Euromoney Learning Solutions

Treasury Management Academy - the Financial Academy

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About the course

Learn the latest Treasury Management tools and approaches with this overview.

This course is run in partnership with The Financial Academy in Saudi Arabia

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This course is designed for professionals in the Treasury department of a bank or a corporate along with Accountants, Risk Managers, Operations Staff and other financial professionals. It will give these participants the best practice tools and approaches for Treasury management. The program will use lectures, real life case studies, computer simulations and workshops to give attendees the latest and most practical tools and techniques which they can apply in their organization to increase the effectiveness, efficiency and profitability.

By the end of the program, participants will be able to:

  • Identify the Activities of the Treasury Department
  • Understand how the Treasury function funds the institution through money market and fixed income instruments
  • Use the yield curve to price interest rate products in both the short and long term
  • Structure and use the latest derivative products in interest rate, foreign exchange, commodity and credit derivatives
  • Structure and use the latest Islamic Finance and Islamic Derivative Product for Sharia compliant transactions
  • Acquire a thorough understanding of the Global Financial System and its regulations
  • Identify the best practice in following the latest Basel 3 and CRD IV regulations
  • Identify the best practices in managing Liquidity and Market Risk in Treasury


Day 1 Introduction

Understanding the Activities of Wholesale Banking, ALM and Treasury

  • The activities of wholesale banking
  • Assets and liabilities of a bank
  • Funding, Liquidity and Market Risk in a bank
  • Treasury role in managing funding, liquidity and market risks of the bank
  • The activities of the Treasury Department in Asset Liability Management
  • Managing risk: BOD business strategy and Risk Appetite Policy Asset Liability Committee activities and Treasury

Funding the Bank Short Term: The Money Market

  • Funding the Bank short term: Deposits (retail, corporate and whole sale) and Money Markets
  • The interbank and other over the counter funding market
  • Interbank money market products: Libor, Euribor, local inter-bank, Repo, reverse repo etc..
  • Other Money Market products: Commercial Paper, Certificate of Deposit, Commercial Bills,
  • History, conventions and developments of money market products
  • Interest Rate quotations and conventions for money market products

  • Discount Rate

  • Money Market yield

  • Bond Equivalent yield

Use of financial calculators and calculating money market yields

The Yield Curve - Understanding the bank’s funding cost and return on assets

Interest rate risk and the yield curve

The benchmark rate: The credit risk free benchmark yield curve

  • Liquid government bonds: Treasuries, JCB, Gilts, Bunds
  • Inflation expectation
  • Liquidity premium
  • Credit Spread and the pricing of debt
  • Credit Spread on yield curves
  • Government bonds
  • Libor and Euribor banks: Ratings and credit spread over time
  • Credit spreads for loans

  • Using to price funding cost and asset returns of current assets and liabilities

  • Understanding the zero coupon and forward rate and their use in market risk management

  • Bootstrapping and Calculating the zero coupon rate

  • Calculating the forward rate

  • Exercise on the yield curve

Funding the Bank Long Term – The Fixed Income Market

Introduction to the Bond Markets and long term funding

Different Bond Products:

  • US Bond, 144A and Traditional Private Placement
  • Regulation S and Eurobonds
  • Global Bonds
  • Local Market Bonds
  • Bond structures

Securitisation structures

  • Convention, Liquidity and Pricing
  • Duration and Bond Pricing/Trading
  • What is duration?
  • Modified Duration and its impact on bond price
  • Calculation of Duration and Price movement
  • Convexity and Bond Pricing/Trading

Day 2 Interest Rate Derivatives and Managing Market Risk

Introduction to market risk and derivative products

Forward Rate Agreement

  • Product Structure, Pricing, Settlement Calculation
  • Exercise: FRA calculations
  • Uses of FRA in managing interest rate risk

OTC and exchange traded products

  • Market and pricing conventions
  • Size issues, Settlement dates, Pricing calculations
  • Dealing with the exchange: initial margin, margin call etc.. Exchange Traded Products
  • Interest Rate Futures:
  • Product, Quotation and Pricing, Margin, Cash Settlement
  • Money Market Interest Change on Futures Pricing
  • Bond Futures:
  • Product, Structure, Pricing, Cash or Delivery Settlement,
  • Duration/Convexity and cheapest to deliver
  • Interest Rate change and futures pricing change

Uses of Interest rate and Bond Futures in Treasury

Interest Rate Derivatives and Managing Market Risk (continue)

Interest Rate Swaps

  • Introduction to IRS
  • IRS structure, terminology, cash flow, convention and pricing (outright or T+)
  • Pricing of IRS and Bloomberg IRSB screen
  • Uses of IRS in funding, bond structuring, bond hedging
  • ALM: IRS and managing the bank’s IRRBB market risk
  • Mark to market of an IRS
  • Duration and price sensitivity of IRS
  • IRS structures: Forward start, amortizing, asset swaps Interest rate options: Caps, Floors and Swaptions
  • Introduction to caps and floors: market conventions, pricing convention
  • Options pricing issues: Delta, Gamma, Theta, Vega, Rho
  • Uses of caps and floors in Treasury
  • Introductions to Swaptions: Payer/Receiver, pricing convention
  • Pricing and uses of swaptions
  • Using Interest Rate Options to manage the bank’s market risk

Day 3 Foreign Exchange

  • Introduction to the Foreign Exchange Market
  • Market conventions and quoting conventions
  • Using the Bloomberg FX screens and quotation of spot rates
  • Calculation and quotations of forward FX rates
  • Using Bloomberg FX forward screens
  • Non-deliverable forwards (NDF) and their use
  • Application of spot and forward products
  • Structuring and Using FX swaps
  • Foreign Exchange Options

  • Puts and Calls

  • Conventions and pricing of calls and puts

  • Option pricing models: Delta, Vega, Gamma, Theta, Rho

  • Participating Forwards structuring

Exotic Options: Average rate, path dependent, knock out/in, no upfront fee, lookback

Uses of FX options

Commodity Derivatives

Introduction to the commodity market

The Commodity Price curves: Cotango and backwardisation

Seasonality, Delivery and Pricing

OTC and Exchange traded commodity derivative products

  • Commodity Futures
  • Commodity Swaps
  • Options on commodities

Uses of commodity derivatives to hedge market risk

Credit Derivatives

Understanding credit risk

Constructing the credit yield curve


  • Credit default swap:
  • Underlying: Reference Name/portfolio, first to defaults
  • Set payout or put structure
  • Cash flows of a CDS -Total Return
  • Cash flows of a TRS
  • Payments of a TRS

Uses of Credit Derivatives in hedging credit risk of the bank

Islamic Finance and Islamic Derivatives in Treasury

Introduction to Islamic Finance

Islamic Finance issues: Riba, masir, gharar, jahl and riswah

Key Product Types: Murahaba, Wa’ad, Arbun etc...

Money Market in Islamic Finance

  • Using Murahaba commodity finance structures for interbank lending and borrowing
  • Primary and secondary murahaba structures
  • Restriction on commodities
  • LME Pallladium and Aluminum contracts
  • Documentation

    • MATP

Foreign exchange hedging and swaps in Islamic Finance

  • Spot transactions
  • Hedging forward contracts with murahaba structures
  • Non-deliverable forwards
  • Funding and investment swaps in Islamic context
  • Marketing strategies and Sharia compliance
    • Funding, Investment, hedging and speculation IRS in Islamic Finance: Profit Rate Swap:
  • Murabaha structure: Primary and SRMC (Secondary reverse murabaha structures)
  • Structuring of Profit rate swap
  • Documentation for Profit Rate swap
  • ISDA/IIFM Master Agreement

Sharia Compliant Profit Rate swap marketing

Cross currency swap in Islamic Finance:

  • Structuring: Back to back multi-currency murabaha
  • Cash flow of Islamic cross-currency swap
  • ISDA/IIFM Master agreement
  • Uses in a Sharia context

Options in an Islamic context

  • Arbun and Wa’ad structures and options
  • Structuring Islamic options
  • Strcuturing a Wa’ad interest rate option on a murabaha
  • Structuring an Arbun currency option

Day 4 Global Financial System and Regulations

Role of the Central Bank

  • Overall responsibilities of central banks in the internal and domestic financial system

Monetary Policy and Liquidity Management

  • Monetary foreign exchange and inflation targets
  • Open market operations
  • Repurchase agreements
  • Lender of last resort

Systematic risk and banking supervision

  • Identifying and forecasting potential systematic risk
  • Regulations to reduce systematic risk

    • Restriction on mortgage lending
    • Restriction on high risk lending

Regulations and supervision of banks

  • Risk management
  • Capital and liquidity
  • Basel 1 and 2

Pillar 1/2/3

Capital requirements for ORM, MRM and CRM

ICAAP and ILAAP analysis

Crisis of 2007/2008

De La Roisiere report for the ECB on causes of the crisis

  • Liquidity, capital and good governance issues
  • Lack of adequate and coordinated supervision

New Basel 3 and CRD IV regulations

  • SSM: Single Supervision entity
  • More capital: CET1 regulations, leverage ratios, etc...
  • More liquidity: LCR, NSFR

Day 5 ALM and Managing Liquidity and Market Risk in Treasury

ALM and Managing Liquidity and Market Risk in Treasury

What are the ALM risks?

  • ALM market risk /liquidity risk
  • ALM and making money
  • ALM and business strategy of the bank Identify and Quantify Market Risk in ALM

Earnings at Risk

  • Bucketing repricing amount
  • Calculate repricing gap
  • New BIS 3 regulations on IRRBB bucketing: NMB, prepayment risk

Net interest income

Types of interest rate risk

  • Gap
  • Yield curve
  • Duration and Convexity
  • Optionality
  • Basis

EVE analysis in ALM market risk

  • Mark-to-market and portfolio valuation

BOD ALM reporting:

  • Market Risk Gap analysis, EAR report
  • Long Term EVE analysis

Business Strategy and ALM Market Risk forecast

Impact of economic and interest rate change on bank balance sheet

Managing ALM Market Risk

  • Limit system
    • Limit reporting and sanctions
    • Tools to Manage ALM Market Risk

Match Funding

Derivatives: Interest Rate Swaps and Cross- Currency swaps

ALM and Managing Liquidity Risk

  • Liquidity Products: Overnight, Libor, repo, etc..
  • Diversification and concentration
  • ALM ranking of liquidity
  • Stability and sustainability of funding sources

Measurement metrics and monitoring for liquidity risk management

  • Key metrics: Cash forecast, roll-off forecast, liquidity forecast
  • Scenario and back testing

Managing liquidity risk with Limits and FTP

  • Types and use and Sanctions
  • Moody’s Best Practice in Fund Transfer Pricing
  • Liquidity Premium Uses

  • Setting policy

  • Liquidity asset buffer

  • Choosing appropriate assets and business strategy

  • Managing the asset portfolio

Trust the experts

Thierry Fuller

Thierry is a highly experienced trainer and consultant in Treasury Management. Since 1997 he has worked as a consultant and trainer with the Top Three Investment Banks in the World (Goldman Sachs, Morgan Stanley, BofA Mer-rill Lynch), most of the largest 20 Banks in the World (Citi, J.P. Morgan C...


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