Day One

Session 1:

Objectives

At the end of the programme, all delegates should be able to:

• Describe the features of credit derivative products – single name derivatives and structured credit products

• Apply these products in practical situations

• Understand (non-mathematical) pricing concepts for credit derivatives

Session 2:

Target Audience

• Traders, salespeople, fund managers, analysts, risk managers, and other functions working in the credit markets

• Participants should have good working knowledge of credit products and how these are priced

Session 3:

Course Outline – Credit Products

Compare FRNs, asset swaps and fixed income bonds

• Explain the differences between various types of credit spreads

• Floating rate notes

• Fixed income non-government bonds

• Asset swaps

• Credit spreads – YTM measures, I-spread, ASW, Z-spread

Session 4:

Credit derivatives

Describe different types of single name credit derivatives

• Credit default swap

• Total return swap

• Credit linked notes

Session 5:

Credit default swaps

• Understand the impact of different clauses in the documentation

• Key terms of credit default swaps

• Documentation

• Settlement mechanisms

• Credit events

• Successor issues

• Recent market developments

Session 6:

Credit derivatives pricing

Understand how to price simple credit derivatives

• Recovery rates

• Default probability

• Correlation risk

• Pricing CDS v asset swaps – the basis

• Pricing a Total Return Swap

Day Two

Session 1:

Applications of credit derivatives

Apply credit derivatives in different market situations

• Credit derivative users

• Credit portfolio management – risk reduction and diversification

• Credit line utilisation

• Regulatory capital management

• Securitisation of credit risk

• Synthetic asset creation / market access

• Leverage

• Yield enhancement / credit arbitrage

• Trading

Session 2:

Structured credit derivative products

Describe different types of structured credit derivatives, their applications and some trading strategies

• Credit spread forwards and options

• Constant maturity CDS

• Index products: iTRAXX and CDX

• First to default swaps – the impact of correlation on pricing

• Collateralised debt obligations – tranche trading

• CPPI and CDPO products

Course Close