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