Overview

This eCourse consists of three modules. Module 1 discusses the main money market futures contracts such as LIBOR and SOFR futures, the main uses of these instruments, and the need for convexity adjustments when using rate information sourced from money market futures.

Module 2 covers repurchase agreement (or repo), which is a money market instrument whereby a borrower sells securities (or some other asset) to another party at a fixed price and agrees to repurchase the securities at an agreed future date and dirty price. Repos are a form of collateralized borrowing. This module shows how the repo process works, how repo interest is calculated, and how haircuts and margins are applied to these transactions.

Module 3 is a scenario that is based on discussions by three money market professionals attending a conference on their field of expertise. The main topic of discussion is the impact of regulatory changes on money market funds and repos.

Objective

On completion of this course, you will be able to:
- Identify key money market futures such as LIBOR and SOFR contracts
- Recall SOFR contract specifications and the calculation of the settlement rate
- Recognise the main uses of money market futures, such as hedging repos, replicating swaps and bonds, trading the collateralization spread, and transacting packs and bundles
- Identify the importance of convexity and convexity adjustments with regard to money market futures
- Define a repurchase transaction and its key features
- Calculate repo interest, haircuts, and margins
- List the key variants of standard repurchase transactions
- Recognise trading strategies involving repos, such as shorting bonds and trading bond price anomalies
- Recall the main clearing and settlement processes with repos

Content

Module 1: Money Market Futures
Topic 1: Key Money Market Futures
Topic 2: SOFR Futures
Topic 3: Applications of Money Market Futures
Topic 4: Convexity

Module 2: Repos
Topic 1: Overview of Repos
Topic 2: Repo Interest, Haircuts, & Margin
Topic 3: Repo Variations
Topic 4: Trading Strategies
Topic 5: Repo Clearing

Module 3: Money Markets - Scenario