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Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Interest Rate Swaps and Credit Default Swaps
Available Dates:
There are no dates available.
Course Code: 609
Duration: 1 day
Level: Basic
Fee: $795.00
CPE Credits: 6
Prerequisite: No Prerequisite Required

This one-day seminar provides participants with a broad introduction to the types of swaps widely used by fixed income market participants for positioning and risk management. The presentation will explore contract features, pricing and markets as well as how swaps are used by market participants in a variety of trading and hedging strategies.

The session will begin with a brief overview of the evolution of the swap market and the general characteristics of swap contracts.  The balance of the session will be divided about equally between interest rate swaps and credit default swaps.  Each of those segments will begin with a discussion of the typical features encountered with the type of swap under consideration (basic structures, common variations, unique characteristics) followed by an examination of the cash flows on swap positions (settlement value of the legs, daily settlement of cleared swaps) as well as an introduction to swap pricing and valuation. 

After discussing the economic characteristics of each type of swap, the presentation will move on to an investigation of the commonly employed risk management and trading applications for each. 

The presentation will give participants extensive exposure to swaps related terminology (payer versus receiver, fixed rate leg, floating rate leg, etc.), contract features (underlying, tenor, settlement frequency, etc.) and basic pricing concepts (equating the present value of the legs, setting the terms of an at market swap). 

The presentation will explore the common structures for each major category of swaps (e.g. fixed for floating interest rate swaps, single name and index credit default swaps) as well as address the unique features of each type (e.g. market agreed coupon interest rate swaps, payment of the accrued coupon by credit protection seller in standardized credit default swaps, etc.). 

The discussion of the contract structures will be tied to an analysis of the economic aspects of each type of swap (settlement value of the legs and market exposures of individual swap positions) along with illustrations of how these contracts are used in a wide variety of risk management applications including but not limited to: altering asset or liability cash flows between a fixed interest rate and a floating interest rate (interest rate swaps); hedging the interest risk of a bond portfolio (interest rate swaps); hedging the credit risk of a bond portfolio (index credit default swaps); synthetic short of credit exposure (credit default swaps). In context, the presentation will also address a variety of market (OTC clearinghouses and Swap Execution Facilities - SEFs) and regulatory (SEC/CFTC regulation, Dodd-Frank) issues.

Topics for Discussion Include:

Introduction to Swaps

  • Overview of the Swaps Markets
  • Evolution of Swaps and the Swaps Market
  • Forward Commitment Swaps Versus Contingent Claims
Swap Contracts
  • Common Features
    • Notional amount
    • Tenor (term or time to maturity)
    • Settlement frequency
    • ISDA standardized contracts
  • Trading and Regulation
    • OTC clearinghouses
    • Swap Execution Facilities (SEFs)
    • Role of SEC and CFTC
    • Swap dealers and Major Swap Participants (MSPs)

 Interest Rate Swaps

  • Unique Features And Common Structures
    • Most common form - fixed for floating interest rate
    • Basis swaps - floating for floating interest rate
    • Amortizing and accreting swaps
  • Capital Market Equivalent Positions of Swap Counterparties
  • Applications
    • Cash flow hedging
    • Synthetic fixed or floating rate assets and liabilities
    • Value hedging

Credit Default Swaps

  • Unique Features And Common Structures
    • Underlying credit exposure
    • Credit events
    • Standardized contracts: fixed coupon, quarterly settlement dates
  • Capital Market Equivalent Positions of Swap Counterparties
  • Applications
    • Offsetting credit risk exposure on owned risky assets
    • Taking a short view on credit (buy protection on assets not owned)
    • Taking a long view on credit (sell credit protection)