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The ACI Operations Certificate Course

The following is an outline of the course content for the ACI Operations Certificate exam (previously named the 'Settlements Certificate').

The foreign exchange market

spot, forwards, swaps, position-keeping
uses of the market, settlement amounts
value dates, forward-forwards, short dates, NDFs, time options
EMU

The money markets

day/year conventions, reference rates
loan, CD, CP, BA, T-bill, MTN
calculation of settlement amounts
yield and discount calculations
yield curves and interpolation

Derivatives

FRAs: mechanics, pricing, settlement and uses
comparison between FRAs and futures
concepts and mechanics of interest rate swaps
applications, asset and liability swaps
currency swaps
basic concepts and terminology of options
call, put, risk profile
cap, floor, collar, swaption
delta
calculation of derivative settlement amounts

The bond markets

overview
the issue process and secondary trading
pricing concepts; clean/dirty price, accrued interest
day/year conventions
FRN, minimax, drop-lock
zeros and STRIPs
asset-backed bonds
convertibles, calls, puts
index-linked bonds
bond ratings

The repo markets

classic repo
margin calls
buy/sell-back

Life of a deal and the role of the back office

Trade capture and entry, validation, settlement instructions, confirmation, netting, settlement, reconciliation
STP
Static data management
Event monitoring

Settlement instructions and confirmations

SSIs
the confirmation
oral checks
transmission
timing
checking

Settlement and clearing systems

net, hybrid and RTGS systems
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
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, contingency plans
back-up systems, model sign-off
third-party payments, due diligence
separation of functions
systemic risk
legal and regulatory risk, money laundering
reputational risk

Netting and documentation

bilateral netting, multilateral netting
obligation/settlement netting, close-out netting
novation
industry-standard documentation
CLS (PvP)

Model Code and regulation

professional behaviour
gifts and entertainment
confidentiality

 

Markets International Ltd
Aylworth, Naunton
Cheltenham GL54 3AH

e-mail: ask@markets-international.com
Telephone: +44 (0)1451-850055
Fax: +44 (0)1451-850367

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