ICM310-Bond and Money Markets

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Terms in which taught: Spring term module
Non-modular pre-requisites:
Modules excluded:
Module version for: 2017/8

Module Convenor: Mr Ivan Sangiorgi

Email: ivan.sangiorgi@icmacentre.ac.uk

Summary module description:

Bond and Money Markets explores the economic drivers and relationships between bond, money markets and central bank monetary policies. The module offers students the opportunity to gain an understanding of how these connections affect funding liquidity management, trading strategies and the challenges faced by practitioners as well as regulators/policy makers. The course also covers the overall functions, structure and operation of the money market.  


The main aims of the module are to provide the tools for understanding the functioning of money markets, their connection with bond markets and central bank interventions, the fundamental determinants of interest rate markets and the commonly used trading strategies. 

The lectures will provide: 1) the fundamentals of money markets and repos, 2) practical examples of current market situations and 3) identification of trading strategies.      

Assessable learning outcomes:

By the end of the module, it is expected that students will:

- Define the main aspects of the economic theories of the determination of money market rates and their interlinkages with bond markets and central bank monetary policy operations;

- Explain the role of collateral and repo markets;

- Evaluate economic situations to determine the likely implications for money market instruments;

- Explain trading strategies and the key features of funding liquidity management.


Additional outcomes:

The module aims to supplement quantitative skills with the knowledge of the economics of money markets necessary to design trading strategies and to manage funding liquidity.

The module also encourages the student to use Bloomberg for practical real-world examples.  


Outline content:

Lectures include:

1.     The economics of bond, money markets and interest rates.

2.     Money markets: alternative funding sources.

3.     Money markets: arithmetic, pricing and market conventions.

4.     The role of collateral and repo markets.

5.     Asset shortage, bond market liquidity and funding liquidity.

6.     Central bank monetary policy operations and quantitative easing.

7.     Central counterparty clearing (CCP) and shadow banking.

8.     The impact of regulation on funding liquidity management.

9.     Money market derivatives: trading strategies in bonds and money markets (guest lecture by industry expert).

10.  Foreign exchange markets: pricing and currency trading strategies.

Brief description of teaching and learning methods:

Lectures will be used to explain core theory and concepts discussed in the course.  The module’s delivery follows a practice centred approach and extensively utilises Bloomberg to provide a more in-depth understanding of certain topics. Seminars will be based around set questions and preparation for examinations.

Contact hours:
  Autumn Spring Summer
Lectures 20
Seminars 8
Guided independent study 172
Total hours by term 200.00
Total hours for module 200.00

Summative Assessment Methods:
Method Percentage
Written exam 80
Class test administered by School 20

Other information on summative assessment:

Mid-Term Test : 20%.

Final Exam: 80%.

Formative assessment methods:

Penalties for late submission:

Penalties for late submission on this module are in accordance with the University policy.

Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

Length of examination:

Three hours.

Requirements for a pass:

50% overall grade.

Reassessment arrangements:

By written examination only, as part of the overall examination arrangements for the MSc programme.

Last updated: 29 September 2017

Letter 'IPO.MODCAT1STKT' - Generation started at 29/Sep/2017 15:00:09.66.

Things to do now