NISM INTEREST RATE DERIVATIVES
I. Fixed-income or Debt Securities – Introduction
Financial Markets: Overview
Debt/ Fixed-income Securities : Introduction
Debt/ Fixed-income Securities : Classification
Fixed-income Securities vs. Fixed-return Securities
Debt Securities vs. Equity Securities
Relative Size of Debt and Equity Markets: Globally and in India
II. Interest Rate – Introduction
Concept of Interest Rate
Risk-free Interest Rate vs. Risky Rate
Term Structure of Rates: Shapes
Term Structure of Rates: Shifts
Conversion of Rate into Amount
Accrued Interest
III. Return and Risk Measures for Debt Securities
Return Measure: Spot Rate
Coupon, Current Yield and Yield-To-Maturity
Spot rate, Bond price and YTM
Risk Measures
IV. Interest Rate Derivatives
Derivatives: Definition and Economic Role
Interest Rate Derivatives
Over-The-Counter (OTC) vs. Exchange-Traded Derivatives
Derivatives Market in India
V. Contract Specification for Interest Rate Derivatives
Underlying Assets of Permissible Interest Rate Derivative Contracts in India
Market Lot / Contract Amount
Contract Months, Expiry Dates and Last Trading Day of Exchange Traded Derivatives
Price Quotation and Tick
Daily Settlement Price
Final Settlement Price
Delivery Aspects of Interest Rate Derivatives Contracts
VI. Trading, Clearing, Settlement and Risk Management
Operational Guidelines of Exchanges
Order Types and Execution
Spread Orders
Margining and Mark-To-Market (MTM)
Clearing and Settlement
Procedure for Delivery
VII. Regulations and compliance
Role of Various Regulators in Bond and Interest Rate Derivatives Market
Restrictions and Limits Applicable to Resident and Non-resident Investors
List the Regulatory Reporting Requirements
Accounting Aspects of Interest Rate Derivatives
VIII. Trading and Hedging
Speculative / Trading Strategies
Hedging Strategies
Basis Risk, Yield Curve Spread Risk and Market Liquidity Risk