Firm-wide systems integration to avoid 'two systems, two prices' problems

Case Study/Exercise:        Find 10 IT systems weak points preventing multiple curve use

 Session 6:  Accounting Issues

• IAS39 and FRS26 definitions of fair value
• Defining multilateral consensus of CSA-based value
• Managing industry-wide project initiatives for CSA-based derivatives accounting
• What is an 'accepted economic methodology'?

Case Study/Exercise:        Dealing with book/market/model value discrepancies

 Session 7:  Risk Management Issues

• P&L estimation nightmares
• Aligning with CCP valuation methods
• CVA and DVA methods to estimate capital requirement
• How will risk models adapt to the new reality?

Case Study/Exercise:        Marking an IRS to market under CSA

 Session 8:  General Management Issues

• General management changes required
• Why parallel projects can seem like fire-fighting
• Adjustments to firm-wide risk vocabulary
• How quant dependent will business functions become?

Case Study/Exercise:        How are you going to roll this 'project' out?

Lektori

Christian Thornæsis an international specialist in traded markets, derivatives, risk management and operations. He has delivered hundreds of programmes across the world to investment and corporate bankers, fund managers and specialists in the legal and IT sectors needing an insight into the financial markets. He is fluent with audiences from front, middle and back-office and is able to break complex ideas down into smaller, meaningful concepts.

 Early in his career, Christian worked as an investment banker and financial engineer in both London and Hong Kong for a UK merchant bank with Scandinavian roots. His main responsibilities were to structure and sell new financial products to clients on both the issuer and the buy side. This included transactions as diverse as the tenth largest UK management buy-out, project finance for a deep-sea container port, long-term export credit to a dairy in China and to a cement plant in Thailand, replication of legacy Finn Marks against a basket of trading partner currencies and pricing swaps into proposals at a time when this was far from the norm. He has worked on the ‘BAT’ leveraged buy-out by the late Sir James Goldsmith (not completed).

 He has trained for organizations as diverse as Deutsche Bank, Merrill Lynch, Lehman Brothers, Barclays Capital, Dresdner/Commerzbank, Euroclear, IBM, Genpact, Credit Agricôle/Amundi Asset Management, BNP Private Bank, Morley/Aviva Asset Management and many more.

 Christian has delivered training global financial market including London, New York, Tokyo, Singapore, Hong Kong, Frankfurt, Moscow, Zurich, Milan, New Delhi, Manila, Sao Paolo, Dubai, Kuwait, Riyadh, Lagos, Mauritius and Johannesburg.

Termín

1 deň