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ACI FMA - Financial Markets Association

ACI Financial Markets Association is a leading global trade association representing the interests of the professional financial markets community. Established in 1955, ACI is focused on enhancing best market practices and supporting market participants to adhere to principles of ethical conduct. The ACI Model Code was acknowledged as the first industry-wide Code of Conduct for OTC/FX and related markets having been built on the original ACI Codes of Conduct from the 1970s. Updated subsequently to embrace the broader OTC community - and expanded from the dealing floor through to back-office operations - the ACI Model Code strongly influenced many national Codes of Conduct and was retired in 2017 with the publication of the FX Global Code, the composition of which ACI participated in, along with various other Code of Conduct initiatives.

Course Overview

The ACI Diploma New Version builds on the ACI Dealing Certificate and the ACI Operations Certificate, being designed to ensure that candidates acquire a superior theoretical and practical knowledge of the foreign exchange and money markets, their related instruments, environment and applications, and the linkages that exist between those markets and the practice of risk management. Candidates are expected to have acquired a solid grounding in the core subject areas and have the requisite skills in financial mathematics prior to matriculating for the ACI Diploma New Version.

Karim ShawkiCountry Sales Manager
Customized Corporate Training
We are the 'go-to' experts when it comes to customizing financial training programs. While adhering to the set rules and regulations, we do not interrupt your day-to-day business activities and work with cooperative flexibility to fit the immersing workflow.

Learning Outcome

Increase candidate opportunities nationally and internationally with a global qualification

Fulfil the requirements established by financial services authorities for regulated activities

Learn a global standard and a skill set which is unique in treasury

Enable your organization to successfully pass risk assessments conducted by regulators

Course Outline

  • At the end of this topic, candidates will be able to:
  • Outline the roles of the IMF, the BIS and the OECD
  • Distinguish between fixed and floating rate regimes, recognise the graduated nature of floating regimes, and explain the basic economic rationale for each type of regime
  • Distinguish between sterilised and unsterilised currency intervention
  • Explain why and how central banks intervene in the foreign exchange market and in their domestic money market, and understand their targets of monetary policy
  • Outline the main factors affecting money market liquidity
  • List the main tools of central bank money market intervention
  • Explain the purpose of reserve requirements
  • Explain the purpose of exchange controls
  • Understand fundamental analysis
  • Outline the main items in the balance of payments
  • Outline the main items in the national income accounts
  • Explain the links between the balance of payments and national income accounts
  • Identify the economic and financial indicators that are proxies for the main items in the national income accounts and explain the connection

  • At the end of this topic, candidates will be able to:
  • Explain the conventions for fixing the spot rate in both matched and mismatched principal FX swaps and describe the cost or benefit of different choices to the counterparties
  • Analyse the impact of a change in the spot rate on an FX swap
  • Describe how interest is managed in matched-principal FX swaps
  • Calculate the cost of borrowing or lending through FX swaps and identify interest arbitrage opportunities
  • Describe how to roll over a spot FX position with tom/next FX swaps; calculate the profit or loss, and identify the risks involved
  • Roll-over a forward FX position at a historic rate
  • Extend or reduce the term of an outright forward FX using FX swaps
  • Describe forward-forward FX swaps, explain the strategies underlying their use and calculate profits or losses
  • Calculate both sides of the theoretical swap points from a two-way spot and the bid and offered interest rates
  • Calculate a FX cross-rate swap
  • Calculate a FX swap over today and over tom
  • Calculate the spot-risk hedge necessary for a forward FX position
  • Outline the construction of FRAs and calculate synthetic FRAs using forward-forward FX swaps
  • Outline the hedging of a forward-forward position using FRAs and/or futures
  • Define an NDF and explain its rationale
  • Describe the structure and the features of NDFs as well as their pricing and valuation
  • Calculate the profit or loss on a spot FX position on T+1 for given revaluation rates
  • Calculate the profit or loss on an FX swap position for given revaluation rates
  • Calculate the profit or loss on an outright forward FX position at given revaluation rates

  • At the end of this topic, candidates will be able to:
  • Describe the principal comparative advantages and disadvantages of each of the main types of cash money market instruments for typical borrowers/issuers and lenders/investors
  • Distinguish capital markets from money markets, and debt capital markets from equity and credit (loan) capital markets, and understand how these markets are a source of financing, a home for investment and a tool for trading
  • Understand the features and conventions of CPs, CDs and T-Bills and perform the related calculations
  • Calculate the holding period yield between the purchase and the sale of a CD or a T-Bill
  • Explain the benefits of the programmed issuance of money market securities
  • Explain the principal reasons for the spreads between the yields on the different types of instruments
  • Distinguish and understand the credit ratings used by the main agencies for short-term instruments from longer-term ratings
  • Describe the precise specifications of the most commonly used overnight indexes (OI)
  • Distinguish domestic, foreign and eurobond markets
  • Understand and distinguish different bond types such as ABS and covered bonds, index-linked bonds, bonds with puts, calls, etc.
  • Explain the importance of government bond markets
  • Explain the impact of credit risk (and credit spreads) on bond prices and swap spreads
  • Understand bond quotations in both price and yield terms, including clean and dirty prices, and calculate the accrued interest and dirty price of a bond
  • Identify the day count, annual basis and compounding frequency conventions that apply to bond and swap markets in major currencies, and be able to convert among these conventions, and between bond and money market conventions
  • Understand bond quotes against benchmark yields, swaps, and on an asset-swap basis
  • Calculate the fair value of plain vanilla and zero-coupon bonds from yield-to-maturity, the fair value on non-coupon dates, as well as quarterly and semi-annual compounding frequencies
  • Explain the relationships between price, coupon, and yield on fixed-income instruments
  • Explain the interest rate risk profile of fixed-rate bonds and measure this risk on a plain vanilla bond by calculating its duration (on a coupon date)
  • Calculate the expected change in portfolio value for a given change in yield for a given modified duration
  • Understand the relationship between yield volatility and price volatility
  • Understand the concepts of and distinguish the relationship between (yield-to-maturity), (zero-coupon-yield) and (par-yield), and explain the shortcomings of yield-to-maturity as a measure of the rate of return and the assumptions underlying its use in bond quotations
  • Calculate a zero-coupon yield from a series of yields-to-maturity using the (bootstrapping) method and calculate a par yield from zero-coupon yields
  • Explain the main reasons why initial margin is taken in repo, define margin threshold and minimum transfer amounts
  • Calculate the start proceeds of a repo and explain the concept of the Margin Ratio in ICMA (formerly ISMA) repo documentation and a variety of collateral
  • Explain the purpose of margin maintenance and calculate the margin call on a repo
  • Describe the (early repayment risk and repricing) method used in sell/buy backs as an alternative to margining and calculate the payments or transfers due using this technique
  • Explain why counterparty risk is the primary concern in repo and understand the risks introduced by the usage of collateral
  • Describe the working of tri-party repo
  • Explain how rights of substitution work in repo
  • Explain the main reasons why collateral goes on special and calculate the implied securities lending fee for the repo rate on specials
  • Calculate the forward price of a sell/buy-back and recognize this as the forward price of the bond
  • Define an (open) repo, (repo-to-maturity) and (forward) repo
  • Explain how to construct a synthetic repo and recognize the difference in price levels between real and synthetic repos
  • Calculate the break-even on a forward interest rate position partly derived from forward interest rate arbitrage using a US T-Bill
  • Convert from the discount rate to the true yield

  • At the end of this topic, candidates will be able to:
  • Understand the logic underlying the Black-Scholes theory
  • Outline some of the alternative pricing models available, including the binomial theorem for major underlying asset classes (Cox-Ross-Rubinstein, Monte Carlo, etc.)
  • Define volatility as it is commonly understood in the context of options (i.e., standard deviation) and distinguish between historic and implied volatility
  • Calculate the standard deviation of returns on a given underlying for a specific period
  • Calculate the break-even price of an option
  • Define a time option and price one from outright forward rates
  • Identify the value of the underlying from the prices quoted for puts and calls at different strike prices
  • Identify the intrinsic value of an option from the prices quoted for puts and calls at different strike prices
  • Explain the skew of implied volatility
  • Define put/call parity, and use it to construct synthetic cash, forward, and options positions
  • Explain delta and gamma hedging, and calculate delta hedges for plain vanilla options
  • Explain the interaction of gamma and theta over the life of an option
  • Describe the behavior of the delta and gamma of in-the-money, out-of-the-money, and at-the-money plain vanilla and barrier options, when the price of the underlying moves
  • Estimate the net delta and vega of a simple options portfolio
  • Explain how changes in the spot or forward price of the underlying, the time to expiry of an option, interest rates, and volatility impact the value of an option
  • Explain the structure and purpose of straddles, strangles, butterflies, bull and bear call and put spreads, as well as risk reversals
  • Define and explain caps, floors, collars, as well as swaptions
  • Describe the structure and purpose of the following exotic options: knock-in and knock-out, range binary, touch, digital, and compound options
  • Define a forward curve and explain the relationship between forward curves and the extrapolated yields curve
  • Calculate the exact cost of borrowing or return on lending that is hedged with an FRA
  • Define and calculate the three types of basis between money market futures prices and other rates
  • Explain how to compensate for the basis using the concept of convergence when hedging with futures
  • Define and calculate the bid and offer price of IMM FRAs and swaps from futures strips and explain how to use a strip of futures to price non-IMM periods
  • Calculate the hedging ratio on non-IMM periods hedged with futures using simple hedging techniques and the numbers of contracts needed
  • Define and calculate the hedge ratio for futures hedges, adjusting for mismatches between the underlying term of the contract and the term of the transaction being hedged
  • Outline the structure and purpose of strip and stack futures hedges
  • Outline the structure and purpose of calendar spreads and other common types of futures spread strategies, and calculate the profit or loss on such trades
  • Explain how to use futures spread trades to hedge the basis risk on futures hedges of non-IMM periods
  • Define and explain the usefulness of the volume and open interest statistics on a futures contract
  • Define and explain bond futures
  • Identify arbitrage opportunities between FRAs, money market futures, and money market swaps
  • Explain the purpose of the convexity bias between futures and OTC derivatives like FRAs and swaps
  • Describe how FRAs, futures, and swaps can be used to hedge and arbitrage against each other
  • Describe the applications of OIS in risk-taking, hedging, and arbitrage
  • Describe how OIS can be used to reduce market risk
  • Describe the advantages of OIS over traditional term swaps for risk management
  • Explain the characteristics of an interest rate swap (IRS) and of a cross-currency interest rate swap (CRS)
  • Carry out calculations on proceeds, valuation, pricing, and hedging of interest rate swaps (IRS) and cross-currency interest rate swaps (CRS)
  • Outline the features of forward swaps, amortizing swaps, and in arrears swaps
  • Outline the features of a credit default swap (CDS)

  • At the end of this topic, candidates will be able to:
  • Describe the exclusive roles of the front office, middle office (risk management function), and back office, and explain the need for the segregation of their duties
  • Describe the role of the ALCO
  • Describe the role of the credit committee
  • Describe the role of audits
  • Define risk capital, explain its role in covering unexpected losses, distinguish between economic and regulatory risk capital, and outline how capital is raised and re-invested
  • Explain the purpose of the Basel Committee and outline the architecture of the Basel II Accord
  • Explain the reason for the Market Risk Amendment originally released in 1996, modified in 1997, and revised in 2005 by the Basel Committee
  • Explain the purpose of the EU Capital Adequacy Directive (CAD) and understand the BIS / CEBS capital adequacy recommendations
  • Distinguish between parametric (statistical) and non-parametric measures of risk, and between the main non-parametric methods, and explain when each approach is appropriate
  • Define Value-at-Risk (VaR)
  • Explain the key assumptions in a VaR methodology (holding period, observation period, and confidence interval)
  • Explain the key assumptions underlying VaR (randomness, linearity, and normal market conditions)
  • Distinguish between undiversified and diversified VaR
  • Explain the roles of stress testing and back testing
  • Distinguish between payment netting, netting by novation, and close-out & set-off
  • Explain the working of a central clearing counterparty (CCP)

Who Should Attend

Senior foreign exchange and money market dealers Corporate and bank treasurers Senior operations personnel Risk managers  Regulators 

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Aya Mohamed

Financial Learning Advisor TL

  • 2025-05-31 Virtual,English