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FINANCIAL MARKET COURSES

Credit Derivatives – CDS Documentation & Settlement

A well-understood and widely-accepted CDS documentation framework and a robust credit event auction system have evolved under the auspices of ISDA. This framework, periodically adjusting in response to market challenges, has standardized trading practices and settlements.

 

This course outlines the key features of the ISDA documentation framework and shows how auction settlement is used to determine recovery rates.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Describe the documentation framework for credit default swaps and show how this framework has developed

    Explain how auction settlement is used to determine recovery rates

  • COURSE OUTLINE

    Topic 1: CDS Documentation

    Standardization of Documentation

    CDS Documentation Framework

    ISDA Definitions & Confirmations

    Protocols

    Post-Crisis Changes

    o Financial Reference Entities

    o Asset Package Delivery

    o Standard Reference Obligations (SROs)

    2014 Protcols

    CDS Quotations: Examples

    Topic 2: CDS Auction Settlement

    Overview of Auctions

    Auction Participants

    Auction Mechanics

    Auction Price Determination

    o First Stage

    o Second Stage

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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