TMA Challenge
2017
4 Nov 2016
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TMA Challenge 2017
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http://www.tma.org.hk/
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Organisation Structure
Council
Executive Board
External
Affairs
Committee
Finance and
Administration
Committee
Market
Development
Committee
Market
Practices
Committee
Professional
Membership
Committee
Working Group on RMBMarket Development
Surveillance and Governance
Committee
HIBOR Enhancement
Implementation Joint Working
Group
Working Group on Corporate
Treasury Development
Working Group on HKD
HIBOR Review
Working Group on Debt
Market Development
Working Group on OTC
Derivatives Market
Working Group on ExchangeTraded Funds
Working Group on TMA Code
of Conduct and Practice
Working Group on Islamic
Finance
Working Group on TMA
Fixings
Disciplinary Sub-Committee
Education Sub-Committee
Examination Sub-Committee
Membership Sub-Committee
Sports and Recreation SubCommittee
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Council and Executive Board
COUNCIL
Honorary President :
Mr Norman T. L. Chan, GBS, JP
Chief Executive
Hong Kong Monetary Authority
EXECUTIVE BOARD
Chairman :
Mr Howard Lee, JP
Senior Executive Director
Hong Kong Monetary Authority
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Mission Statement
The mission of the TMA is to further promote the
professionalism and competitiveness of the treasury markets
in Hong Kong through the following functions:

Developing appropriate codes and standards for the treasury
markets;

Enhancing the professionalism of market practitioners;

Promoting market and product development;

Promoting the profile of Hong Kong as the preferred hub for
treasury markets businesses in the Asia Pacific region.
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TMA Challenge 2016, 2015 & 2014
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The global economy by CNNMoney (II)
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The global economy by CNNMoney (III)
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China’s growth mainly propelled by its trade

Since accession to WTO, both imports and exports grew around
20% annually!

World’s largest exporter

2nd largest importer

Expected to be the largest importer by 2014!

Internationalization of RMB to facilitate and serve trade
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RMB is underutilized in its trade

Only 20% of China’s total trade in RMB!

> 30% of Japanese trade in Yen.

> 50% of Euro area trade in EURO.

> 80% of US trade in USD.
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Market liberation is needed in China

From export-driven market to a consumer-based market

Growth to be driven Services

Less reliant on a bank-lending model toward transparent and open
financial market, in particular RMB capital market

Price discovery (定價及話語權 ) to be in Asia, London, NY & Chicago

Gathering momentum
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HK as China’s major Offshore RMB Centre

One country, Two Systems.

Gateway and proximity to China.

Simple and low tax system; the Rule of law; Free & Open economy.


First mover advantage, but other financial centres are catching up
fast !
Talents with extensive global expertise.
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Competition for students (I)
CNH Hong Kong Interbank Offered Rate ~ 2 December 2016
%
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2-Dec-13
7
6
2-Dec-14
?
5
2-Dec-15
4
?
3
?
25-Oct-16
2
1
?
2-Dec-16
0
ON
1W
2W
1M
2M
3M
6M
1Y
Tenor(s)
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Competition for students (II)
CNH Hong Kong Interbank Offered Rate (CNH HIBOR)

Short-term interest rate curve

It consists of 8 tenors: overnight, 1 week, 2 week, 1 month, 2
month, 3 month, 6 month and 1 year.

The whole curve is being set (determined) on a daily basis at
around 11:15 a.m. and published via TMA website.

Full specification can be found at:
https://www.tma.org.hk/en_market_spec.aspx
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Competition for students (III)
CNH Hong Kong Interbank Offered Rate (CNH HIBOR)

Your assignment is to predict the tenor 1M, 2M, 3M, 6M
and 1Y which will be determined on 2 Dec 2016.

These 5 tenors will not be equally weighted as they have
different duration.

The concept can be explained under the term “PV01”.

The accuracy evaluation will be: ABS(1𝑀𝑎𝑐𝑡𝑢𝑎𝑙 -
1𝑀𝑝𝑟𝑒𝑑𝑖𝑐𝑡𝑖𝑜𝑛 )*𝑃𝑉011𝑀 +……+ ABS(1𝑌𝑎𝑐𝑡𝑢𝑎𝑙 1𝑌𝑝𝑟𝑒𝑑𝑖𝑐𝑡𝑖𝑜𝑛 )*𝑃𝑉011𝑌
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Competition for students (III)
2017
2016
16 Nov
Submission
Deadline
2 Dec
19 Jan
Benchmark
published
Final Presentation
Shortlisting
Only submitted powerpoint slides will be allowed to use in the presentation
(limited to 10 minutes)
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Some determinating factors (I)
Demand and supply



Borrowing and lending

ON tenor ranges from -3.725% to 66.815%
Fundamental (marcroeconomic) factors such as GDP
growth, trade balance, inflation and currency
appreciation/depreciation etc.
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Some determinating factors (IIa)

One useful tool is interest rate parity which can make use
of currency rate to imply interest rate:
𝑑𝑎𝑦
1+
𝑅
∗
𝐶𝑁𝐻
𝐹𝑜𝑟𝑤𝑎𝑟𝑑𝐶𝑁𝐻
360
=
𝑑𝑎𝑦
𝑆𝑝𝑜𝑡𝐶𝑁𝐻
1+ 𝑅𝑈𝑆𝐷 ∗ 360
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Some determinating factors (IIb)

USD interest rate can be referenced from various sources
such as USD LIBOR rate or implied rate from Eurodollar
futures.

Day count of CNH includes public holidays in Hong Kong,
New York and Beijing.
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Some determinating factors (IIc)

Relevant and historical data can be found via TMA website:
https://www.tma.org.hk/en_market_info.aspx
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Some determinating factors (IId)

Relevant and historical data can be found via TMA website:
https://www.tma.org.hk/en_market_info.aspx
Click inside for historical rates
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Evaluation

The first judge panel: TMA board members.

The second judge panel: Representatives from internship
banks.


6 – 8 shortlisted teams will be invited to present in front of
the second judge panel on 19 January 2017 at HKMA office.
Evaluation will be based on both accuracy and reasoning.
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Questions and Answers
~ Thank You ~
CONTACT US
Email: [email protected]
Website: www.tma.org.hk
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