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.


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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