CMF© Syllabus

Economic Environment

• Role of the financial markets
• Role of money
• Economic policy
• Main economic indicators

Major trends and crises

• Major trends and volatility
• Financial crises

Main economic players

• Governments
• Central Banks
• Banks and Asset managers
• Households
• Corporates

Buy-side key players

• Definition
• Non-financial companies
• Retirement funds
• Insurers and mutual societies
• Asset managers

Sell-side : Organisation of a Corporate and Investment Bank (CIB)

• Overview
• Functions involving direct client contact
• Functions in direct contact with the markets
• Support functions

Fundamental Notions

• Asset classes
• Transaction dates
• Spot and forward
• On-balance sheet / Off-balance sheet
• Vanilla and exotic derivatives
• Structured products
• Discounting and yield to maturity

Exchanges

• How a stock market operates
• How a listed derivatives market operates
• Order management and different types of order

OTC Markets

• Main products traded over the counter (OTC)
• Size of the OTC markets
• How the main markets work
• Legal/administrative restrictions and regulations

Securities

• Primary, grey and secondary markets
• Corporate actions
• Securities market participants
• Investment funds
• Securities lending/borrowing

Options

• Profit and loss on options
• Put-call parity
• Factors influencing the value of options
• Managing an option portfolio – the Greeks
• Using options
• Option strategies
• Exotic options

Equity

• Ordinary shares
• Other types of shares
• Convertible bonds
• Stock market indices and the free-float factor
• ETFs
• The main equity derivatives
  • Futures, forwards and options
  • Warrants
  • Contracts for differences (CFD)
  • Equity swaps and dividend swaps
• Equity valuation

Money Market instruments

• Market participants
• Money market interest rate conventions
• Spot instruments
  • Unsecured loans
  • Repo market
  • Sell & Buy Back
  • Short-term securities
• Central bank transactions

Short Term Interest Rate Derivatives

• Foreign exchange swaps
• Forward/forward transactions
• Forward Rate Agreements (FRA)
• LIBOR Futures
• OIS (overnight index swaps)

Swaps and other interest rate derivatives

• Principle
• How an interest rate swap works
• How an interest rate swap is used
• How a swap is traded
• Related products
  • Cross currency interest rate swaps (CIRS)
  • Quanto swaps
  • Constant Maturity Swaps (CMS)
  • Swaps in arrears
  • Asset swaps
• Options on interest rate swaps (swaptions), caps and floors

Fixed Income

• Overview
• Non-standard issues
• Fixed-rate government bonds
• Futures on government bonds
• Bond valuation principles
• Interest rate risk
• Term structure of interest rates
• CMF Certificate®
• Syllabus

Credit Products

• Credit risk
  • Rating agencies
  • Default probabilities
  • Recovery rate
  • Credit spread
• Credit derivatives
  • Credit Default Swaps (CDS)
  • Total Return Swaps (TRS)
  • Credit indices
• Securitisation
  • General definition
  • Basic scenario
  • Types of securitisation
  • Correlation risk

Foreign Exchange

• Overview
• External value of currency
• Market participants
• General principles
• Forward exchange
• Foreign exchange swaps
• Foreign exchange options

Commodities

• Commodity markets
  • Soft commodities
  • Hard commodities
  • Emerging commodities
  • Carbon certificates
• Instruments
  • Futures contracts
  • Commodity swaps
  • Energy swaps
  • Commodity options
• Valuation of storable and non-storable commodity derivatives

Structured products

• Classification
• Structured product vehicles
• Example of a guaranteed product: Bull Note
• Example of a product offering an improved return: Reverse Convertible Bonds
• Auto-calls
• CPPI

Islamic Finance

• Principles and organisation
• Products
• Mudaraba
• Murabaha
• Salam
• Sukuk
• Bai al-Arbun

Introduction to interest rates

• Payment at the beginning or at the end of the period
• Simple and Compound interest

Day count factors & Business day conventions

Methodology for Pricing Non-Optional Interest Rate Derivatives

Calculating the Present Value of a Cash Flow

• Calculating the present value of a cash flow with maturity of up to one year
• Discounting beyond one year – zero-coupon approach
• Calculating the present value of a stream of cash flows: the yield-to-maturity

Calculating a Forward-Forward Rate and a Forward Exchange Rate

Valuation of Fixed Rate Bonds

• Clean price and accrued interest
• The yield-to-maturity model

Modified Duration and Duration of Bonds

• Interest rate risk: BPV/ PVBP / DV01
• Modified Duration
• Duration