Classical Credit Derivatives and Total Return Swaps

Financial services professionals, consultants, and sales professionals interested in providing or selling products and services to banks, investment companies, and other financial corporations, and everyone interested in creation and use of credit derivative instruments

Please contact us for information about prerequisites.

Expected Duration
60 minutes

Credit derivatives have seen immense growth over the past decade. They are used by hedgers to protect against credit risk and by speculators to take on credit exposure in the hope of earning high returns. Credit derivatives are also used by other financial institutions, such as banks, as a means of funding. Credit derivatives typically reference fixed income securities as a contract’s underlying asset because of the inherent credit risk that arises from fixed income security ownership. Total return swaps have emerged as one of the most commonly known, and used, types of credit derivative due to their versatility and effectiveness in transferring credit risk from one entity to another.
This course introduces some classic credit derivatives, such as asset swaps, basket and portfolio swaps, and principal protected notes, and also focuses on total return swaps and their applications. The course commences with an overview of debt instrument basics, which provides the basis for understanding its association with credit derivatives.


Classical Credit Derivatives

  • select components of debt instruments and asset swaps
  • identify asset swap applications
  • recognize components of basket and portfolio default swaps
  • select the components of principal protected notes
  • recognize characteristics of classical credit derivatives

Total Return Swaps

  • identify characteristics of total return swaps
  • select components of total return swaps applications
  • recognize characteristics of total return swaps





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