Livestreamed
Live sessions: October 7, 8, 14, and 15
10.00-13.30 CEST | Time Zone Converter



OVERVIEW
COURSE SYLLABUS
COURSE DETAILS
TEST YOUR KNOWLEDGE
Over the years, a significant proportion of bank and investor losses have been caused by the extension of credit to entities who are subsequently either unwilling or unable to repay.  This credit risk can often be hedged or could prove to be beneficial for investors who wish to seek an enhanced return.  
The ICMA’s credit derivative course captures different perspectives from the credit asset class.  The main product building blocks are analysed and inevitably, the credit default swap market features prominently.  
Having understood the dynamics of default swaps, their trading applications are outlined as well as how they could be used within investment structures such as credit – linked notes (CLNs).  Despite a somewhat unfavourable perception, structured credit solutions have begun to re-emerge.  The course considers one such variation - index tranches which offer investors an enhanced return albeit with some degree of risk.  
Over the years, a significant proportion of bank and investor losses have been caused by the extension of credit to entities who are subsequently either unwilling or unable to repay. This credit risk can often be hedged or could prove to be beneficial for investors who wish to seek an enhanced return. 

The ICMA’s credit derivative course captures different perspectives from the credit asset class. The main product building blocks are analysed and inevitably, the credit default swap market features prominently.  

Having understood the dynamics of default swaps, their trading applications are outlined as well as how they could be used within investment structures such as credit – linked notes (CLNs). Despite a somewhat unfavourable perception, structured credit solutions have begun to re-emerge. The course considers one such variation - index tranches which offer investors an enhanced return albeit with some degree of risk.  

Course Outcomes


By completing this course you will be able to: 
  • Calculate the settlement cash flows on a total return swap that references an index of corporate credits
  • Outline the main features of single name and index default swaps
  • Explain the intuition behind the valuation of single name default swaps
  • Construct popular single-name default swap trading transactions
  • Illustrate how an index CDS could be used to hedge a bond portfolio
  • Explain the main features of index options and illustrate how they could be used to express views on credit volatility and to hedge an underlying asset
  • Outline the main features and risks of credit – linked note referencing either a single corporate entity or a basket of names.
  • Explain what is meant by credit correlation
  • Illustrate the concept of credit correlation using first and ‘Nth’ to default basket default swaps
  • Calculate the cash flows from a credit-linked note referencing an index tranche structure

Who should attend?

The course has been designed to cover a wide variety of topics and so may attract different types of attendees.  Some examples are:
  • Corporate bond traders looking to understand more about the credit derivatives market
  • Middle office and settlement staff seeking to understand the structure and risks of the various products
  • Legal and compliance individuals looking to understand the mechanics and applications of the different products
  • Investment managers who are looking to understand the risks and returns of the different elements of the product suite. 

Creditation and Programme Recognition

This course has been approved by the Securities & Futures Commission of Hong Kong for Continuous Professional Training (CPT).
ICMA is also a member of the CPD® Certification Service which helps organisations formalise knowledge into a structured and recognised approach to meet professional development expectations.

ICMA recommends that 20 learning hours can be associated with this course, based on attended/undertaken hours of study required to successfully complete the learning outcomes.

The course is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading. A Certificate of Completion will be awarded to those who meet minimum attendance requirements. Please note that while course recordings will be made available to delegates, it is a course requirement that delegates meet the minimum attendance requirements to be eligible for a certificate. Please contact education@icmagroup.org if you have any questions regarding certification.

Please note that your course certificate of attendance or completion should be sufficient to satisfy any professional development requirements – if you require further evidence, please contact us at education@icmagroup.org.

Pricing


Members: EUR 1,650 + VAT (if applicable)
Non-members: EUR 2,050 + VAT (if applicable)


Course Trainer

Neil Schofield
The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

Credit derivative building blocks
Total return swap cash flows and motivations
Single name default swaps
Quoting conventions – par spreads vs. fixed coupons
Features of single name structures: reference entity, reference obligations, events of default, settlement in the event of default.  
Index default swaps – index construction, rolling of contracts, what happens in the event of default.  
Credit swaptions – features and common applications
Applications
Trading applications – curve structures, forward trades, spread trades
Hedging a bond portfolio using index default swaps
Embedding single name and index default swaps into credit-linked notes 
Valuation
Relative value approach to valuation: default swaps vs. FRNs vs. bonds vs. asset swaps vs. loans
Key valuation issues: why present value of a 01 and dollar value of a 01 are not the same thing  
Structured credit
Intuitive approach to credit correlation
First and ‘Nth’ to default basket swaps
Tranching of indices – combining index default swaps, tranching and credit correlation
Yield-enhanced credit-linked notes referencing index tranches
  • Credit derivative building blocks
    • Total return swap cash flows and motivations
    • Single name default swaps
    • Quoting conventions – par spreads vs. fixed coupons
    • Features of single name structures: reference entity, reference obligations, events of default, settlement in the event of default
    • Index default swaps – index construction, rolling of contracts, what happens in the event of default
    • Credit swaptions – features and common applications

  • Applications
    • Trading applications – curve structures, forward trades, spread trades
    • Hedging a bond portfolio using index default swaps
    • Embedding single name and index default swaps into credit-linked notes 

  • Valuation
    • Relative value approach to valuation: default swaps vs. FRNs vs. bonds vs. asset swaps vs. loans
    • Key valuation issues: why present value of a 01 and dollar value of a 01 are not the same thing  

  • Structured credit
    • Intuitive approach to credit correlation
    • First and ‘Nth’ to default basket swaps
    • Tranching of indices – combining index default swaps, tranching and credit correlation
    • Yield-enhanced credit-linked notes referencing index tranches

Livestreamed Course


ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.

The Credit Derivatives: Trading, Investing and Structured Solutions live sessions are delivered in four 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of four weeks from the first live session. During these four weeks you will have the option to keep working through the course materials at your own pace.

October 7, 8, 14 and 15
10.00-13.30 CEST |
Time Zone Converter



Livestreamed course fees

Members: EUR 1,650 + VAT (if applicable)
Non-members: EUR 2,050 + VAT (if applicable)

For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.

Please note:
  • All payments must be made in Euro.
  • Invoices for single registrations are subject to an additional Euro 50 to cover administration costs*. No administration fee applies for invoices covering two or more registrations
*Administration costs cover the provision of supporting documents, which are often requested along with the invoice, to become an approved supplier.



Contact

Should you have any queries, please contact education@icmagroup.or





Test your knowledge

When the contract matures, irrespective of what happens to the reference asset
If any one of the credit events specified in the contract occurs
At regular intervals during the term of the contract until either a credit event occurs, or the contract matures
Has long exposure to the credit risk of the reference entity
Has short exposure to the credit risk of the reference entity
Has short exposure to the credit risk to the reference entity only if the mark-to-market value of the position is positive
EUR 2 million
EUR 3 million
EUR 5 million
You will have to make an upfront payment to the protection seller
You will receive an upfront payment from the protection seller
There will be no upfront payment exchanged between you and the protection seller
Our counterparty in the CDS transaction
The bond or loan used to determine the seniority of credit risk transferred in a CDS
The underlying credit or 'name' on which protection is being bought or sold

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