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FINANCIAL MARKET COURSES

Credit Derivatives – CDS Indices

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. This course looks at the construction of credit indices, the mechanics of index swaps, and the market environment.

  • OBJECTIVES

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

    Identify the key features and mechanics of credit indices

    Recognize the market environment for credit index swap trading

  • COURSE OUTLINE

    Topic 1: Overview of CDS Indices

    What Is a Credit Index?

    Features of CDS Indices

    Index Construction

    Credit Index Terms

    Key Terms of Major Indices

    CDS Index Trade: Example

    Topic 2: Market Environment

    Index Swap Trading

    o Liquidity of Index Swaps

    Trading Strategies

    Market Levels

    o Interpreting Market Levels

    o Determining Closing Levels

    Composite vs. Theoretical Levels

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    50 Minutes

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