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Credit Default Swaps (CDS) - Pricing, Applications & Features
Attending the course will help you:
  • Understand the single name Credit Default Swap (CDS) product
  • Find out about the main CDS concepts and analyse the different ways in which a CDS can be valued and traded
  • Consider the CDS indices and various structured products into which a CDS can be packaged

Course background

The programme starts off by looking at Credit Default Swap fundamentals, then moves on to analyse CDS transactions and examines how to price a CDS.  The course explores different types of trades and explains the terminology employed.

Who should attend?

This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income who is looking for an introduction to the CDS product.  An understanding of bond pricing and market risk (i.e. duration / DV01) is assumed.

Course Tutor

Neil Schofield
Neil is a visiting fellow at the University of Reading and is a freelance training consultant. From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London. He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences.  Previous to that he was a director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America). Neil has over 20 years of experience in financial markets. In 2008, he published his first book “Commodity Derivatives” and his second text “Trading the Fixed Income, Inflation and Credit Markets” was published in 2011. He is currently co-authoring a book on Inflation and a book on Equity Derivatives due to be published in 2016.

Course Outline
Session 1 Contents
Credit Default Swap fundamentals • The CDS market
• CDS structures and contractual terms
Session 2 Contents
Analysing CDS transactions • European and North American terms
• Understanding credit events
• Applying a framework to analyse CDS
Session 3 Contents
Pricing CDS • Risky PV01
• Risky DV01
• Valuing CDS from asset swaps
• Zero coupon pricing
Session 4 Contents
Applications of single name CDS transactions • The CDS basis
• Switch trades
• Curve trades
• Forward trades
• Capital structure trades
• Butterfly trades
Session 5 Contents
CDS indices • CDS indices
• Terminology
• Hedging and trading applications
Session 6 Contents
Credit – linked notes • Credit-linked notes
• Rationale for usage
• Pricing concepts
Session 7 Contents
CDS swaptions • Terminology
• Intuitive guide to pricing
• Hedging and trading applications
Session 8 Contents
Index tranche investing • Key terminology
• Understanding default correlation
• Trading applications

Details of the next seminarICE Education



ICE Education
5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA
United Kingdom

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.

Please email education@icmagroup.org to register your interest to attend our next publicly scheduled course.


The cost of the course is £1,250.00 for ICMA Members and £1,650.00 for non-members.

Course materials will be provided to candidates in electronic format prior to the start of programme. Please ensure that you have access to this document during the course by either printing off a copy or by downloading it on your laptop, iPad or Tablet.

Should you require a hard copy of the course materials, there is a charge for printing off and sending the course materials to the training venue. Please contact education@icmagroup.org a minimum of two weeks before the course start date for further details on this.

Payment can be made by secure online credit card or by invoice. Please note that selecting the invoice method will add £50 (administration fee) to the course price. Multiple candidates from the same company can request one invoice, thus reducing the overall administration fee.

Note that anyone requiring accommodation to take the course will be required to arrange this on their own; it is a class-based but non-residential course.

Cancellation charges

Registrations for classroom-based courses are transferable to another person within the same company.

All classroom-based courses are subject to the following cancellation charges:
  • 1-7 calendar days: 50% of the gross course fee
  • Course start date or thereafter: no refund will be given
Refunds will only be processed after the completion of the relevant course and after return of any course material already provided to you. Any such material must be returned undamaged and at your own expense.

Registrations for online courses are non-transferable and non-refundable.

For more information

This course is also available on a group booking basis.

Should you have any queries about this seminar please contact David Senior on +44 20 7213 0329 or at education@icmagroup.org


Fixed Income Certficate (FIC)