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Credit Default Swaps (CDS) - Pricing, Applications & Features
The CDS market has been growing rapidly since its introduction in the late 1990’s, with the market estimated to be worth in excess of $593 trillion at the end of 2014. With a constantly changing market companies now find CDS to be a vital instrument in their daily activity. This two day programme begins by looking at CDS fundamentals, then moves on to analyse CDS transactions and examines pricing structures. The course explores different types of trades and explains the terminology employed within these transactions.

Attending the course will help you:
  • Discover the main CDS concepts and analyse the different ways in which a CDS can be valued and traded
  • Understand the single name CDS product
  • Consider CDS indices and various structured products into which a CDS can be packaged
  • Become familiar with index tranche investing terminology and application

Who should attend?

This course ideal for anyone with an understanding of the fundamental concepts of finance and fixed income that 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 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.
The course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Credit Default Swap (CDS) Fundamentals
  • The CDS market
  • CDS structures and contractual terms

2. Analysing CDS Transactions

  • European and North American terms
  • Understanding credit events
  • Applying a framework to analyse CDS

3. Pricing CDS

  • Risky PV01
  • Risky DV01
  • Valuing CDS from asset swaps
  • Zero coupon pricing

4. Applications of Single Name CDS Transactions

  • The CDS basis
  • Switch trades
  • Curve trades

5. CDS Indices

  • CDS indices
  • Terminology
  • Hedging and trading applications

6. Credit-linked Notes

  • Credit-linked notes
  • Rationale for usage
  • Pricing concepts

7. CDS Swaptions

  • Terminology
  • Intuitive guide to pricing
  • Hedging and trading applications

8. Index Tranche Investing

  • Key terminology
  • Understanding default correlation
  • Trading applications

Details of the next seminarICE Education


1-2 June 2016

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.


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

The course fee includes all lunches, coffee breaks and training materials.

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.

Terms and conditions

Please click here to view our terms and conditions before registering.


Should you have any queries, please contact education@icmagroup.org.

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