IC314-Bond and Money Markets

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:6
Terms in which taught: Spring term module
Pre-requisites: IC203 Debt Markets and Instruments and IC102 Introductory Finance/Trading Simulation I
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2018/9

Module Convenor: Dr Ivan Sangiorgi

Email: ivan.sangiorgi@icmacentre.ac.uk

Type of module:

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 trading strategies, funding liquidity management 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.  

Aims:

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, repos and bonds, 2) identification of trading strategies and 3) practical examples of current market situations

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 for bond and money markets, 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: The economics of bond, money markets and interest rates. Money markets: arithmetic, pricing and trading of alternative funding sources. Yield curve trading strategies. Central bank monetary policy operations and quantitative easing (guest lecture by industry expert). Pricing and trading of repos. Scarcity of bonds, bond market liquidity and funding liquidity. Money market derivatives: trading strategies in bonds and money markets. The impact of regulation on funding liquidity management. 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

Summative assessment- Examinations:

Final exam: 80%, three hours. Multiple Choice Test: 20%, one hour.

Summative assessment- Coursework and in-class tests:

Formative assessment methods:

Penalties for late submission:
The Module Convener will apply the following penalties for work submitted late:

where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day[1] (or part thereof) following the deadline up to a total of five working days;

where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

The University policy statement on penalties for late submission can be found at: http://www.reading.ac.uk/web/FILES/qualitysupport/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:

40% overall grade.

Reassessment arrangements:

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

Additional Costs (specified where applicable):

Last updated: 20 April 2018