Weekday batch dates

• Course days: 3 days (November 12, 17 and 22 2021)
• Course start time: 10:30 IST/ 05:00 GMT/ 09:00 UAE/ 08:00 KSA/ 13:00 Singapore
• Duration for each day: 4 hours

Weekend batch dates

• Course days: 3 days (November 13, 20 and 27 2021)
• Course start time: 10:30 IST/ 05:00 GMT/ 09:00 UAE/ 08:00 KSA/ 13:00 Singapore
• Duration for each day: 4 hours

Who is this course meant for?

• Insurance professionals in finance/ risk/ actuarial roles
• Internal audit and governance teams
• Individuals seeking to build a career in insurance

Pre-requisites for this course

- Basic knowledge of government securities
- General awareness of derivatives
- Experience of building macros in spreadsheets

Training coverage

Source and impact of interest rate risk

Coverage aspects:
− Source and impact of interest rate risk
− Maturity in determining cash flows to cover in the hedging program
− Objective of interest risk management program

Learning outcome:
− Understanding cashflows and yield expectation
− Understanding levers for interest rate risk program

Derivative instruments and their life cycle

Coverage aspects:
− Review concept for pricing derivative instruments
− Develop models to price these derivative instruments
− Points of interaction with counterparty
− Practical impediments and boundaries while entering into these derivative contracts
− Review term-sheet and understand parameters that affect the insurance companies
− Margin management and what would introduction of collateral other than cash would mean

Learning outcome:
− Understanding derivative lifecycle
- Get a hang-on how Day 0 P/L is computed and how it varies based on yield movement
- Differentiate between different terms used in the term sheet

Regulations

Coverage aspects:
− Learn the structure of regulatory limits and limit breakdown to be followed while taking derivatives
− Learn reporting schema and possible explanation of each information provided to the regulator
− Difference between clean vs dirty notional and what is preferred?
− Senior management reporting and board packs to be provided on an ongoing basis

Learning outcome:
− Understanding regulatory requirements emanating from IRDAI, RBI and SEBI regulations
− Learning practical expedients for following these regulations

Derivative valuation and risk measures for risk management

Coverage aspects:
− Construct models for valuation of derivative instruments from base market data
− Learn how exchange and counterparty undertake valuations
− Learn how to undertake stress testing and benefit in managing solvency and other parameters
− Develop VaR models and utilize them to manage fund liquidity in expected and unexpected situations
− Learn how to interpret and report these numbers on an ongoing basis

Learning outcome:
− Understanding concepts used for any valuation model with details on day-count and other convention
− Learn risk measures, sensitivities and their benefits

Hedge accounting and effectiveness testing

Coverage aspects:
− Terminologies; hedging instrument, hedged item, effective portion, ineffective portion and hedging relationship
− Accounting treatment through the hedging lifecycle as prescribed in the accounting standards
− Incremental vs Cumulative Accounting
− Accounting schema to be followed in case of margin and IOM accounting
− Accounting under scenarios where cashflows are not highly probable or ineffective hedge
− Derivative Asset / Liability, OCI and P/L reconciliation in case of FRA and computing total potential loss on the deal
− Understanding the three methods of hedge effectiveness testing through numerical examples

Learning outcome:
− How does derivative P/L work in case of in-the-money, at-the-money and out-of-the-money
− How is Day 0 loss lead to ineffective potion during the life of the derivative
- Understanding the overall P/L hit for the entire derivative contract