ACI  OPERATIONS CERTIFICATE

(Two day course / delegate fee 6.800,- DKK)

DAY 1

Foreign Exchange

·    Spot, terminology

·    Forward outrights

·    FX swaps

historic rate rollovers

covered interest arbitrage

·    Short dates

·    Forward-forwards

·    Time options

·    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

Bonds

·    Overview

·    The issue process and secondary trading

·    Pricing concepts; clean/dirty price, accrued interest

·    Day/year conventions

·    Variations

FRN, minimax, drop-lock

zeros and STRIPs

asset-backed bonds

convertibles, calls, puts

index-linked bonds

·    Bond ratings

Repos

·    Classic repo

terminology

margin calls

uses

·    Buy/sell-back (briefly)

·    Securities lending (briefly)

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

·    Comparison with FRA

OTC v exchange-traded

specifications

·    Exchange structure and margin calculations

·    Major exchanges and contracts

Interest rate swaps

·    Basic mechanics and terminology

·    Hedging borrowing costs

·    Liability and asset swaps

·    Coupon swap, basis swap

·    Settlement calculations

Currency swaps

·    Overview

·    Exchange of principal at maturity

Options

·    Overview and terminology

·    Risk profile for buyer and writer

·    Straddle

·    Cap, floor, collar, swaption

·    Delta

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

·    Event monitoring

Settlement instructions

·    SSIs

Confirmation

·    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

Nostro accounts and reconciliation

·    Correspondent bank, nostro, vostro

·    SWIFT MTs

·    Purpose and mechanics of reconciliation

explanation of outstanding entries

·    Cash management

Risk and control

·    Market risk

basis risk, liquidity risk, model risk

limits

marking-to-market

·    Credit risk

counterparty risk, replacement risk, settlement/Herstatt/delivery risk

limits, collateral, netting

·    Operational risk

back office risk, disaster risk, systems risk, model risk, fraud, personnel risk

disaster recovery and BCP, tapes, contingency plans

back-up systems, model sign-off

third-party payments, due diligence

separation of functions

·    Systemic risk

·    Legal and regulatory risk

·    Reputational risk

Netting and documentation

·    Bilateral netting, multilateral netting

·    Obligation/settlement netting, close-out netting

novation

·    Industry-standard documentation

·    CLS (PvP)

Money Laundering

·    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.