4. Pen**ní trh

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4. Money market
International financial services 1
Main fields of interest
• Money market architecture
• Main segments of money market
• Main instruments
• Interest rates quotation, reference interest rates
Money market structure
O/N interest rate
Spot yield curve
Banking system
liquidity
management
Unsecured
interbank market
Forward yield curve,
volatility of interest
rates
Interest rates
derivatives
Monetary policy
implementation
Liquidity of
banking system
Interest rates
spread
Short-term
securities
Secured
interbank market
Individual liquidity
Speculation
Hedging
Liquidity
investments
Unsecured interbank market
• main segment of money market used for
alocation liquidity among the banks and for
liquidity distribution between central bank and
banks
• strong O/N maturity preference in liquidity
managmenet and due to credit risk management
• under strong impact of financial crisis, new
capital base and liquidity regulation
• strong preference of counterparty from home
economy (inside monetary union)
Maturity structure and volume of trades in EUR
interbank market
Structure of counterparties on Euro
interbank market in 2010
Secured interbank market – repo market
• repo as term deposit secured by collateral in terms of
securities or as a sell and buy back transaction
• main instrument for bank‘s liquidity management and
short-term funds alocation
• a way of financing of bond issuance, bond holding and
short exposure covering in securities market
• bilateral, bilateral CCPs (BrokerTec, Eurex repo a MTS)
and tri-party repo trades (custodian banks)
• repo rate as a price of repo trade
• initial margin and haircut
• preference of short-term maturity
Dolar, euro and pound repo market
Structure of Euro repo market according
a type of trade
Main interest rate derivatives
FRA
(OTC),
006%
• FRA
Interest rate
swaps
(OTC),
012%
Interest rate
options
(OTC),
002%
• interest rate swap
• interest rate option
• exchange traded futures and
options
Exchange
traded
interest rate
futures and
options,
080%
Euromoney market
• Eurointerbank market
• Leading world bank‘s liquidity management
• LIBOR as reference interest rate for banking loans
• Eurocommercial papers and euronotes
• Alternative to short-term banking loan and T-bills
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