Credit Derivatives - An Introduction: VIRTUAL DELIVERY

This course provides a fundamental understanding of the credit derivatives market and how it operates. The course explains what the products are, how they work, how market participants use them and the key terminology used in the market pace. The two major products that are explored are credit default swaps and the credit indices.
- Case studies and illustrations are used to demonstrate the product applications
- A basic knowledge of fixed income products and the market place

This course will enable you to:
- Understand the definitions used in the market and what they mean
- Gain understanding of the credit derivative market and how it operates
- To apply these products in practical trading situations
- To provide a working knowledge of Credit Default Swaps (CDS) and how they are used in practice by traders and investors
- Provide an understanding of the operational issues and the settlements process
- Gain knowledge of the credit default basket market from the Investment Grade (IG) to Crossover Indices
- Understand the workings and risks of different types and variations of credit derivative

This virtual course is one of the ICE Education LIVE programs. We provide two phases to the course:
1. Live Virtual Sessions: Trainer led live video sessions (as per the outline below). These are short focused sessions with practical activity and interaction throughout.
2. Post-course: The live video clinic session is scheduled for one week post course for any learning points you'd like to revisit.
All course payments must be received one day prior to the start date

Course Information

Price £950 + VAT
Duration 1 day
Location Virtual
Available Dates

Who Should Attend

As the title suggests, this course is aimed at (currently) non-traders with little or no existing knowledge of this subject area

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

Session 1: Credit Default Swaps (CDS)

  • Defining the CDS contract

o What they are and how they work

o Comparing CDS contracts to conventional bonds

o Understanding the bid/offer

o CDS mechanics and cash flows

o Unwinding a CDS contract- offsets vs. tear-ups

  • What happens if there is a Credit Event

o What constitutes a credit event?

o Deliverable obligations and the restructuring types (MMR vs. XR)

o The auction as a two-stage process

Session 2: CDS Execution

  • CDS execution and cash flow trading conventions for standard CDS contracts

o How CDS are quoted -Par vs. quoted spreads

o Understanding the risk sensitivities of CDS and P&L profile

o Using the spread DV01 to analyse risk

  • Where do CDS spreads trade relative to cash bonds?

o Understanding the CDS-cash market basis

Session 3: Credit Indices

  • Contract review and trading conventions

o Key facts and index basket construction

o Cash flows and credit event mechanics

  • Trade applications

o Buy-to-hold vs. rolling contracts