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  • Credit Default Swaps – Post Trade Processing

Credit Default Swaps – Post Trade Processing

  • Banking and Financial Markets, Banking Operations, Bonds & Fixed Income Markets, Corporate Treasury, Derivatives, Documentation
  • Information

    This is a Two-Day course. For a number of years, a range of Credit Derivative products have been traded in the global financial marketplace.

    The most commonly traded of such products are Credit Default Swaps, but despite their popularity from a trading perspective, it is common to find that those responsible for post trade processing and risk management carry out their responsibilities without a good understanding of the overall trade lifecycle and associated activities. In addition, the degree of counterparty exposure on CDS has been highlighted during the recent global financial crisis. To address such exposure, the regulators have stepped in, resulting in less tailored and more standardised CDS contracts, which in turn facilitate trade and position netting.

    Regulators continue to focus on risk-reducing measures for CDS across the financial services industry. Understanding the primary components in CDS post trade processing has always been challenging; however, comprehending the impact of recent and on-going regulatory initiatives makes that task extremely challenging.

    The basic post-trade process comprises a number of important steps which are essential to understand; post trade events (e.g. up-front fees, novation, and credit events) only add to the need for understanding.

    Successful processing of CDS within an organisation requires knowledgeable staff that understand the component parts that lead to safe and secure processing, and awareness of the pitfalls that can result in unacceptable exposures.

    The Credit Default Swaps - Post-Trade Processing training course is designed to provide an essential grounding in the secure and controlled processing of Credit Default Swaps throughout the lifetime of a transaction.

    Risks and mitigating controls are a primary focus throughout. Additionally, the course aims to convey important recent and current initiatives which impact the CDS trade lifecycle and post trade processing.

    Each topic will be expanded and explained to the delegates in a structured manner, developing their knowledge through diagrams, ‘live’ drawings and on-the-spot explanations. Active participation of the delegates will be encouraged, with exercises at frequent and appropriate points.


    The objectives of the course are to provide participants with:

    • Awareness of the nature and purpose of credit default swaps

    • Understanding of the primary components of the CDS trade lifecycle

    • Knowledge of mandatory and optional post trade events

    • Appreciation of credit events and the credit event auction process

    • Knowledge of post credit event settlement options

    • Appreciation of the role of collateral in CDS trading

    • Understanding of the processing impact of recent market-wide changes

    • Awareness of CDS clearing and its processing implications

    The course is suitable for both buy-side and sell-side firms, including:

    • Existing CDS operations, credit and risk management personnel who would benefit from understanding the ‘big-picture’

    • Existing staff who have had limited exposure to CDS but who require a greater understanding of the relationships between their work and CDS trade processing

    • Employees who recently have been transferred to the credit derivatives department or who are interested in a transfer

    • Team leaders/management; to increase their awareness of and the risks involved in the processing of CDS.


    Session 1

    Bond Fundamentals

    • Issuers & Issuer Types
    • Interest & Capital
    • Bond Types
    • Bond Characteristics
    • Introduction to Credit Derivatives
    • Credit Default Swaps
    • Basket Default Swaps
    • Credit Linked Notes
    • Total Rate of Return Swaps
    • Credit Indices

    Pre-Trading Legal Protection

    • Master Agreements
    • Definitions
    • Credit Support Annexes
    • Trade Confirmation

    Static Data

    • Purpose & Importance
    • Types
    • Content & Use

    Session 2:

    The Trade Lifecycle

    Trade Lifecycle Overview

    Trade Execution

    • Orders versus Execution
    • Execution Methods

    Trade Capture

    • Overview
    • Trade Components
    • Block versus Allocation

    Trade Confirmation/Affirmation

    • Purpose & Importance
    • Dealer-to-Dealer Flow
    • Dealer-to-Client Flow

    Post-Trade Events

    • Introduction to Post Trade Events
    • Trade Information Warehouse
    • Settlement of Fixed Coupon

    Session 3:

    The Trade Lifecycle

    • Post-Trade Events
    • Settlement of Up-Front Fees
    • Settlement of Accrued Coupon
    • Calculating Cashflows
    • Recouponing
    • Trade Compression
    • Unwind/Offset/Novation
    • Credit Events


    • Contract Expiry

    Session 4:

    Collateral Management

    • Introduction to Collateral for CDS
    • Credit Support Annex
    • Collateral Lifecycle Overview
    • Trade Reconciliation
    • Marking-to-Market
    • Collateral Call Calculation
    • Settlement of Collateral Calls
    • Collateral Substitution
    • Contract Expiry

    Session 5:

    Current Initiatives

    • The Regulators’ Perspective
    • Centralised Clearing Example

    Course Close

    Register interest

    As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.

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