Credit Derivatives Documentation for risk officers

Download a copy of the sample course outline

Half day course

Course Description

There has been increased focus on various credit derivative products, the relevant ISDA Definitions and settlement methods following defaults in recent times.  In July 2009 ISDA published a Supplement to the 2003 Credit Derivatives Definitions which introduced major changes to the operation of credit derivative transactions. 

This half day course provides keys to understanding the main credit derivative products, how they are documented and what happens if a Credit Event occurs.

Learning Objective

  • Review of common credit derivatives products.
  • Review of the main provisions in the 2003 ISDA Credit Derivatives Definitions incorporating the July 2009 Supplement.
  • Current status of central counterparty clearinghouses (CCPs) in the OTC derivatives market.

Who Should Attend

  • Credit officers
  • Risk managers
  • Corporate Lenders
  • Senior management

Course Outline:

1. General Overview    

  • History and evolution of the credit derivatives market.
  • Market Size.
  • Uses of credit derivatives.
  • Single name CDS and CDX index trades.
  • Risks associated with credit derivatives.

2. Documentation – the 2003 ISDA® Credit Derivatives Definitions and July 2009 Supplement. 

  • Overview of the key points in the 2009 ISDA® Credit Derivatives Determinations Committees, Auction Settlement and Restructuring Supplement (“July 2009 Supplement”).
  • Credit Events.
  • Reference Entity.
  • Successor Provisions.
  • Settlement Procedures after Credit Event
    • Auction Settlement
    • Physical Settlement
    • Cash Settlement

3. Other significant developments since 2003

  • Big Bang and Small Bang Protocols.
  • The global move to standard coupons.
  • 2005 Matrix Supplement and the Credit Derivatives Physical Settlement Matrix.

Training is charged at an agreed daily rate plus Value Added Tax.

ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc. The programme is neither sponsored by nor affiliated with the International Swaps and Derivatives Association, Inc.