ACI DEALING CERTIFICATE

(3-day programme / delegate fee 8.800,- DKK)

The ACI Model Code

·      Candidates are provided with the ACI's Model Code to study in advance of the course.  Participants will be given opportunity to raise questions about the Model Code during the course.

DAY 1

The Foreign Exchange Market

·    Spot exchange rates

·    Roles of market-makers, brokers and electronic broking

·    Reciprocal rates

·    Cross-rates

·    Uses of the forward market

·    Forward outrights

·    The relationship with the money markets

·    Forward swaps

premiums and discounts

cross-rate swaps

what is a swap deal?

settlement rates

historic rate rollovers

hedging forwards via deposits

·    Covered interest arbitrage

·    Interpolation

·    Value dates and broken dates

·    Short dates

daily rollover of positions

·    Position-keeping: average rate, net position, and profit/loss

·    Introduction to precious metals

price quotation

delivery

gold fix

borrowing, gold lease rate, forwards, contango & backwardation

Homework

DAY 2

Review of previous day's homework

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 semi-annual equivalent yields

·    Cash loans and deposits

domestic versus Eurocurrency

reference fixing rates

LIBOR, LIBID, LIMEAN, EURIBOR, basis point

yield curve shapes and theories

·    Day / year conventions

converting between ‘bond’ and ‘money market’ yields

·    Certificates of deposit

calculation of settlement amounts

price / yield relationship

accrued coupon, capital gain/loss

domestic, foreign, and Euro securities

·    Discount instruments

T-bills, commercial paper, bills of exchange

calculation of settlement amounts

discount / yield calculations

Repos

·    Brief introduction to bonds

·    Classic repo and terminology

·    Day/year conventions

·    Economic benefit versus legal benefit

·    General collateral v. specials

·    Marking to market, margin calls and haircuts, substitution

calculation of cashflows including haircut

·    Coupon payments, manufactured payment

·    Cross-currency repo, open repo

·    Bilateral, triparty and hold-in-custody repo

·    Uses and applications of repos

·    Legal documentation (GMRA)

·    Buy/sell-back

calculation of cashflows

The yield curve and FRAs

·    Forward / forward interest rates

·    The forward yield curve

·    FRAs

the mechanics, pricing and settlement

uses by borrowers, depositors and position-takers

·    Creating a strip rate from a series of cash rates and/or FRAs

Homework

DAY 3

Review of previous day's homework

STIR futures

·    Basic mechanics and terminology

comparison between FRAs and futures

·    Hedging an FRA with futures

·    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 indexed swaps

·    Settlement calculations for IRS and OIS

Currency and interest rate options

·    Basic mechanics and terminology

·    Call, put, profit and loss profile

·    Price inputs

·    Straddle, strangle

·    Synthetic forward

·    IRG, cap, floor, collar, zero-cost structures

·    Put/call parity

·    Premium 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

·    Review of different risk types

market risk

credit risk

liquidity risk

operational risk

systemic risk

legal and regulatory risk

fraud

·    Controls, limits and collateral management

·    Documentation and netting

Homework and practice exams

A help line is available until each participant has passed the exam.