Contents
Introduction to the money markets
Characteristics of the money market
Securities quoted on a yield basis
Securities quoted on a discount basis
Extendable Note commercial paper
Commercial paper dealing sheet
Money market screens on Bloomberg
BBVA money market rate screens on Bloomberg
Chapter 2: Foreign exchange markets
Chapter 3: Floating-rate notes
Floating-rate note conventions
Inverse / reverse floating-rate notes
Appendix 3.1: FRN discount margin using discount factor
Chapter 4: Repo instruments and structured funding vehicles
Uses and economic functions of repo
Synthetic repo via the Total Return Swap
The United Kingdom gilt repo market
Combined Note and Total-return swap funding structure
Further synthetic repo structures used for liquidity and balance sheet management
Multi-SPV synthetic conduit funding structure
Replacing the liquidity line: the Committed Repo facility
