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Credit Derivatives

  • Banking and Financial Markets, Bonds & Fixed Income Markets, Corporate Finance, Derivatives, Documentation, Financial Modelling, Risk and Credit
  • Duration: Two days
  • Information

    Describe the features of credit derivative products – single name derivatives and structured credit products
    Apply these products in practical situations


    Day One

    Session 1:


    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

    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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