Introduction to Swaps

Price: $995   Register now

Recommended that you register at least two weeks in advance.

Course Features

  • Course date:04/14/2020
  • Course Duration: 1 Day
  • Level: Beginner
  • Prerequisites: None
  • Method: Live & Virtual
  • Venue: 115 Broadway, NY, NY 10006
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual


This one-day intensive course covers all aspects of swap agreements and the swap markets.  Among the topics covered are the various types of swap contracts, how swaps are valued and priced in the marketplace, as well as risk management applications of swaps.

  • Forward Contracts
    • Quick refresher
    • Relationship to Swaps
  • Swap Market
    • Credit Risk
    • The emergence of Swap Execution Facilities
  • Swap Contract Basics – Contract Terms
    • The notional amount, the term (tenor or maturity) and settlement frequency
    • Other contract terms
  • Types of Swaps
    • Plain Vanilla Interest Rate Swap
    • Basic Currency Swap
    • Basic Equity Index Swap
    • Contingent claims: credit default swaps
  • Swap Trading and Settlement
    • Swap execution facilities (SEF) versus bilateral negotiations
    • Cleared swaps compared to bilateral contracts
    • Dodd-Frank requirements for trading and clearance and exemptions


  • Interest Rate Swap (IRS) Basics
    • Fixed for floating IRS: contract features, concepts, and terminology
    • Swap counterparties: fixed-rate payer and fixed-rate receiver
    • Notional amounts, tenors and settlement frequencies
    • Determinants of contract terms and typical ranges of each
    • Fixed-rate leg coupon and floating leg index rate
    • Settlement values for fixed and floating rate legs
  • Pricing Par (At-Market) Interest Rate Swaps
    • Fixed leg coupon set to give contract initial value of zero
    • The present value of the cash flows for the fixed and floating legs are equal
    • Fixed coupon a blended rate – spot and forward rates over swap tenor
    • Forward rates can be hedge by the dealer using Eurodollar futures
  • Interest Rate Swap Risk Management Strategies
    • Altering liability from fixed to floating or floating to fixed
    • Altering asset from floating to fixed or fixed to floating
    • Altering a floating rate – basis swap
    • Hedging fixed income security or portfolio
  • Variations in Interest Rate Swap Contract Structure
    • Amortizing swaps
    • Accreting swaps
    • Rollercoaster swaps
  • Standardized Interest Rate Swaps
    • Common roll (payment and maturity) dates
    • Settlements – fixed-rate leg semiannual, floating-rate leg quarterly (USD)
    • Market Agreed Coupon (MAC) swaps


  • Interest Rate Swaps with a Twist
    • Two notional, one for each of the two contract currencies
    • Interest rates of two legs denominated in different currencies
  • Structure of Contracts
    • Notional related at the current spot exchange rate
    • Possible exchange of notional – at initiation and/or termination of the contract
    • Interest rates – fixed/fixed, fixed/floating or floating/floating (basis swaps)
  • Risk Management Applications of Cross Currency Swaps
    • Moving interest rate exposure between currencies
    • Exchange rate risk of foreign currency denominated assets or liabilities


  • Characteristics of Equity Swaps
    • Smaller notional and shorter tenors compared to IRS
    • One or both legs tied to equity market exposure
    • Equity leg versus floating interest rate leg most common structure
    • Equity leg: one or more indexes, individual equities or equity portfolios
    • Equity leg: usually valued on total return, but can be based on index points
    • Usually, bilateral contracts but can be cleared
    • Illustration of contract periodic settlement cash flows
  • Pricing and Valuation of Equity Swaps
    • Quoted as index rate plus spread versus equity return
    • Interest rate leg reflects the return on a hedged position in equity
    • Converting between a fixed and floating rate interest leg
    • Dealer hedging of equity swap exposures
  • Attractions of Equity Swaps Versus Alternate Means of Equity Market Exposure
    • Advantages of swaps versus trading underlying equity
    • Advantages of swaps versus equivalent futures contracts
  • Risk Management Applications of Equity Swaps
    • Market exposure
    • Synthetic short positions
    • Altering asset allocation between asset classes or market segments


  • Economics of CDS
    • Quick History Lesson (2008)
    • Unique derivative – focused on the impact on the value of credit risk
    • Analogous to insurance, but legally defined as not insurance
  • CDS contract features
    • Notional amount, tenor/term/maturity and payment frequency
    • Credit event(s) and reference issues or issuer
    • Settlement – cash settlement or security delivery
    • Index and single-name CDS
  • Trading and Risk Management Applications of CDS
    • Risk/reward profile of credit protection buyer and seller
    • Reducing credit exposure (buyer)
    • Gaining exposure to markets/asset classes, with leverage (seller)
    • Shorting underlying credit (seller not long underlying)
  • Standardized CDS Contracts
    • Common payment/maturity dates (20th of Mar, Jun, Sep, and Dec)
    • Standard coupons on payment leg (1% or 5% on North American CDS)
    • Seller pays buyer accrued coupon at contract initiation
    • Credit events (failure to pay or declaration of bankruptcy)
    • Recognition of credit events by ISDA® Determination Committee
    • Settlement value established by ISDA® auction among regional dealers


  • The emergence of Crypto Swaps
  • Participants in this Space
  • Cash Settled Swaps
  • Atomic Swaps

[1ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc.(“ISDA”).  The ISDA Master Agreement and related ISDA documentation are copyrighted by ISDA and are available at its website [].

TABB Courses are neither affiliated with nor sponsored by ISDA.


  • Russell joined TABB Group in July 2018 after almost a decade at Cboe Global Markets where he finished his time there as the Director of Education at The Cboe Options Institute. His career before joining Cboe included positions at a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, Balyasny Asset Management, …
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