Treasury Management

Euromoney Learning Solutions

How long?

  • 2 days
  • online

Euromoney Learning Solutions


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Who should attend

Our market-leading Treasury Management Academy 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.

About the course

Course Description

The Treasury department is an area of the bank which generates much of its financial risk. This Treasury Management program will identify the essential function of the treasury department and examines its activities. The program will then discuss “best practice” tools and strategies to identify, quantify, manage and monitor the market and liquidity risk of the bank. ALM and ALCO reports and activities will be reviewed to identify key components of treasury risk management. Furthermore, we will discuss the new changes in Supervisory Regulations (BIS 3 and4) in relations with ALM and Treasury and examine their effects on banking strategies.


This Treasury Management course is designed to give participants an in-depth understanding of the Treasury Department and its activities. Professionals in the Treasury department of a bank or a corporate along with Relationship Managers, Accountants, Risk Managers, Internal/External Auditors, Regulators, Operations Staff and other financial professionals will find this course very helpful in his or her work.

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

  • Identify the Functions of the Treasury Department
  • Understand the role and responsibilities of the CFO and Treasurer
  • Identify the Best Practices of the Treasury function of a bank
  • Understand how the Treasury function funds the institution
  • Identify the best practices in managing Funding, Liquidity and Market Risk in Banking and Corporate Treasury
  • Discuss new BIS 3 and 4 Regulations concerning IRRBB and Liquidity Risk
  • Understand the impact of new regulations on loan pricing and liquidity premium
  • Analyse ICAAP and ILAAP stress testing
  • Discuss best practice in Capital Allocation and Risk Appetite Policy Developments


This course will take place over video conferencing technology. To find out more contact

Days 1 - 3: Part 1 - Treasury Products Days 4 - 5: Part 2 - Treasury Management

The course will start at 9am British Summer Time (BST) and will consist of 2x3 hour sessions each day

Session 1: 9am - 12pm Session 2: 2pm - 5pm

Day One

*Module 1: Introduction to Treasury Risk Management and the Treasury Function *

This module will introduce the Treasury department in a corporate and the bank. It will look at its function including funding, risk management, investments, payments, account management among others. We will discuss the key role and responsibilities of the CFO and the Treasury function itself.

  • What is the Treasury Department?
  • What are the roles and responsibilities of the CFO and Treasurer?
  • Discussing Key Treasury Functions
    • Funding
    • Financial Risk Management
    • Cash Management
    • Investments
    • Others
  • Key concerns of CFO and Treasurer
  • Key risk concerns in Treasury
    • Market risk and ALM
    • Liquidity Risk and ALM

Module 2: ALM and Bank Treasury

This module discusses the treasury of the bank and the management of Assets and Liabilities (ALM). In ALM, we will discuss the management of market risk of a financial institution to include the analysis of IRRBB, EaR, EVE etc… We will also discuss the management of liquidity risk in the bank to include the need for a comprehensive liquidity management program. Fund transfer pricing in the Treasury Function to manage funding cost, market risk and liquidity risk will also be discussed. Also, regulations on BIS 3 on IRRBB, LCR, and NSFR to manage market and liquidity risk will also be discussed

Session 1: What is Asset-Liability Management?

By the end of this section, participants will understand asset-liability risks and the function of ALM in the bank

  • What are the ALM risks
  • ALM market risk
  • ALM liquidity risk
  • ALM and making money
  • ALM and business strategy of the bank

Session 2: Roles and Responsibilities in ALM

By the end of this session, participants will be able to identify the ALM roles and responsibilities

  • BIS 3 and the new roles and responsibilities of BOD
  • Business Strategy
  • ALCO Strategy
  • Capital Allocation
  • Market Risk and Liquidity Risk Appetite Policies
  • Risk Management Policies and Procedures
  • Risk Management Systems, Process and Organisation
  • Best Practice: Working with EXCO, ALCO, Risk Management Department/Committee, Treasury, and Audit Department/Committee

Session 3: ALM and Assessing Market Risk

By the end of this session, participants will be able to use the key tools in identifying and assessing market risk on the balance sheet

  • Identify and Quantify Market Risk in ALM
  • Earnings at 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
  • New BIS 4 Regulations on IRRBB
    • IRRBB regulation overview
    • 19 time buckets
    • Treatment of Non Maturity Deposits, Early Pre-payment of Fixed Rate Loans, Early Termination of Fixed Rate Deposits
    • Stress Testing and Scenario analysis
    • Supervisory Policy on EVE
  • 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 bank balance sheet

Session 4: ALM and Managing Market Risk

By the end of this session, participants will be able to implement the key tools to manage ALM Market Risk.

  • Managing ALM Market Risk
  • Limit system
    • Limit reporting and sanctions
    • Tools to Manage ALM Market Risk
  • Match Funding
  • Interest Rate Swaps
  • Foreign Exchange
  • Cross- Currency swaps

Day Two

Session 5: ALM and Managing Liquidity Risk

By the end of this session, participants will be able to identify the key steps in identifying, quantifying and managing liquidity risk in the bank.

  • Liquidity Products: Overnight, Libor, repo, etc..
  • Diversification and concentration
  • ALM ranking of liquidity
  • Stability and sustainability of funding sources
  • Measurement metrics and monitoring
  • Key metrics: Cash forecast, roll-off forecast, liquidity forecast
  • Scenario and back testing
  • Limits
  • Internal funds transfer pricing
  • Liquidity Premium
  • Setting policy for ALM and FTP
  • Liquidity asset buffer
  • Choosing appropriate assets and business strategy
  • Managing the asset portfolio

Session 6: ALM and BIS 3 New Liquidity Regulations

By the end of this section, participants will be able to identify the new regulations on liquidity risk, namely LCR and NSFR, and their impact on the ALM

  • New BIS ratios: Why?
  • Liquidity Coverage Ratio
    • Definition
    • High Quality Liquid Assets
    • Levels 1 2A an 2B
    • Limits
    • Calculate Net Stressed Outflow
    • Impact on Banks and ALM
  • Net Stable Funding Ratio
    • Definition
    • Calculate Available Stable Funding
    • Calculate Required Stable Funding
    • Impact on ALM

Session 7: ALM and Basel 3 Regulations on Capital Ratios

By the end of this section, the participants will be able to identify the new Basel 3 regulations on bank capital and their impact on the bank’s business and the treasury function

  • Improve Bank Capital Base:
    • Quality and Quantity: CET1 4.5% from 2%
    • Capital Conservation Buffer: 2.5% from 0%
    • Countercyclical Buffer: 0% to 2.5% from 0%
  • Leverage Ratio 3%
  • New Capital regulations and impact on ALM

Session 8: ICAAP/ILAAP and SREP for in ALM

By the end of this section, participants should be able to use best practices in conducting ICAAP and supervisory reviews especially for ALM. FTP analysis will be extensively discussed. Scenario analysis on the reduction of QE and sovereign buy in will be discussed

  • How to conduct ICAAP/ILAAP in banks
  • ICAAP/ILAAP and stress testing for market and liquidity risks
  • Scenario analysis
  • Best Practice ICAAP/ILAAP reporting for BOD, supervisors and market disclosure
  • SREP for Treasury Products with Pillar 2 add-on
  • Supervisory review of capital needs and Pillar 2 add-ons of capital
  • ICAAP/ILAAP and RISK Appetite Policies
  • The Impact of Regulations on FTP and Bank Profitability
  • FTP under the Basel 4 regulations
  • Loan Pricing under new market and liquidity risk environment
  • Economic Profit, RAROC and capital allocation decisions

Session 9: Final Thoughts and Future Steps on Treasury Management


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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Treasury Management at Euromoney Learning Solutions

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