After the course, you will:

1. Understand the basic mechanics and applications of the basic derivative contracts: forwards, swaps and options;
2. Learn basic fundamental concepts in the pricing and valuation of financial derivative transactions;
3. Be able to implement pricing and valuation techniques in Microsoft Excel;
4. Be introduced to the implications of recent regulations which will impact financial derivative practice in the coming years (BSP Circular 594, Basel III, Dodd Frank Act);
5. Be introduced to basic market, credit and operational risk management techniques for derivative transactions (VaR, Credit Valuation Adjustment-CVA, EVT and Stress Testing);
6. Be familiar with basic rules in accounting for derivative transactions under PAS No. 39 and be able to implement hedge effectiveness testing in Excel; and
7. Understand the developments of hedge accounting rules under IFRS 9.

I. Introduction to Derivatives

A. What are derivatives?

B. The basic building blocks: forwards, swaps and options

II. Forwards: Mechanics and Valuation

A. Basic mechanics of forward contracts

B. Applications of forward contracts

C. Regulatory requirements of forward contracts

D. Introductory valuation concepts for forward contracts

E. Application: Valuation of FX Forward

III. Interest Rate Swaps: Mechanics and Valuation

A. Basic mechanics of interest rate swaps

B. Applications of interest rate swaps

C. Valuation of interest rate swaps

D. Application: Hedging using interest rate swaps

IV. FX Swaps and Cross Currency Swaps: Mechanics and Valuation

A. Basic mechanics of FX Swaps & CCS

B. Regulatory requirements of FX Swaps and CCS transactions

C. Valuation of CCS contracts

D. Application: Transforming Asset Liability Profile Using Cross Currency Swap Contracts

V. Credit Default Swaps: Mechanics and Valuation

A. Basic mechanics of CDS

VI. Options: Mechanics and Valuation

A. Introduction to options

B. Fundamental concepts in options valuation

C. Binomial Option Pricing Model

D. Black Scholes Model

E. Monte Carlo Simulation

F. Option Structures

G. Leveraged Forwards, Collar, Capped Forwards

H. Bond Options

I. Interest Rate Options

   A. Introduction to options

   B. Fundamental concepts in options valuation

        1. Binomial Option Pricing Model

        2. Black Scholes Model

        3. Monte Carlo Simulation

   C. Option Structures

        1. Leveraged Forwards, Collar, Capped Forwards

    D. Bond Options

    E.  Interest Rate Options

VII. Derivatives Documentation

A. ISDA Master Agreement

B. Credit Support Annex

VIII. Regulatory Developments for Derivative Contracts

A. BSB Rules on FX Derivatives

B. BSP Circular 594

Ms. Mari Toni Bautista has established her footing in the banking industry for more than 10 years wherein she held various posts such as Derivatives and Structured Products Chief Dealer in BDO Private Bank, Head of Corporate Sales in Security Bank Treasury and Vice President handling Financial Markets Sales in ING Bank N.V. Manila Branch.

Currently, she is Associate Director, still handling Financial Markets Sales in Standard Chartered Bank Philippines. Further to this, she has always been an advocate for continuing learning. She has been a resident resource speaker for Ateneo CCE handling topics such as Risk Management in Banking, Fundamentals of Derivatives and Business of Treasury – Banking Series. She is also a resident review instructor in the CFA Level 1 review class, handling the fixed income and derivatives modules. 

Ms. Bautista graduated with a Masters in Applied Mathematics major in Mathematical Finance from the Ateneo de Manila University. She is a Chartered Financial Analyst, a Certified Treasury Professional and an SEC Certified Fixed Income Salesman. 

"The seminar gives a comprehensive view of basic derivatives.  It has given me a good insight on the basic intricacies on how these basic products are priced and valued.  The facilitators are very able and knowledgeable of the topics.  I would recommend this to anyone who wants to gain a foothold on basic derivatives."

IRAIDA B. RECTO
Vice President
Debt Capital Markets-Long Term Interest Rate Peso Desk Head
Treasury Group