Content

The seminar presents all prevalent money market products with a focus on derivatives. In our famous PC simulations, teams of participants run a money market book as traders. Taking into account market movements, legal requirements and risk limits, they improve their trading strategies daily and their decisions become increasingly clever and well-founded. In the end, the share price determines the winning team.

• Forward rate agreements and money market futures
  Valuation of micro and macro hedges, trading and closed trading positions, influence of the yield curve on trading possibilities, yield curve trading with forward rate agreements, arbitrage of FRAs and outrights

• FX swaps
  Pricing of FX swaps, valuation of micro and macro hedges, computing and hedging the liquidity and/or foreign exchange tail risk of FX swaps, forward forward swaps and their use in interest risk management

• Repos
  Market conventions, use of repos and their potential for the money market desk (equity requirements, credit risk and counterparty limits), comparison of repo strategies with deposit, FRA, OIS, (EONIA) and interest rate swap strategies, arbitrage opportunities

• Interest rate swaps (IRS) and cross-currency swaps
  Using swaps to reduce financing costs, coupon swaps, basis swaps, cross-currency interest rate swaps, opportunities for arbitrage between IRS and FRA, counterparty and liquidity risk, partner limits for swaps, valuation of swaps

• Liquidity management
  Influence of liquidity risk contribution on the result in the money market

• Basis risks in the market book
  Measuring, managing and trading basis risks in the money market book
  Consequences of OIS/EONIA swaps for money market dealing strategies

Cyber*Preparation

• Financial mathematics for the money market
• Forward rate agreements and money market futures
• Interest rate swaps
• FX swaps

Target group

• Money market, FX and ALM dealers
• Specialists from other treasury and related departments (back office, midoffice, etc.)
• Risk management staff
• Controllers, corporate dealers, treasury auditors