Commodities, Derivatives and Structured Products

Credit Derivatives - Part 2


This eCourse consists of three modules. Module 1 outlines the key features and trading practices surrounding Single-Name Credit default Swaps (CDS). They are comparatively simple instruments when compared with the complex and opaque structures that once adorned the credit derivatives market.

Module 2 looks at the construction of credit indices, the mechanics of index swaps, and the market environment. Index swaps allow participants to increase or decrease general credit exposure, although the creation of credit indices has always been directly connected to the trading of index products. There is significantly more liquidity in these products than in single-name CDS transactions.

Module 3 is a scenario focuses on two hypothetical CDS relative value trades (a pairs trade and a curve trade), using them to show you how credit derivatives can be applied in practice. At different points in the scenario, you will be asked to perform calculations or look at potential alternative actions for the trader involved. At the end of the scenario, you will have a solid understanding of how CDS trades such as those described can be constructed and evaluated.


On completion of this course, you will be able to:
- Identify the features of single-name credit default swaps
- Recognize the main market practices in the single-name CDS market
- Identify the key features and mechanics of credit indices
- Recognize the market environment for credit index swap trading


Module 1: Credit Derivatives – Single-Name CDS
Topic 1: Single-Name CDS Structures
Topic 2: Market Practices & Development

Module 2: Credit Derivatives – CDS Indices
Topic 1: Overview of CDS Indices
Topic 2: Market Environment

Module 3: Scenario – CDS Relative Value Trading


Relevant Subject
Type 2 - Dealing in futures contracts
Type 5 - Advising on futures contracts
SFC:2.50, PWMA:2.50
Staff of Corporate Member: HK$765
Non-Member: HK$1115
All Member: HK$765