Money Markets Masterclass

This course is an introduction to short term money market instruments and short term interest rate transactions.

Participants will learn how to calculate forward rates, apply day count conventions and calculate accrued interest. Learners will also evaluate and be prepared for the changes in risk-free reference rates and markets.

Suitability

This course is suitable for anyone new to Foreign Exchange Markets.

Learning Outcomes

Define money markets
Identify money market instruments
Understand the scope and remit of this Ability+ series
Define a T-Bill
Appreciate the scale of US T-Bill issuance
Look at the return on your investment
Specify T Bill discount and yield formulas
Calculate these rates
Examine the TED spread
Define commercial paper
Explain the uses and differences between CP and asset backed CP
Describe the features of a certificate of deposit.
Define IBOR and LIBOR
Recognise the need for floating rates
Evaluate the LIBOR methodologies
Describe what the market wants from the new RFRs
Examine the major currency RFRs
Evaluate LIBOR and RFR differences
State the LIBOR cessation agenda
Understand the practical problems of LIBOR Replacement
Review the fallback methodology
Recognise the function of day counts in calculating interest
Review the different day count conventions
Understand the concept of a forward rate
Summarise the details and cash flow of a forward rate agreement
How to calculate an FRA settlement
Define a short-term interest rate future
Understand contract terminology
Calculate settlement on future expiry
Evaluate a theoretical fair price for an interest rate future
Describe the features of a futures strip and accompanying data
Review some trading venues and methods
Explain the role of the exchange as the CCP
Evaluate initial and variation margin
Describe the process in the case of a counterparty default
Compare FRA and Futures P&L at settlement
Understand the concept of convexity
Calculate P&L outcomes to support this
Define future options
Define caps and floors
Evaluate the similarities and differences between the two
Define a Repo – repurchase agreement
Examine the reasons to use a repo transaction
Evaluate shorting a bond via a repo trade
Examine the particulars of a repo transaction on an example bond
Analyse repo transaction on Bloomberg
Calculate the advanced cash amount
Calculate the repo interest
Examine the full cash flows
Describe the types of collateral used
Summarise what we have looked at in this series
Examine the importance of liquidity in money markets
Look at money market funds

Course Content

Unit 1 – Introduction To Money Markets

Unit 2 – T-Bills Introduction

Unit 3 – T-Bill Interest Calculations

Unit 4 – Commercial Paper And CDs

Unit 5 – IBORs

Unit 6 – Risk Free Rates

Unit 7 – New RFR Implementation

Unit 8 – Day Counts

Unit 9 – Forward Rate Agreements

Unit 10 – Interest Rate Futures

Unit 11 – Interest Rate Futures Pricing And Venues

Unit 12 – CCPs And Futures Margin

Unit 13 – Forwards And Convexity

Unit 14 – Options On Short Term Interest Rates

Unit 15 – Repo – Introduction

Unit 16 – Repo Cash Calculation

Unit 17 – Repo Cash Flow

Unit 18 – Money Market Liquidity And MM Funds

This Course Includes

Learn: 18 micro-learning on-demand videos
Check: 18 knowledge checks to validate understanding
Apply: 18 hands-on practical exercises and projects
Requirements: Access to a computer with an internet connection
Accessibility: Access on PC, mobile or TV
Certification: Certificate of completion with CPD record

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