Money Markets - Part 4 (2019)

Money Markets - Part 4 (2019)

Updated

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 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 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
- Recognize 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 different types of repo collateral and variants of standard repurchase transactions

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

Module 3: Money Market Trading – Scenario

Details

Code
TEPFD19004201
Venue
ePlatform
Language
English
Level
Intermediate
Hours
SFC:2.50, PWMA:2.50
Fees
All Member: HK$725
Staff of Corporate Member: HK$725
Non-Member: HK$1025