Credit Derivatives - Livestreamed
This course is available on request. Contact us as at firstname.lastname@example.org to find out how we can deliver this training.
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.
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?
- 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 is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading.
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.
A Certificate of Attendance will be awarded to those who meet the minimum attendance requirements for this course.
ICMA is a member of the CPD® Certification Service and approved by the Securities & Futures Commission of Hong Kong as provider of Continuous Professional Training (CPT).
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 email@example.com.
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
- 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
- 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
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 three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.
Livestreamed course fees
Members: EUR 1,850 + VAT (if applicable)
Non-members: EUR 2,390 + VAT (if applicable)
For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.
- All payments must be made in Euro.
Should you have any queries, please contact firstname.lastname@example.org