Derivatives - Current Market Developments in Equity Products, Fixed Income Products and Commodities

AIM AND APPROACH
This programme is designed to give participants an understanding of derivative transactions, their application and the accounting issues relating to them, with the main focus on Futures. The differences between OTC and exchange-traded derivatives will be covered, together with the cash-flows, types of margin and clearing house role. 

PROGRAMME OBJECTIVES 
Following the programme participants will be able to:

• Understand the basic features of derivative contracts and the terminology associated with them
• Understand how futures contracts are valued and interpret contract information from derivatives exchanges
• Be able to account for Initial Margin, Maintenance Margin and Variation Margin and understand the impact of each on a fund valuation/portfolio of investments
• Understand the application of futures (and options) for hedging and speculation
• Have an understanding of the different types of futures contract available in the markets (financial & commodity)
• Know how the clearing-house role works
• Understand the broker information received on futures’ statements and how to process it
• Understand the UCITS regulations applicable to Financial Derivative Instruments and the calculation of exposure under GN 3/03, relevant to futures contracts.

AUDIENCE

The programme is intended for anyone who works with futures in a Valuations, Pricing, Trustee or Accounting role.  

AGENDA

• Definition of Derivatives
• Exchange-traded v OTC contracts
• Explanation of features, terminology & operation of Futures:
  o Margins – Initial, Maintenance & Variation
  o How to account for each margin type
  o Tick Sizes and Tick Values – valuing futures contracts
  o Uses & applications of futures (hedging & speculation)
  o Long v short positions
  o Cash flows
  o Risk & reward profile
• Types of futures contracts – commodities and financial
• Comparison of futures with options & forwards (foreign exchange contracts)
• Typical broker information for futures
• UCITS Notices & Guidance Note GN 3/03 Financial Derivative Instruments (Futures)
• Accounting disclosures

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