FX & Money Markets Workshop

Programme Director: Richard Comotto

A key part of the course is to demonstrate the nexus between cash and short-term derivatives in order to illuminate the nature of the latter and highlight the ways in which cash and derivative instruments are used together in risk-taking, hedging and arbitrage. Similarly, the course will explain the role of forward FX as another short term interest rate instrument.

The money market is the most fundamental and well-established of financial markets, as well as being the largest. As the market for liquidity, it plays a pivotal role in the functioning of the whole financial system (everybody has to use the money market as some point). It is also intricate and arcane in the way it works. However, there is a rather sparse and dated literature on the subject and it is often overlooked or trivialised in financial training programmes. The ICMA Centre has a unique pool of experience in this most practical of financial markets.

Participants will learn how to:

  • Apply basic financial arithmetic to money market instruments & situations to calculate present and future values or rates of return
  • Differentiate between cash money market instruments
  • Use and settle FRA hedges
  • Distinguish between exchange-traded and OTC interest rate derivatives and recognise the basis and convexity risks
  • Price and settle an interest rate swap, including OIS
  • Structure a basis options strategy
  • Hedge and arbitrage forward foreign exchange positions
  • Construct a forward-forward foreign exchange position
  • Construct a synthetic FRA

Who should attend?

  • FX and money market dealers
  • Funding and liquidity officers
  • Treasury managers
  • Short-term interest rate strategists
  • Middle office

Further information

The ICMA Centre offer a workshop series which are available on a group booking basis. For further information or to request a tailored workshop for your organisation please emaill.ley@icmacentre.ac.uk.