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Description

Interest Rate Structured Products: Decomposing, Valuing and Advising

Read an interest rate structured product as a sum of simple building blocks in order to master its risk

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

An interest rate structured product comes with dense documentation and an attractive return profile. Behind the structure sit a bond component, a swap leg and options whose behaviour depends on the curve and on volatility. Poorly decomposed, the product exposes both issuer and investor to risks that have not been properly assessed.

These two days are designed for practitioners: decomposition of common structures, valuation logic, sensitivities and distribution constraints. Each structure studied is reduced to its elementary components and then discussed in the light of the client's actual requirement.

Learning objectives

  • Break down an interest rate structured product into elementary instruments
  • Explain the behaviour of the main interest rate options used
  • Analyse the sensitivity of the structure to curve and volatility movements
  • Assess how well a structure matches the stated hedging or yield requirement
  • Identify the applicable documentation and distribution constraints

What makes this programme different

Each structure is rebuilt block by block from its own documentation
The cases studied cover the needs of an issuer as well as those of an investor
The limits of each structure are explored through adverse market scenarios

Programme

1Building blocks of the interest rate market

Revisiting the foundations before the structures

  • The yield curve and benchmark instruments
  • Interest rate swaps and the logic of exchanging cash flows
  • Interest rate options: caps, floors and swaptions
  • Time value and volatility applied to interest rate underlyings

2The most common structures

Recognising the structure behind the commercial name

  • Conditional coupon formulas and early redemption mechanisms
  • Products indexed to the slope of the curve
  • Barrier structures and threshold effects
  • Hedging structures designed for a borrower

3Valuation and sensitivities

Understanding what moves the price

  • Valuation principles by decomposition and by arbitrage
  • Sensitivity to the level of the curve and to its reshaping
  • Effects of volatility and correlations
  • The gap between model price and traded price

4Advisory use and distribution

Connecting the structure to the real requirement

  • Analysis of the client's hedging or yield requirement
  • Suitability of the product to the investor profile and investment horizon
  • Pre-contractual information and traceability of the advice given
  • Monitoring the product through its life and managing stressed situations

Who is it for

Market professionals, structurers, sales staff, portfolio managers, corporate treasurers and analysts working with interest rate products.

Prerequisites

A working command of basic interest rate instruments and of the valuation principles applied to swaps and options.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.