Structured Products and their Applications Course

This structured products course defines convertible bonds, warrants and structured securities such as equity-linked notes. The typical features and characteristics of a convertible bond are examined and benefits to issuers and investors are identified. The calculation and interpretation of a convertible’s premium and parity are presented. Market factors affecting the value of a convertible are explored.

Various convertible trading strategies such as convertibles/equity switches, asset swaps, and convertible arbitrages are analyzed. The structured products course discussion then turns to warrants, describing the features and characteristics of a warrant and the differences between warrants and options. How a warrant’s premium, parity and breakeven are calculated and interpreted follows. Equity-linked structures are then introduced including principal protected notes and preferred equity redemption cumulative stock.

Structured Products Course Objectives:

By the end of the course, participants will be able to:

• Define structured products
• Explain the fundamental building blocks
• Apply basic derivatives and be able to construct structured products
• Discuss the fundamentals of pricing
• Identify the risks associated with these products

Prerequisites: Derivatives or equivalent knowledge
Program Level: Intermediate
Advance Preparation: None
Recommended CPE Credits: 7

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