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ACI OPERATIONS CERTIFICATE
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(2-day programme / delegate fee 7.500 DKK (1000 EUR))
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DAY 1
Foreign Exchange
- Spot, terminology
- Forward outrights
- FX swaps
historic rate rollovers
covered interest arbitrage
- Short dates
- NDF
- Position keeping
- EMU and the euro
Money Markets
- Terminology
- Short dates
- Yield curves
- Value dates
- Interpolation
- Basic interest calculation
- Day/year conventions
- Money market instruments
deposit, CD, CP, T-bill, MTN
Bonds
- Overview
- The issue process and secondary trading
- Pricing concepts; clean/dirty price, accrued interest
- Day/year conventions
- Variations
FRN, index-linked
zero-coupon bonds
convertibles, calls, puts
index-linked bonds
Repos
terminology
margin calls
treatment of coupon
documentation
- Summary of securities lending
- Applications
cash borrowing
covering short bond positions
central bank operations
FRAs
- Mechanics, pricing and settlement of FRAs
- Use by borrowers, lenders, speculators
covering a mismatched position
Homework
DAY 2
Review of previous day's homework
Interest rate futures
OTC v exchange-traded
specifications
- Exchange structure and margin
- Major exchanges and contracts
Interest rate swaps
- Basic mechanics and terminology
- Hedging borrowing costs
- Liability and asset swaps
- Coupon swap, basis swap
Currency swaps
- Overview
- Exchange of principal at maturity
Options
- Overview and terminology
- Risk profile for buyer and writer
- Straddle
- Cap, floor, collar
Derivatives summary
- ‘Off-balance sheet’, ‘cfd’, leverage
Life of a deal and the role of the back office
- Trade capture and entry input, validation, settlement instructions, confirmation, netting, settlement, reconciliation
- STP
- Static data management
Settlement instructions
Confirmation
- Back office to back office
- SWIFT MTs
- Oral checks
- Transmission
- Timing
- Checking
Settlement and clearing systems
- Net, hybrid and RTGS
- Domestic and EUR payment systems
- Securities DvP settlement
- SWIFT MTs, serial method / cover method
Nostro accounts and reconciliation
- Correspondent bank, nostro, vostro/loro
- SWIFT MTs
- Purpose and mechanics of reconciliation
explanation of outstanding entries
Cash management
Risk and control
basis risk, liquidity risk
limits
marking-to-market
counterparty risk, replacement risk, settlement/Herstatt/delivery risk
limits, collateral, netting, DvP/PvP
back office risk, disaster risk, systems risk, fraud, personnel risk
disaster recovery and BCP
back-up systems
third-party payments
separation of functions
Netting and documentation
- Bilateral netting, multilateral netting
- Obligation/settlement netting, close-out netting
- Industry-standard documentation
- CLS (PvP)
Money Laundering
- Summary of the laundering process
placement, layering, integration
Model Code and regulation
- Gifts and entertainment
- Confidentiality
- Professional behaviour
Homework and practice exams
A help line is available until each participant has passed the exam.
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ACI Dealing certificate
The ACI Model Code
Candidates are provided with the ACI's Model Code to study in advance of the course |
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