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(2-day programme / delegate fee 7.500 DKK  (1000 EUR))
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
  • Settlement calculations
  • 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
  • Bond ratings
  • DvP
  • Classic repo
margin calls
treatment of coupon
  • Summary of securities lending
  • Applications
cash borrowing
covering short bond positions
central bank operations
  • Mechanics, pricing and settlement of FRAs
  • Use by borrowers, lenders, speculators
covering a mismatched position
Review of previous day's homework
Interest rate futures
  • Comparison with FRA
OTC v exchange-traded
  • 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
  • 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
  • SSIs
  • Back office to back office
  • 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
  • Purpose and mechanics of reconciliation
explanation of outstanding entries
  • Investigations
Cash management
Risk and control
  • Market risk
basis risk, liquidity risk
  • Credit risk
counterparty risk, replacement risk, settlement/Herstatt/delivery risk
limits, collateral, netting, DvP/PvP
  • Operational risk
back office risk, disaster risk, systems risk, fraud, personnel risk
disaster recovery and BCP
back-up systems
third-party payments
separation of functions
  • Systemic risk
  • Legal risk
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
18-21 june 2013
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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