ACI DEALING CERTIFICATE
(4day programme)
DAY 1
The Foreign Exchange Market
 Spot exchange rates
 Roles of marketmakers, brokers and electronic broking
 Reciprocal rates
 Crossrates
 Uses of the forward market
 Forward outrights
 The relationship with the money markets
 Forward swaps
premiums and discounts
crossrate swaps
what is a swap deal?
settlement rates
historic rate rollovers
hedging forwards via deposits
 Covered interest arbitrage
Homework
DAY 2
Review of previous day's homework
The Foreign Exchange Market (continued)
daily rollover of positions
 Forwardforward
 Time option
 NDF
 Positionkeeping: average rate, net position, and profit/loss
 Introduction to precious metals
price quotation
delivery
gold fix
borrowing, gold lease rate, forwards, contango & backwardation
The Money Markets
 Time value of money, present value / future value, NPV
 Calculation of simple yield on an investment
 Simple and compound interest
 Annual and semiannual equivalent yields
 Compounding ‘strip’ calculation
 Cash loans and deposits
domestic versus Eurocurrency
reference fixing rates: LIBOR, EURIBOR
 Yield curve shapes and theories
 Interpolation
 Value dates and broken dates
 Day / year conventions
converting between ‘bond’ and ‘money market’ yields
calculation of settlement amounts
price / yield relationship
accrued coupon, capital gain/loss
Tbills, commercial paper, bills of exchange
calculation of settlement amounts
discount / yield calculations
domestic, foreign, and Euro securities
Repos
 Brief introduction to bonds
 Classic repo and terminology
 Economic benefit versus legal benefit
 General collateral v. specials
 Marking to market, margin and margin calls, substitution
 Coupon payments, manufactured payment
 Calculation of cashflows including initial margin
 Term repo, open repo
 Bilateral, triparty and holdincustody repo
 Uses and applications of repos
 Buy/sellback
treatment of coupon payments
closeout and repricing
calculation of cashflows
 Legal documentation (GMRA)
 Central bank repo
Homework
DAY 3
Review of previous day's homework
The forward yield curve and FRAs
 Forward / forward interest rates
 The forward yield curve
 FRAs
the mechanics, pricing and settlement
uses by borrowers, depositors and positiontakers
 Creating a strip rate from a series of cash rates and/or FRAs
STIR futures
 Basic mechanics and terminology
comparison between FRAs and futures
specifications
clearing house and margin structure
 Trading with futures
 Hedging a FRA with futures
 Basis point values, tick sizes and tick values
variation margin calculations
 Major exchanges and contracts
Interest rate swaps
 Basic mechanics and terminology
 Asset and liability swaps, synthetic FRN
 Basis swaps
 Overnight index swaps
 Settlement calculations for IRS and OIS
Homework
DAY 4
Review of previous day's homework
Currency and interest rate options
 Basic mechanics and terminology
 Call, put, profit and loss profile
 Price inputs
 Straddle, strangle
 Synthetic forward and put/call parity
 IRG, cap, floor, collar, zerocost structures, swaption
 Premium settlement calculations
 Delta, vega, theta, rho, gamma
interpretation of delta and delta hedging
 Use of derivatives for hedging, speculation and arbitrage
Corporate Risk Management
 Description of different types of exposure
transaction
translation
economic, competitive
Bank Risk Management
subcategories of market risk
risks to net interest income
limits
default risk, counterparty credit risk / replacement risk, settlement/delivery/Herstatt risk
concentration risk, wrongway risk
limits, collateral, covenants
netting, documentation, master agreements
DvP, PvP, CLS
CCP
CDS
truesale securitisation
model, fraud, personnel, back office, disaster, systems, systemic risks
legal and regulatory risk
 Reputational risk
 Strategic risk
 Funding liquidity risk
 Introduction to accounting
banking book v trading book
amortising / accrual v fair value
P&L v ‘equity’
hedge accounting
objectives
methods
gap management
time buckets
positive / negative gaps
gap risk
modified duration
concept
effect of maturity, coupon and yield
positive / negative duration gaps
how to hedge
ALCO
normal curve, standard deviation/variance/volatility, correlation/covariance
confidence level, holding period, observation period
variance/covariance, historic, Monte Carlo approaches
expected shortfall / conditional valueatrisk
economic capital / regulatory capital
pillar 1, pillar 2, pillar 3
components of regulatory capital, tiers 1 and 2
risk asset ratio, capital conservation buffer, countercyclical buffer, SIFIs
market risk
standardised rules, internal models
credit risk
standardised / CEM, FIRB, AIRB
CVA charge
operational risk
basic indicator, standardised, advanced measurement approaches (AMA)
 Liquidity risk, LCR, NSFR
 Leverage ratio
Homework and practice exams
A help line is available until each participant has passed the exam.
