Swaps: IRS and credit derivatives - Deep dive

This course is designed for individuals seeking to build on the foundation module by gaining a deeper understanding of swaps as used by investment managers and financial market participants.

Whoever has watched "The Wolf of Wall Street" has likely struggled to understand the jobs, products, jargon that surround financial markets. Some of us are still trying to get our way out of this financial jungle and clarify the associated strategies. Let's demystify these!

In close collaboration with PwC's subject matter experts, PwC Academy has developed a comprehensive, multi-layered training curriculum for junior and more experienced financial industries’ employees and managers alike, who seek to gain a solid knowledge of derivative instruments.

With this second module on swaps, participants will refresh the basic feature of the product and the attached valuation principles. Participants will add a second layer on their comprehension through the exploration of the lifecycle, the accouting treatment and finally the impact on the financial statements

By the end of this training, participants will be able to:

• describe the key features of swaps;
• develop a comprehensive understanding of their operational mechanisms;
• identify optimal use cases for these instruments, either independently or in combination with others;
• explain valuation methods and factors influencing the value of swaps;
• recognise major risks and propose controls to mitigate them.

• 1. Introduction
  • Refresher of derivatives foundation modules
    • Overview of derivative instruments (e.g., forwards, futures, options, swaps)
    • Types of derivatives (e.g., equity, commodity, interest rate, foreign exchange)
    • Purpose: risk management (hedging) and speculative trading
  • Recap of valuation principles applicable to the accounting treatment:
    • Methods for determining fair value: market value, mark-to-market, Black-Scholes model
    • Accounting for fair value changes over time
• 2. Lifecycle of the instruments
  • Creation of the contract
    • Fixed leg
    • Floating leg
  • Trade execution and agreement
  • Cashflow exchanges during the life of the instrument
  • Settlement
• 3. Accounting treatments under IFRS
  • Initial recognition
  • Subsequent measurement
  • Closing treatment/settlement
• 4. Impact on financial statements
  • Balance sheet
  • Income statements
  • Cashflows

This training is coordinated by Laurent Dubois, Director at PwC Luxembourg.

The different modules will be presented by experts in derivatives.

Laurent Dubois is a director at PwC Luxembourg with over a decade of experience in the banking industry and several years in asset management on both product and corporate sides. Since joining PwC in 2008 within the audit practice, he has specialised in alternative investments, focusing on private debt structures and fund of funds. Laurent has worked closely with leading promoters and asset managers, gaining extensive knowledge of the asset management sector and its challenges. He holds the title of Réviseur d’entreprises agréé in Luxembourg and has contributed to projects for clients such as Ardian, Lombard Odier, Degroof Petercam, and BBH.