IM4 · Commodity Instrument Engineering

Commodity Swaps

Exchange the cashflows. Value the legs. Explain the P&L.

Master commodity swaps as a full enterprise instrument family: fixed-floating, basis, index and differential structures, crack, spark and dark spreads, cross-commodity and quanto swaps, averaging conventions, valuation, P&L explain, hedging, collateral, settlement and CTRM implementation.

OTC & cleared · Fixed/floating · Basis · Crack & spark · Quanto · Valuation · P&L explain

Enrol or enquire See the 100 chapters

100 chapters · 10 modules · multi-commodity · one continuous instrument estate

How it is built

Design it, book it, value it, risk it, operate it, implement it

100 chapters does not mean 100 definitions. This programme follows the academy's standard ten-module architecture, so the instrument is taken from first principles through to a working CTRM representation, using the same structure as every other programme in the academy.

Worked cases run on NorthStar Global Commodities, a fictional instrument book created for teaching. It does not describe any real firm, person or transaction.

Curriculum

10 modules · 100 chapters

M0 Commodity Swap Foundations Ch 1-10 · 10 chapters
  1. What a Commodity Swap Actually Is
  2. Swap vs Forward vs Future
  3. Fixed Leg and Floating Leg
  4. Commodity Swap Payoff Mechanics
  5. Swap Instrument Hierarchy
  6. Single-Period vs Multi-Period Swaps
  7. Physical Reference Without Physical Delivery
  8. OTC Bilateral vs Cleared Commodity Swaps
  9. Commodity Swap Lifecycle
  10. NorthStar Multi-Commodity Swap Estate
M1 Core Swap Structures Ch 11-20 · 10 chapters
  1. Fixed-for-Floating Commodity Swaps
  2. Floating-for-Floating Swaps
  3. Commodity Basis Swaps
  4. Location Basis Swaps
  5. Quality and Grade Differential Swaps
  6. Calendar and Time-Spread Swaps
  7. Index Swaps
  8. Average-Price Commodity Swaps
  9. Bullet vs Periodic Settlement Swaps
  10. Accreting and Amortising Swaps
M2 Advanced Linear & Cross-Commodity Swaps Ch 21-30 · 10 chapters
  1. Cross-Commodity Swaps
  2. Crack Spread Swaps
  3. Spark Spread Swaps
  4. Dark Spread Swaps
  5. Clean Spark Spread Swaps
  6. Clean Dark Spread Swaps
  7. Refinery Margin Swaps
  8. LNG Netback Swaps
  9. Freight-Linked Commodity Swaps
  10. Multi-Index Basket Swaps
M3 Commodity-Specific Swap Markets Ch 31-40 · 10 chapters
  1. European Natural Gas Swaps
  2. North American Natural Gas Swaps
  3. Crude Oil Swaps
  4. Refined Product Swaps
  5. Power Swaps
  6. LNG Swaps
  7. Emissions and Environmental Swaps
  8. Metals Swaps
  9. Agriculture and Soft Commodity Swaps
  10. Freight Swaps and FFAs
M4 Pricing, Curves & Valuation Ch 41-50 · 10 chapters
  1. Fair Fixed Price of a Commodity Swap
  2. Valuing an Existing Fixed-Floating Swap
  3. Multi-Period Swap Valuation
  4. Average-Price Swap Valuation
  5. Basis Swap Valuation
  6. Cross-Commodity Swap Valuation
  7. Quanto Commodity Swaps
  8. Long-Dated Swap Valuation
  9. Valuation Adjustments and Uncertainty
  10. Multi-Commodity Swap Valuation Lab
M5 Fixings, Position & P\&L Explain Ch 51-60 · 10 chapters
  1. Swap Fixing Architecture
  2. Partial Fixing and Residual Exposure
  3. Swap Position Construction
  4. Fixed-Leg and Floating-Leg P\&L
  5. Curve-Movement P\&L Explain
  6. Basis-Swap P\&L Explain
  7. Cross-Commodity P\&L Explain
  8. Fixing P\&L and Settlement Progression
  9. New-Deal, Amendment and Termination P\&L
  10. Complete Swap P\&L Explain
M6 Market Risk, Greeks & Hedging Ch 61-70 · 10 chapters
  1. Swap Delta
  2. Curve Bucket Risk
  3. Basis Delta
  4. Cross-Commodity Sensitivity
  5. FX and Quanto Risk
  6. Swap VaR
  7. Swap Stress Testing
  8. Hedging Swaps with Futures
  9. Hedging Swaps with Other Swaps and Forwards
  10. Swap Risk Dashboard
M7 Credit, Netting, Collateral & Clearing Ch 71-80 · 10 chapters
  1. Counterparty Exposure on Swaps
  2. ISDA Commodity Swap Documentation
  3. Netting Sets and Close-Out Groups
  4. Potential Future Exposure for Swaps
  5. Collateralized Bilateral Swaps
  6. Cleared Commodity Swaps
  7. Margin Liquidity on Cleared Swaps
  8. Wrong-Way Risk in Swap Portfolios
  9. Pre-Trade Credit for Commodity Swaps
  10. Swap Counterparty Crisis Case
M8 Lifecycle, Settlement, Accounting & Control Ch 81-90 · 10 chapters
  1. Commodity Swap Confirmation
  2. Benchmark Disruption and Price Source Fallbacks
  3. Swap Amendments
  4. Swap Novation
  5. Early Termination and Tear-Up
  6. Swap Settlement Calculation
  7. Swap Accounting Fundamentals
  8. Hedge Accounting Considerations for Swaps
  9. Swap Reconciliation and Product Control
  10. Month-End Commodity Swap Close
M9 CTRM/ETRM Engineering & Capstone Ch 91-100 · 10 chapters
  1. Canonical Commodity Swap Data Model
  2. Swap Leg Architecture
  3. Fixing and Observation Data Model
  4. Swap Valuation Service Architecture
  5. Swap Position and P\&L Engine
  6. Swap Risk Engine Architecture
  7. Swap Credit and Collateral Integration
  8. Complex Swap Architecture Case
  9. Tier-1 Commodity Swap Implementation Lab
  10. NorthStar Commodity Swap Capstone
How it is delivered

Three ways to take Commodity Swaps

Self-paced is a document-and-media programme with lifetime access - no live sessions. Cohort and enterprise add live instructor-led training. Mentorship is not offered in any tier.
Feature Self-paced Cohort Enterprise
Format Written chapters, video explainers and podcasts Everything in self-paced, plus scheduled live sessions Everything in cohort, delivered privately to your team
Live sessions None Scheduled, instructor-led Scheduled, instructor-led, private
Mentorship Not offered Not offered Not offered
Access Lifetime Lifetime Lifetime for every enrolled seat
Pace Entirely your own Guided schedule with a peer group Agreed with your desk
Tailoring Fixed curriculum Fixed curriculum Sequenced to your markets, systems and governance
Best for Individuals learning around a job Individuals who want structure and deadlines Desks building the same capability together
For individuals

Get the programme guide

The full chapter list, what each module covers, and how the tiers compare - sent to your inbox as a PDF.

For teams

Run this for my desk

Private delivery for your desk, sequenced to your markets and systems. Tell us the team and we will scope it.

Run this for my desk

Bring this to your desk

Download the full curriculum, or talk to us about running it for a team.

Enrol or enquire See the whole academy