NISM-Series-IV: Interest Rate Derivatives Certification Examination

(NISM-Series-IV:IRD Examination)

Curriculum (with effect from August 21, 2013)

I. Fixed-income or Debt Securities – Introduction

A. Financial Markets: Overview

B. Debt/ Fixed-income Securities : Introduction

C. Debt/ Fixed-income Securities : Classification

D. Fixed-income Securities vs. Fixed-return Securities

E. Debt Securities vs. Equity Securities

F. Relative Size of Debt and Equity Markets: Globally and in India

II. Interest Rate – Introduction

A. Concept of Interest Rate

B. Risk-free Interest Rate vs. Risky Rate

C. Term Structure of Rates: Shapes

D. Term Structure of Rates: Shifts

E. Conversion of Rate into Amount

F. Accrued Interest

III. Return and Risk Measures for Debt Securities

A. Return Measure: Spot Rate

B. Coupon, Current Yield and Yield-To-Maturity

C. Spot rate, Bond price and YTM

D. Risk Measures

IV. Interest Rate Derivatives

A. Derivatives: Definition and Economic Role

B. Interest Rate Derivatives

C. Over-The-Counter (OTC) vs. Exchange-Traded Derivatives

D. Derivatives Market in India

V. Contract Specification for Interest Rate Derivatives

A. Underlying Assets of Permissible Interest Rate Derivative Contracts in India

B. Market Lot / Contract Amount

C. Contract Months, Expiry Dates and Last Trading Day of Exchange Traded Derivatives

D. Price Quotation and Tick

E. Daily Settlement Price

F. Final Settlement Price

G. Delivery Aspects of Interest Rate Derivatives Contracts

VI. Trading, Clearing, Settlement and Risk Management

A. Operational Guidelines of Exchanges

B. Order Types and Execution

C. Spread Orders

D. Margining and Mark-To-Market (MTM)

E. Clearing and Settlement

F. Procedure for Delivery

VII. Regulations and compliance

A. Role of Various Regulators in Bond and Interest Rate Derivatives Market

B. Restrictions and Limits Applicable to Resident and Non-resident Investors

C. List the Regulatory Reporting Requirements

D. Accounting Aspects of Interest Rate Derivatives

VIII. Trading and Hedging

A. Speculative / Trading Strategies

B. Hedging Strategies

C. Basis Risk, Yield Curve Spread Risk and Market Liquidity Risk

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