Course Name

Fundamentals of Derivatives


October 05, 2024 - October 19, 2024

Schedule via Zoom:

October 5, 12 & 19, 2024


8:30 am - 4:00 pm

Regular Rate:

Php 18,000

Early Eagle Rate:

Php 16,500

Valid Until:

September 23, 2024

Fundamentals of Derivatives


Over the past few years, the use of derivatives as the preferred method for hedging and risk management has increased.  The importance of the derivatives market was highlighted in the 2008 global financial crisis (GFC) when excessive and improper use of these products led to a global financial meltdown. The critical lesson of the 2008 GFC is that we should understand derivatives deeply first prior to us engaging in and selling these products. 

This comprehensive introductory online course on derivatives will focus on the economics, pricing, risk management, accounting and regulatory environment of derivatives transactions.  It will also include case studies surrounding risk exposures of corporations and how we can use derivatives to mitigate these risk exposures. 

Who should attend

Traders, Risk Management Officers, Product Control Specialist, Accounting/Finance Staff, Treasury Personnel, Auditors (Internal and External), CFA Level 1 and Level 2 Candidate, Financial Risk Manager (FRM) Exam Candidate

    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 15 years wherein she held various posts such as Derivatives and Structured Products Dealer and Financial Markets sales covering corporates and financial institutions. Currently, she is Director, Head of 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 Center for Continuing Education handling topics such as Bank Risk Management, Fundamentals of Derivatives and Business of Treasury – Banking Series and Business of Treasury Banking Series. She was previously a Board of Trustee for the CFA Society Philippines and currently President of the National  Association of Securities Broker Salesmen, Inc. (NASBI).

    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 and Equities 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."

    Vice President
    Debt Capital Markets-Long Term Interest Rate Peso Desk Head
    Treasury Group

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