Fundamentals of Derivatives

Tuesday, March 17, 2020

Member US$850.00

Non-Member US$975.00

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Tuesday, March 17, 2020

Print Agenda Fundamentals of Derivatives for

8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks

9:00 AM Overview of Derivatives Products

  • Definition and explanation of derivatives
  • Common types of derivatives:
    • Interest rate derivatives
    • Credit derivatives
    • Commodities
    • Equities
    • FX
  • Major reasons for using derivatives
  • Examples of derivative users
  • OTC vs. exchange traded derivatives
  • Major venues for derivatives trading and clearing
  • Basic valuation of derivatives types

10:30 AM Morning Break

10:45 AM Interest Rate Derivatives Products

  • Overview of interest rate derivatives
    • Major products
    • Notional outstanding vs. market value
    • Trading volumes
  • Interest rate swaps
    • Description
    • Terminology, convention and market quotes
    • Basic valuation
  • Interest rate caps, floors, swaptions and straddles
    • Description
    • Terminology and convention
    • How options work
    • Basic option strategies
    • Basic valuation
    • Settlement methods

12:00 PM Equity Derivatives Products

  • Overview of equity derivatives
    • Major products
    • Notional outstanding vs. market value
  • Users of equity derivatives
  • Equity swaps: single names and basket
  • Equity options: call & put options structures
  • Dividend swaps
  • Variance/Volatility swaps
  • Settlement methods
  • ISDA Equity Derivatives Definitions

12:45 PM Luncheon

1:45 PM Credit Derivatives Products

  • Overview of credit derivatives
    • Major products
    • Notional outstanding vs. market value
    • Trading volumes
  • Credit default swaps: single names and index CDS
  • Users of credit derivatives
  • Terminology, convention and market quotes
  • Valuation
  • CDS-bond basis
  • Credit events: single name and index CDS
  • Settlement methods and auctions
  • The ISDA Credit Derivatives Determination Committee

2:45 PM Afternoon Break

3:00 PM Central Clearing and Uncleared Margin

  • Risk View
    • What is counterparty risk in derivatives?
    • How can counterparty risk be mitigated?
    • Bilateral margin for uncleared derivatives
    • Key aspects of clearing
  • Legal View
    • Bilateral documentation
    • Segregation models in CCPs
    • Clearing documentation

4:00 PM Basics of Derivatives Documentation

  • Derivatives Documentation Architecture
  • ISDA Master Agreements, including the Schedule and CSA
  • ISDA Definitions books
  • ISDA Protocols

5:00 PM Conference Concludes

Agenda is subject to change.

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Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here. You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.

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Registration fee is for one person to attend the entire event. Pass may not be split between multiple attendees.

For some events, groups of three or more attendees from the same firm can receive a 20% discount on event registrations. Groups must be registered together, in advance of the event. To register your group, please email

Receive a special discount of 20% for one person to attend all 3 Back to Basics courses – the Fundamentals of Derivatives, Understanding the ISDA Master Agreements and Understanding Variation Margin and the 2016 ISDA Variation Margin Credit Support Documents courses taking place on March 17, 18 & 19 in London. To receive this discount, email conferences@isda.orgprior to registration. [Registrant must attend all 3 courses. Discount will be void if one or more of the registrations are cancelled]

Member US$850.00

Non-Member US$975.00

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Basic knowledge of derivatives is beneficial but not mandatory. Some knowledge of financial markets is assumed. No advance preparation is required.

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ISDA is an accredited provider of continuing education credits by the following organizations:

  • CLE

    ISDA has been certified by the New York State Continuing Legal Education Board as an Accredited Provider of continuing legal education in the state of New York.

  • CPE Sponsory

    ISDA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors: 150 Fourth Avenue North, Suite 700, Nashville, TN 37219-2417.

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