Overview

This eCourse consists of three modules. Module 1 provides an overview of the major money market futures exchanges and contracts. It looks at how future contracts are used and focus on how market participants use short-term interest futures for hedging.

Module 2 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 where you will observe a bank money market trader as he absorbs cash flows into his positions and squares them while attempting to preserve profitability. At various intervals, you will be asked to apply your knowledge and step into the trader’s shoes as he makes decisions and undertakes transactions while interacting with both clients and colleagues.

Objective

On completion of this tutorial, you will be able to:
- Outline the fundamental structure of the main money market futures exchanges and contracts
- Identify how money market futures are used to meet various requirements
- Hedge a swap position using a money market futures contract
- Define a repurchase transaction and its key features
- Calculate repo interest, haircuts and margins
- List the different types of repo collateral and variants of standard repurchase transactions

Content

Module 1: Money Market Futures
Topic 1: Money Market Futures Exchanges & Contracts
Topic 2: Using Money Market Futures
Topic 3: Hedging with Money Market Futures

Module 2: Repurchase Agreements (Repos)
Topic 1: Features of Repos
Topic 2: Repo Calculations
Topic 3: Repo Variations & Collateral Types

Module 3: Scenario – A Day in the Life of a Money Market Trader