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Financial Training

Trading Simulation Game

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Aims

This three day trading simulation aims to provide participants with a practical trading experience across a range of markets. Teams compete against each other to run their positions in the most effective manner, and are assessed on a number of performance related criteria over the three days..

Objectives

By the end of the programme, participants will be able to

• Act as a Market Maker / Taker in a range of products
• Assess and manage the risks in the trading book
• Formulate market strategies
• Run a trading book in line with various risk limits and performance metrics
• Exploit the relationship between a number of traded markets

Methodology

The programme is instructor led. Participants work in teams and tackle a range of market simulations.

Team performance is assessed on a number of real life trading considerations – profit / loss, risk exposure, market aggression, limit compliance etc.

Each trading session is followed by a debrief, in which teams discuss their trading outcome.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm 

Day 1

Session 1 Spot Foreign Exchange

Recap of the Spot FX fundamentals

Market terminology and trading conventions

Introduction to the Trading Simulator

Session 2 Trading Session 1 – Spot FX

Scoring system

Simulation

Outcome and debrief

Session 3 Forward FX

Review of Forward FX fundamentals

Market terminology and trading conventions

Familiarisation with Forward FX on the Trading Simulator

Session 4 Trading Session 2 – FX Swaps

Scoring system

Simulation

Outcome and debrief

Day 2

Session 1 Short Term Interest Rate Derivatives

Recap of the Forward Rate Agreement

Market terminology and trading conventions

Trading Simulator functionality

Session 2 Trading Session 1 - FRAs

Scoring system

Simulation

Outcome and debrief

Session 3 Medium Term Interest Rate Derivatives

Review of the Interest Rate Swap product

Market terminology and trading conventions

Familiarisation with IRS on the Trading Simulator

Session 4 Trading Session 2 - IRS

Scoring system

Simulation

Outcome and debrief

Review of trading strategies 

Day 3

Session 1 Options

Recap of Options fundamentals

Pricing

Risk measures (the Greeks)

Payoff profiles

Market terminology and trading conventions

Trading Strategies

Session 2 Currency Options

Position and exposure recording

Managing the position

Pricing calculator

Points, Volatility and Live pricing

Session 3 Trading Session 1 – Currency Options

Managing the basics 

Session 4 Trading Session 2 – Currency Options 

Scoring system

Simulation

Outcome and debrief

Review of trading strategies

Overall 3 day performance appraisal

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Commodity Seminars

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Aims

This series of one day seminars aims to provide participants with a detailed understanding of commodity markets and the products used in specific asset classes.

Objectives

By the end of the programme, participants will be able to

• Explain the physical characteristics of traded commodities
• Describe the operation of specific commodity markets
• Perform market calculations
• Identify market risks within asset classes
• Apply market products to a range of risk management scenarios
• Utilise their skills in a trading simulation

Methodology

The programme is instructor led and key learning points are reinforced using spreadsheet examples and short exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Day 1

Session 1 Crude Oil Fundamentals and products

• Crude quality and marker crudes
• Gross Product Worth
• Determining Best Crude
• Physical market operation eg Dated Brent
• Drivers of the forward curve
• Forward market operation
• Book outs and Nomination
• Brent CFDs
• Brent Futures
• EFP
• Swap pricing and hedging off Futures
• Curve trading strategies

Session 2 Oil Products

• The refinery process
• Structure of the refining industry
• Margin configurations and the various distillates
• Conversion calculations from input crude to output product
• Drivers of specific product prices
• Review of Yield Reports
• Crack Spreads
• Refined product derivatives

Day 2

Session 1 The Precious Metals Market

• Gold and Silver Fineness – deliverable standards
• Physical Market operation
• London Good Delivery
• Unallocated versus Allocated account
• Forward Markets
• Gold Lending and GOFO
• GOFRAs
• Deferred and Spot Deferred
• LBMA – Delivery, Clearing and Documentation

Session 2 The Base Metals Market

• Background and structure of the London Metals Exchange
• The contracts traded and specifications
• Market terminology
• Open outcry ‘Rings’ and price quotations
• Good Delivery
• Settlement prices and how prices move
• The LME warehousing policy and delivery
• Cash/ metal flow implications
• Basic market terms and descriptions
• LME Select 

Day 3

Session 1 Power and Gas Fundamentals

• Background to deregulated Power and Gas markets
• The Gas production process: Extraction, gathering , processing etc
• Gas quality – eg WOBBE Index
• Gas transportation process and balancing mechanism
• Gas storage
• Power market structures: Mandatory Pool, Voluntary Pool, Bilateral
• The Power process: Generation, nomination, scheduling, dispatch, balancing etc
• Converting gas to power: Heat Rate, units of measure (BTU, Therms, KWh etc)
• Spark Spread calculations
• Drivers of Power prices

Session 2 Power and Gas Market Products

• Terminology - Baseload, Peak, BOM etc
• Load Shapes
• Physical Power EFAs and the EFA calendar
• Futures eg Noord Pool, NYMEX
• Financial Swaps OTC eg SWEP and Exchange eg ICE
• APX Power UK products
• Standard physical gas contracts
• Futures eg NYMEX Henry Hub
• Contract specs
• Gas financial swaps Basis, Swing etc 

Day 4

Session 1 Coal and Emissions Markets

• Physical coal fundamentals (Heat value, CO2, S02 etc
• Standard coal price quotes (API2 API4 etc)
• Converting coal into power – dark spread calculation
• Coal Derivatives - ICE Futures, OTC Index Swaps
• Background to emissions trading
• Control mechanisms ( Joint Implementation, Clean Development Mechanism, Cap and Trade)
• UK ETS and EU ETS
• Market products: EUA, CER, ERU

Session 2 Freight, Transport and Logistics

• INCO Terms
• Letters of Credit and Documentation
• Freight market structure (Bulk, Liner, Specialised etc)
• Transport sourcing (Ownership, Period Timecharter, Spot Charter, Affreightment)
• Determinants of freight rates and freight rate curves
• Recognised Dry and Wet routes
• Worldscale
• Managing freight price risk with FFAs
• Storage
• Approval criteria for acceptable warehousing
• Key risks in storage

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Inflation-linked Securities and Derivatives

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Aims

This one day programme provides participants with a practical understanding of the mechanics of Inflation Linked securities and derivatives.

Objectives

By the end of the programme participants will be able to:

• Identify the main inflation indices
• Calculate the cash flows arising from the main Inflation Linked securities (8 month Lag UK, 3 month UK, US, Euroland etc)
• Determine the Real Yield of a lagged security
• Define Break Even Inflation and its significance
• Understand Carry in regard to Index Linked instruments
• Apply the products from the perspective of asset allocators, traders etc
• Describe and apply Zero Coupon Break Even, Year on Year and TIPs Swaps to specific market situations
• Value a generic Inflation Linked swap by building an Inflation curve from market data
• Apply Inflation Linked options (Real Rate Swaptions, Caps / Floors, LPI products) to market situations

Methodology

The course will consist of a mixture of instructor led teaching sessions and practical exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm.

Session 1 Introduction to Inflation

• Measures of inflation and indices
• Nominal yield, real yield and break even inflation
• Overview of global inflation linked securities markets
• Typical market conventions

Session 2 Index Linked Markets

• Traditional 8 month lagged IL Gilts
• Calculating cash flow and settlement amounts
• The impact on real yield
• Calculating Inflation adjusted price and real yield
• 3 month indexation and calculating the index
• Calculating cash flows and settlement amounts
• Real yield and real price

Session 3 Index Linked Concepts

• Carry
• Break even forward yield
• Real Duration
• Portfolio diversification using IL securities

Session 4 Index Linked Derivatives

• Overview of IL swaps
• Building an inflation curve
• Calculating IL swap cash flows
• Valuation issues ( seasonality etc)
• Overview of other IL products

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Asset & Liability Management with BASEL 3, EMIR and MiFID 2

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Aims

Day 1 provides an understanding of the principle issues of Asset & Liability and Liquidity Management as applied to the structure and effectiveness of the balance sheet within a financial institution.

Day 2 provides an overview of the impact on the Trading Book from an ALM perspective resulting from Basel 3. This will be accompanied by a look at the impact of Basel 3 and EMIR requirements on counterparty credit risk, together with a review of MiFID 2 standards.

Objectives

By the end of the programme participants will be able to:

• Outline the main features of balance sheet management
• Describe the ways in which risks within the balance sheet can be managed and value can be created for stakeholders
• Describe the role of Treasury within the ALM process and interest rate risk management
• Outline the objectives of the ALCO
• Describe how recent regulatory changes impact on the balance sheet
• Describe the importance of Liquidity management
• Explain the impact of regulation on OTC derivatives markets
• Explain EMIR requirements regarding reporting and clearing
• Describe the standards imposed by MiFID 2

Methodology

The course will consist of a mixture of instructor led teaching sessions and practical exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Day 1

Session 1 Asset and Liability Management

• The Role of an ALM Committee
• The goals and objectives of ALM
• Current Trends in Balance Sheet Management
• How an institution manages the overall process

Session 2 Banking Services and the Balance Sheet

• The balance sheet structure and Interest Rate Risk management
• IRR manifestation and IRR management
• Profit allocation and transfer pricing
• What affects Net Interest Income
• Profit centre management
• Bank specific factors
• Gap management
• Income simulation

Session 3 Value Creation and the Balance Sheet

• Earnings volatility analysis
• Sensitivity of Shareholder Value
• Approach to Earnings at Risk
• Earnings simulations
• Economic Value of Equity
• RAROC

Session 4 Liquidity in ALM

• Business priorities
• Liquidity Management
• Intra Day Liquidity
• Analyzing Asset quality
• Northern Rock lessons - so what happened?
• The goals of ALCO management
• Key actions and implementations

Day 2

Session 1 Summary of Basel III and impact on Trading Book

• Stressed VAR
• Long Term Incremental Risk Charge
• Wrong Way Risk
• Credit Value Adjustment
• Collateralisation and Margining
• Liquidity Coverage Ratio
• Net Stable Funding Requirement
• Quality and Quantity of Capital

Session 2 Counterparty Credit Risk in OTC Derivatives

• Credit Valuation Adjustment concept
• Measures of Counterparty Credit Exposure
• Calculating CVA in a Swap portfolio
• Bilateral CVA
• Centralising CVA management


Session 3 EMIR and MiFID 2

• EMIR trade reporting and clearing requirements
• Classification issues
• Risk mitigation measures for non cleared trades
• MiFID 2 objectives
• Exemption changes
• Trading venues

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Fixed Income Trading Strategies

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Aims

This one day course provides participants with a practical understanding of a number of Fixed Income trading strategies, explaining the rationale for each trade and how each is executed. Examples are drawn from both the Bond and Interest Rate Swap markets

Objectives

By the end of the seminar, participants will be able to

• Construct and evaluate a basic static roll and carry trade
• Use Relative Value information to make cheap / rich decisions
• Structure steepener / flattener trades
• Construct Butterfly trades using a variety of different weightings
• Evaluate Credit Spread opportunities
• Effectively finance a Fixed Income trading position

Methodology

The programme is instructor led and key learning points are reinforced using spreadsheet examples and short exercises. The final session is an interactive trading simulation which allows the participant to apply their understanding to a market environment.

Agenda 

The programme has been designed around a full day format from 9.00am to 17.00pm

Session 1 Roll and Carry – value down a static curve

• Intuition behind forward rates
• Positive and negative roll over a holding period
• Carry and break even forward price / yield

Session 2 Cheap / Rich analysis on the zero curve

• Creating a zero coupon curve
• Valuing Fixed Income cash flows
• Cheap / rich versus YTM
• Z Spread anlysis

Session 3 Yield Curve Views

• Constructing DV01 neutral steepener / flattener trades
• Curve concavity – Butterflies
• Weighting approaches – DV01, 50 / 50, Wing Neutral etc
• Financing bond positions vis repo

Session 4 Trading Simulation

• Interactive trading session designed to apply understanding

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Introduction to the City

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Aims

This one day programme aims to equip staff with a practical understanding of the role, structure and activities of banking institutions within the City. The programme will be applicable to anyone who wishes to improve their high level understanding of financial market organisations and of the asset classes traded.

Objectives

• By the end of the programme, participants will be able to:
• Describe the business activities undertaken by Investment, Commercial and Universal banks
• Explain the functional and product responsibilities of the various departments within such an organisation
• Discuss the main asset classes traded by these institutions
• Highlight contemporary issues relating to business developments within these institutions

Methodology

The programme is instructor led. Participant understanding is confirmed by case study exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Session 1 Understanding the City

• Money Markets, Capital Markets, Commodity Markets – what is the purpose of each sector?
• Investment, Universal and Commercial banks – what are their business lines / risks?
• Understanding the language of the markets – a review of Financial Times reports

Session 2 High Level Overview of key Asset Classes 1

• Money Markets and Foreign Exchange
• Fundamental products and market operation
• Key issues facing the short term markets

Session 3 High Level Overview of key Asset Classes 2

• The Capital Markets - Bonds and Equities
• Product overview and role of Investment Banks in long term finance
• Risks and tools to manage risk

Session 4 Regulation and the impact on client infrastructure

• Key regulatory milestones (Basel 1-3)
• Impact of regulation on business lines and exposure
• Contemporary issues: Capital quality and quantity, liquidity etc
• EMIR
• MiFID 2

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APRM Certificate

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Aims

This four day classroom programme aims to equip participants with the knowledge and exam skills necessary to sit the Associate PRM exam.

There is no pre-requisite prior reading of the course set material and as such the programme provides a “taught course” solution to understanding the syllabus content.

Objectives

By the end of the programme, participants will be able to

• Articulate the risk management concepts outlined in the syllabus
• Relate the material to real world case study examples
• Discuss risk management issues knowledgeably
• Apply their understanding in a mock exam

Methodology

The programme is instructor led and key learning points are reinforced using short exercises. The classroom training covers the material contained in “The Essentials of Risk Management” set text, together with the various PRMIA additional reference sources.

The full syllabus content can be seen in the attached Associate PRM Candidate Guidebook

Day 1

Session 1 Risk Management and Return

-Defining financial risk
-Role and terminology of risk management
-Sources of risk
-The risk / reward trade off
-Adjusted versus non adjusted returns
-The risk management process and implementation
-The concept of hedge accounting
-Portfolio theory, diversification and efficient frontier
-Option fundamentals

Session 2 Governance and PRMIA Standards
-Governance and the role of Directors
-Example of financial risk management structure
-Risk Policy
-Role of external parties
-PRMIA Governance Principles
-PRMIA Standards of Best Practice

Session 3 An Introduction to the Financial Markets

Overview of:

-Money Markets
-FX Markets
-Bond Markets
-Futures Markets
-Stock Markets
-Commodity Markets
-Energy Markets

 

Day 2

Session 1 Interest Rate Risk and Hedging

-The yield curve
-Bond pricing
-Duration and convexity
-Interest rate risk in single positions and in portfolio
-Concept of swaps, options, caps/floors etc
-Description of exotic options
-Concept of financial engineering

Session 2 Market Risk Management and ALM

-Risk factors and Greeks
-Market risk limits
-VAR
-VAR applications and limitations
-Stress testing and scenarios
-ALM and the ALCO
-Gap analysis
-Liquidity Risk
-Funds Transfer Pricing 

Session 3 Retail Credit Risk Management

-Retail credit risk
-Credit Scoring
-Default rates and loss given default
-Pricing credit risk
-Securitization

Day 3

Session 1 Commercial Credit Risk Management

-Ratings Agencies and credit ratings
-Credit Migration
-Measures of loan risk
-Loss and loss give default
-Counterparty credit risk in derivatives
-Overview of credit models (KMV, CreditMetrics)
-Portfolio credit risk
-Managing credit risk with credit derivatives

Session 2 Operational Risk Management

-What is operational risk
-Measuring operational risk
-Key risk indicators and drivers
-Analysing operational risk
-Operational risk transfer

Session 3 Performance Measurement

-Risk capital
-Economic versus regulatory capital
-RAROC etc
-Allocating risk

Day 4

Session 1 Case Studies

Case study review of market, credit and operational risk

-Continental Illinois
-MG
-Orange County
-Riggs National
-LTCM
-BG Berlin
-Credit Lyonnais
-NAB
-Barings
-Worldcom
-Banker’s Trust
-Daiwa
-G30 Report

Session 2 Review and Revision

Recap of key learning points

Session 3 Mock Exam and Debrief

A 3 hour mock paper with 90 questions

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Structured Products and Exotics

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Aims

This two day seminar aims to provide participants with a practical understating of creating, pricing and risk managing a range of structured products.

Objectives

By the end of the programme, participants will be able to

• Explain the payoffs of a range of structured products
• Price and value the products
• Combine vanilla components to hedge and risk manage the products

Methodology

The programme is instructor led and key learning points are reinforced using spreadsheet examples and short exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Day 1

Session 1 Fixed Income Products – the vehicle into which the structure is embedded

• Bond pricing and Fixed Income maths recap including Forward Rates
• Bond dynamics and sensitivity
• Convex and Linear Payoff Structures
• Equity Redemption Linked products

Session 2 Case Study

Participants structure and hedge a range of highly geared (static hedged non option based) Redemption Linked Note using the techniques described

Session 3 Swap Structures – the vehicle for transforming cashflows

• The valuation of swap cashflows
• Present value using Zero Coupon and Forward Rates
• The Equity Swap: pricing a Stock Index / LIBOR structure
• Variations on Equity Swaps

Session 4 Case Study

Participant’s structure and price an Equity Swap to embed into a MTN structure

Day 2

Session 1 Option Structures – the vehicle used to provide upside benefit and protection

• Pricing vanilla options using a binomial model
• Pricing using Monte Carlo Simulation
• Demonstration of MCS valuation versus analytical routes

Session 2 Case Study

Delegates apply the techniques to valuing an Equity Convertible structure, including issuer call features

Session 3 The non – vanilla options used in Structured Products

• Payoff and pricing of the main components
• Digital
• Barrier
• Average
• Lookback
• Spread
• Options to Exchange
• Basket
• Quanto
• Etc

Session 4 Profile Replication

• Replicating simple Binaries
• Replicating simple Barriers
• Replicating complex Barriers

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Repo and Securities Lending

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Aims

This seminar aims to provide participants with a practical understating of the Repurchase and Security Lending markets.

Objectives

By the end of the programme, participants will be able to

• Describe the key features of All In Repo transactions
• Price and revalue repo transactions
• Calculate price and value under Sell / Buybacks
• Explain the key clauses of the GMRA and Annexes
• Differentiate between Repo and Security Lending transactions
• Calculate flows under security lending

Methodology

The programme is instructor led and key learning points are reinforced using spreadsheet examples and short exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Session 1 Understanding the Repo Product and Variations

• Objectives of Repo: Cash borrowing / lending vs Securities driven transactions
• Mechanics and Terminology of Classic / All In Repo
• Collateral Types
• Repo Rate drivers and pricing considerations
• Haircut and Mark to Market calculations (re - margin and close out and extend examples; cash vs securities margins)
• Handling Collateral Substitution and Out of Currency Repo

Session 2 Variations on the Repo theme

• Sell / Buy Back
• Cashflow implications and Mechanics
• Legislation reasons why Sell / Buy Back exists
• Triparty Repo
• Objectives of Triparty Repo
• Role and Responsibilities of Custodian
• Central Counterparty Clearing (CCP)
• Objectives and Operation of CCP
• Collateral Nomination considerations

Session 3 Securities Lending
• Securities Lending
• Comparison to Repo Transactions
• Why Securities Lending?
• Cash flow, fees and timings under security lending
• Collateral considerations

Session 4 The Legal and Risk Control Framework

• Summarising the risks
• History of market events (Drysdale, Lombard Wall, etc) and the need for documentation

The GMRA and GMSLA

• Applicability and Definitions
• Initiation and Confirmation
• Margins
• Coupon Payments
• Substitution of Collateral
• Representations
• Default Events
• Annexes

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Futures

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Aims

This seminar aims to provide participants with a practical understating of the Futures markets and to raise awareness of specific issues that determine the operation of a range of Futures asset classes.

Objectives

By the end of the programme, participants will be able to

• Describe the key differences between OTC and Futures markets
• Calculate fair Futures prices for a range of asset classes
• Explain contract time cycles for those asset classes
• Demonstrate the application of contracts in specific asset classes
• Explain the logistics of Futures trading

Methodology

The programme is instructor led and key learning points are reinforced using spreadsheet examples and short exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Session 1 Short Term Interest Rate Futures

• Futures versus OTC Forwards: similarities and differences
• Role of Exchange and Clearing House
• Contract specs and pricing: cash / future relationship eg 3 month Euribor contract
• Initial and Variation Margin
• Differential settlement and cash / Futures convergence
• Contract timeline (last trading day, final settlement etc)
• Use as an interest rate hedge or speculative tool

Session 2 Bond Futures

• Pricing Bond Futures eg Bund, T Bond
• CTD and the Implied Repo Rate
• Cash and Carry
• Conversion Factors and physical delivery
• Cash / Futures Basis

Session 3 Commodity and Energy Futures

• Establishing delivery standards eg Cocoa (quality, location, units etc)
• Settlement adjustment and delivered quality
• Exchange for Physical etc
• Intra curve spreads, inter curve spreads, product spreads (eg Crack Spread)


Session 4 Equity Futures – Single Stock and Index

• Pricing eg S and P 500
• Physical and cash differential settlement
• Price limits and circuit breakers
• Index arbitrage

Session 5 Trading Logistics

• SPAN Margining and initial margin calculation / acceptable collateral
• Pit vs Platform (eg Globex): Sessions, market states, order entry and order types
• Clearing practices
• Interpreting Volume and Open Interest
• Market regulation and control

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Yield Curve Construction and Derivative Valuation

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Aims

To explain the techniques of yield curve construction and derivative valuation

Objectives

By the end of the seminar the participant will be able to:

• Derive short term curves from cash, Futures and FRA inputs
• Understand convexity adjustments between linear and convex products
• Construct a bootstrapped zero coupon curve
• Discuss the impact of using one set of discount factors for projection and PV
• Explain curve fitting methods
• Calculate the price / mark to market of a generic interest rate swap using a zero coupon technique
• Explain the impact of Liquidity on Basis Swaps and their effect on floating tenor valuations
• Use OIS discounting to value swaps that are daily margined or collateralised
• Demonstrate pricing under CVA for OTC products

Methodology

The course will consist of a mixture of instructor led teaching sessions and practical exercises.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm

Session 1 Yield Curve Construction

• Building a short term Yield Curve using cash, FRAs / Futures
• Medium term curve construction using Zero Coupon
• Convexity adjustments
• Demonstration of interpolation methods ( polynomial, spline etc)
• Discount Factors

Session 2 IRS Valuation

• Pricing vanilla IRS
• MTM of IRS
• IRS sensitivities – Duration, DV01, Convexity
• Pricing swap structures

Session 3 Valuation Issues since the Credit Crunch

• Basis Swaps – why IRS of different floating tenors price differently
• Credit Risk – pricing in a CVA
• Impact of collateralization on IRS valuation
• Swaps via CCP and OIS discounting

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ACI Dealing Certificate

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Aims

This five day programme is designed for participants who are planning to sit the ACI Dealing Certificate examination.

Objectives

By the end of the programme, participants will be able to answer multiple choice questions that are representative of both the content and format of the exam.

Methodology

The course will consist of a mixture of instructor led teaching sessions and practical exercises. Participants will have the opportunity to attempt examination style questions at each point in the syllabus, so as to become familiar with both the style and complexity of typical ACI Dealing Certificate questions.

Agenda

The programme has been designed around a full day format from 9.00am to 17.00pm.

Day 1

Session 1: Basic Interest Rate Calculations

By the end of this session, participants will be able to:

• calculate simple interest rates on different day bases

• demonstrate the principles of time value of money, present & future value, discounting & compounding

• calculate broken dates through interpolation

• explain the difference between money market basis and bond market basis

• calculate the yield on money market instruments on both a true yield and discount to yield basis

• construct a yield curve and explain the possible causes of its shape

• manipulate core formulae correctly

Session 2: Money Market Products

By the end of this session, participants will be able to:

• explain the main features of a broad range of money market products, e.g. cash deposits, treasury bills etc

• calculate the yields on key instruments

• explain the rationale for differing returns from differing products

• list the advantages and disadvantages of the products

• explain the interrelationship between the products

• list the different types of repos

• explain the terminology of the repo market, why they are used, and the main characteristics of repos


Day 2

Session 3: The Spot Foreign Exchange Market and the Role of Settlements

At the end of this session, candidates will be able to:

• identify main markets, their size and location

• interpret market practices successfully

• explain the difference between base currencies and quoted currencies

• calculate and use spot rates as market maker and market taker

• calculate cross rates correctly

• identify the mechanics and methods of trading

• identify the mechanics of market making

• explain the importance of liquidity

• explain the need for separation of dealing function from settlement function

• explain the use of Nostro accounts and reconciliation

• describe the workflow of a typical transaction and state the responsibilities of the back office

• calculate settlement amounts correctly

• explain the role of spot and interest rate differentials and the concept of arbitrage

• list the features of an FX outright and FX swap

• describe the derivation of forward rates using the basic equation for calculating points

• calculate broken dates through interpolation

• calculate complex rates such as forward crosses and forward broken dates

• explain the role of FX outrights and FX swaps in the money markets

• explain the use of FX outrights and FX swaps to hedge outright forwards and to create synthetic asset and liabilities

• Explain Time Options and NDFs

Day 3

Session 4: Forward Interest Rates, FRAs, Futures and Swaps

By the end of this session, participants will be able to:

• explain the derivation of forward/forward interest rates

• explain Forward Rate Agreements (FRAs)

• calculate FRA settlement amounts

• explain using FRAs to hedge

• explain Futures operations, pricing and terminology

• describe and explain the use of short term interest rate futures in hedging

• Explain Money Market swaps (OIS), their use and conventions

Session 5: Options

By the end of this session, participants will be able to:

• explain option terminology and payoff profiles

• list the features and benefits of option use in hedging

• explain the nature of risk in option - the nature of the ‘Greeks’

• explain delta hedging

• describe the trading strategies in the options markets

Day 4

Session 6: The Principles of ALM

At the end of this session, candidates will be able to:

• identify the objectives of ALM

• describe the ALM structure and function

• explain techniques of ALM

• describe the regulatory impact on the evolution of ALM

• understand capital, risk and measures of return

Session 7: The Principles of Risk

At the end of this session, candidates will be able to:

• identify price risk in currency and interest rates

• explain the difference between transaction, translation and economic risk

• explain counterparty, delivery and related risks

• describe a limit structure, and how it works

• describe techniques for measuring and controlling credit risk

• Asses operational risk

• describe current regulatory requirements regarding liquidity and funding

Session 8: The Model Code

By the end of this session, participants will be able to:

• explain the purpose of the Model Code, and its application within the industry

• list the general principles of professional conduct

• explain market terminology

• explain the procedures for disputes 

Day 5


Session 9: Completion of Outstanding Topics and Revision

Session 10: Full Mock Exam

Session 11: Exam debrief

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