ICM310-Bond and Money Markets

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Spring term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded: IC314 Bond and Money Markets
Current from: 2022/3

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 bonds, money markets and central bank monetary policies, and the impact of key economic drivers on the pricing and trading strategies for bond and money markets. The module offers students the opportunity to gain an understanding of how these connections affect interest rates, trading positions, funding liquidity management, and the challenges faced by practitioners as well as regulators/policy makers. The course also covers the overall functions, pricing, structure and operation of bond and money markets.

Aims:

The main aims of the module are to provide the tools for understanding the functioning and pricing 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, and their pricing


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, their pricing and trading techniques. 


• Evaluate economic situations to determine the likely implications for money market instruments. 


• Explain common trading strategies of bond and money market instruments 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. 


• Bond pricing and yield curve trading strategies. 


• Central bank monetary policy operations and quantitative easing. 


• 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. 


• Pricing and trading of corporate bonds, with a focus on green, social and sustainability bonds and loans.

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.

Summative assessment- Examinations:

Final exam: 80%, three hours, two out of three questions. 

The examination for this module will require a narrowly defined time window and is likely to be held in a dedicated exam venue.

Summative assessment- Coursework and in-class tests:

Multiple Choice Test: 20%, one hour, twenty questions, scheduled in the last week of the Spring Term.

Formative assessment methods:

Penalties for late submission:

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

Assessment requirements for a pass:

50% overall grade.

Reassessment arrangements:

Re-sit written examination only to be taken in August/September, as part of the overall examination arrangements for the MSc programme.

Additional Costs (specified where applicable):

1) Costs for textbook:

2) Specialist equipment or materials:

3) Specialist clothing, footwear or headgear:

4) Printing and binding:

5) Computers and devices with a particular specification:

6) Travel, accommodation and subsistence: Additional cost of travel, accommodation and subsistence and any other expenses incurred for the purpose of the placement (in the UK or abroad)

Last updated: 22 September 2022