Course Overview

The accounting rules require: Recording of all derivatives at their fair value, and their periodic remeasurement to fair value. Identifying the purpose of the derivative, and proving the purpose and effectiveness of any hedging. The immediate reporting of non-hedging gains or losses in the profit and loss account.

Who should enrol?

This is an Intermediate to Advanced Course.

  • Money Market and Interest Rate Sales

  • Interest Rate Derivatives Traders

  • Institutional Fixed Income Asset Managers

  • Structured Product Sales Teams

  • Corporate and Investment Banking Staff

  • Legal and Compliance Teams

  • Senior Dealers

Topics covered

  • An introduction to IFRS 9

  • FVTPL and FVOCI

  • Hedging Foreign Exchange Risk

  • Case Studies

    Foreign Exchange Forwards Case Study / Fixed-for-fixed cross currency swaps

  • Credit Value Adjustment concepts

  • Collateral for impairment analysis

Course curriculum

    1. Introduction and overview

    1. Introduction to IFRS 9, IFRS 9 Impact on Bank Financials, Primary Differences - IAS 39 & IFRS 9

    2. Classification & Measurement, Hedge Accounting, ECL requirements

    3. Collateral Impairment Analysis, ECL Collateral Requirements

    4. The immediate impact on bank financials - A Case Study

    1. Financial Asset Categories

    2. Business Model Test

    3. Contractual Cash Flow

    4. FVTPL and FVOCI

    1. Definitions of derivatives & Introduction to Head Accounting

    2. Hedging Foreign Exchange Risk

    3. Types of Foreign Exchange Exposure

    4. Functional vs. Presentation Currencies

    5. Chronology of a Foreign Exchange Transaction

    1. Analysing Hedge Effectiveness

    2. Accounting Entries, Hedge objective Unchanged No Discontinuation

    3. Accounting Entries, Hedge objective changed No Discontinuation

    4. Case Study - Foreign Exchange Forwards

    5. Case Study - Fixed-for-fixed cross currency swap

    6. Cross Currency Basis Swaps

    1. Hedging Interest Rate Risk

    2. Case Study - Hedging Floating Rate Liability with an Interest Rate Swap

    3. Hedging Interest Rate Risk continued

    4. Case Study - Hedging Fixed Rate Liability with an Interest Rate Swap

    5. Interest Rate Forwards & FRAs

    6. Bond Futures

    7. Interest Rate Swaps

    8. Interest Rate Caps & Floors

    9. Swaptions

    10. Bond Taxonomy

About this course

  • 34 lessons
  • 6 hours of video content

Instructor

Who you will learn with

Niel Le Roux

Course Director

Niel gained international exposure with Credit Suisse, initially in London and later New York and Singapore. He returned to South Africa in 2009 and joined ABSA Capital in Structured FX Sales, where he worked until 2012 when he founded his own financial services advisory firm. Neil is also a registered Dealer in the Equity and Currency Derivatives Markets on the Johannesburg Stock Exchange

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