Applied Learning
Structured Financing
21st – 22nd May 2013
This 2 Day training course is intended to provide participants with a detailed
insight into the products and mechanisms for obtaining structured and
financed risk exposures. The course will be thoroughly illustrated with detailed
and current examples drawn from international markets.
Controlling Risks
 The post 2007/8 environment
 Counterparty risk
– Default risks
– Exposure risks
The Role of CCPs
 Controlling the risk of members
The Processes of Collateral and Margin
 Calculations of initial and variation margin in derivatives
 Prime broker margin calls to fund clients
 Custodians/depositaries
Clearing houses, depositories and CCPs
Prime brokers
Derivative clearing brokers
 Movement of collateral
Role of operations teams
 Revaluations
Mark to market
Buffers and haircuts
Exercise: Calculating the margin calls of a derivative position over a
period of time.
Exercise: Calculating the margin for a hedge fund short and leveraged
Building blocks of the Repo Market within the ICMA GMRA Framework
Classic Repo
Stock lending
General collateral and substitutions
Special collateral - how and why?
NFEA Moscow – Structured Financing – 21st & 22nd May
2 2013
Repo Calculations
Calculations of Prices, Rates, Haircuts and Cash
The application of daily mark-to-market and attendant risks
The implications of "fails"
Applications of Repo
Funding a bond portfolio
Borrowing stock
Secured money market lending
Capital reduction and collateral accounts
Total Return Swaps
 Swaps: Replication of Cash Flow or Participation in Return?
 Structure, Dealing and Confirmation
 P&L profile of Cross Currency Swap
 Counterparty Risk
 Wrong-Way Risk
 Treatment of Coupons / Dividends
 Constant Notional and alternatives
 Equity, Fixed-Income and Credit Applications
 Uses of TRS
Structured Notes and Structured Swaps
 Notes and Swaps Compared
 Linear and Non-Linear Products
 Relative Value pricing using Option Adjusted Spread
 Range Accrual Instruments
 Credit Liked Products
 Equity Linked
 Constant Maturity (‘CMS / CMT’) Products
NFEA Moscow – Structured Financing – 21st & 22nd May
3 2013
Peter has been widely sought after as a consultant since July 1987
since when he started in this area. He has developed a reputation for
providing the highest quality in consultancy and training for the financial
services industry. Peter specialises in the fixed income and fixed
income related capital markets, including derivatives, repo and swaps.
Peter is an associate of Applied Learning and until very recently was a
senior consultant at Hoare Capital, one of the new breed of fixedincome market broking firms. He was previously in senior roles at JP
Morgan and at Bear Stearns where he was responsible for developing
and selling Asset Backed and Derivatives products. He has worked in
the financial markets for more than fifteen years and advises various
institutions at the highest level on matters concerning the international
capital markets.
Peter has trained courses in about twenty countries on topics including
Swaps, Credit Derivatives, Securitisation and Structured Products. He
has designed and delivered on graduate programmes for Citibank,
Deutsche Bank, Barclays Capital, RBS and Lloyds Banking Group. He
is also a visiting lecturer at UCL on finance and risk related matters.
Financial Institutions that have used Peter’s services include, HSBC,
RBS, Renaissance Capital, Credit Suisse, Citigroup, Merrill Lynch, JP
Morgan Chase, Swiss Re, Meteor Asset Management, Morgan Stanley
and the Bank of England.
Peter is a dynamic and engaging trainer with a commanding presence.
He is energetic and enthusiastic in the classroom and both challenges
and stimulates the participants. Very practical and interactive
approach, incorporating workshops, case-studies, spreadsheet
calculations and live Bloomberg illustrations into all of his training
NFEA Moscow – Structured Financing – 21st & 22nd May
4 2013
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