Session 1: Introduction to Credit Derivatives

This session introduces the basic credit derivatives structures. The features and characteristics are explored and basic applications examined. By the end of this session, the course participant will be able to:

• Define the basic credit derivative structures including:

• Credit default swaps

• Total return swaps

• Credit spread products

• Apply terminology specific to this market
• Identify and explain the different risks associated with these products

Session 2: Introduction to Asset Swaps and the Basis

Assets swaps are introduced and their connection to CDS pricing is explored. The basis between asset swaps and CDS spreads are discussed. Other applications are also examined. By the end of this session, the course participant will be able to:

• Understand the basics of pricing CDS
• How the basis is traded
• Understand other applications, such as trading the yield curve and outright credit risk

Session 3: Collateralized Debt Obligations (CDOs)

This session deals with securitization and the CDO market. Examples from the market will be distributed and discussed. By the end of this session, the course participant will be able to:

• Explain the basic asset securitzation structure
• Understand the basic structures of CBOs and CLOs
• Discuss the features and characteristics of these products
• Understand the pricing
• Identify the differences between funded vs. unfunded structures

Session 4: Structured Credit Derivative Products

This session examines the basic credit derivatives structures and how they are embedded in other securities. Examples from the market will be distributed and

discussed. Products such as Credit Linked Notes (CLNs) and synthetic CDOs are examined. By the end of this session, the course participant will be able to:

• Decompose the structured product into its main components
• Understand the main structures including credit linked notes and synthetic CDOs
• Identify the main applications of structured products
• Explain the main risks associated with structured products

Session 5: Credit Indices

The CDX and ITraxx indices are introduced. The features and characteristics are examined. Correlation trading is discussed. By the end of this session, the course participant will be able to:

• Define credit indices
• Discuss the features and characteristics of credit indices
• Discuss correlation trading