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The Money Markets Handbook: A Practitioner's Guide by Moorad Choudhry

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Contents

Foreword

Preface

About the Author

Introduction to the money markets

Financial Transactions

Characteristics of the money market

Money market conventions

Chapter 1: The money markets

Introduction

Securities quoted on a yield basis

Certificates of Deposit

US Dollar market rates

Securities quoted on a discount basis

Commercial paper

Asset-Backed Commercial Paper

Extendable Note commercial paper

Conduit structuring

Commercial paper dealing sheet

Money market screens on Bloomberg

BBVA money market rate screens on Bloomberg

Appendices

Chapter 2: Foreign exchange markets

Spot exchange rates

Forward exchange rates

Chapter 3: Floating-rate notes

Floating-rate note conventions

Yield measurement

Inverse / reverse floating-rate notes

Appendix 3.1: FRN discount margin using discount factor

Chapter 4: Repo instruments and structured funding vehicles

Introduction to repo

Uses and economic functions of repo

Repo mechanics

Bloomberg screens

Basket repo

Synthetic repo via the Total Return Swap

Other repo structures

Pricing and margin

Legal issues

The United Kingdom gilt repo market

Repo market structures

Structured funding vehicles

Asset-backed MTN programme

Combined Note and Total-return swap funding structure

Further synthetic repo structures used for liquidity and balance sheet management

The synthetic ABCP conduit

Multi-SPV synthetic conduit funding structure

Replacing the liquidity line: the Committed Repo facility

Appendices

Chapter 5: Money market derivatives

Forward rate agreements ...

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