Treasury Management Training Week

Euromoney Learning Solutions

Euromoney Learning Solutions


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Who should attend

This course is designed for 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.

About the course

This course studies the latest strategies & best practice within the Treasury Function

The Treasury Management Training Week is designed for 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.

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 5-day program, you will know how to:

  • Identify the Activities of the Treasury Department
  • Identify the Best Practices of the Treasury function of a bank
  • Identify the Best Practices and Organisation of the Corporate Treasury function
  • Understand how the Treasury function funds the institution through money markets and capital market products
  • Understand and use interest rate derivative products like FRA, Interest rate swaps and caps/floors/swaptions
  • Understand and use foreign exchange products such as FX spot, FX forwards, cross-currency swaps, and currency options
  • Understand and use commodity derivative products
  • Structure and use the latest derivative products in exotic options such as average rate, basket, lookback etc.
  • Acquire a thorough understanding of the Global Financial System and its regulations
  • Identify the best practices in managing Liquidity and Market Risk in Treasury


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

The course is made up of 2 distinct modules which can be booked individually.

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 1

Module 1: Introduction to Treasury Products Module 2: Funding the Bank and Company

This module will examine the different products in the market that could be used to fund the treasury department. In the banking market, this could include inter-bank deposits, Commercial Paper, Repo and various bond structures. We will discuss these products - their structure, quoting convention, pricing and use. By the end of the program, participants should have a good understanding of the products to help fund their organisation

Session 1: Yields and Yield Curves

This session will discuss the fundamental aspects of any interest-bearing product which are yield conventions and yield curve analysis

  • Yield Conventions
    • What are yield conventions: Discount Rate, MMY, BEY
    • Understanding annual day count conventions
    • Understanding Effective Period
    • What is the difference between annual bond and quarterly money
    • Using Yield Conventions in marketing Treasury products
  • Yield Curves
    • Yield Curve and pricing of debt
    • Risk free yield curve
    • Credit risk pricing and credit spread
    • The par yield curve and pricing loans/bonds
    • The forward yield curve and pricing
    • The zero-coupon yield curve and discounting cash flow to Mark to market   Session 2: Money Markets

Discussion of key Interbank Money Market Products for funding Financial Institutions and Large Corporates in the conventional and Islamic markets.

  • What is the Money Market?
  • Inter-bank borrowing and placement
    • What is Libor/Euribor and how are they set and used in Money Market?
    • Libor and the pricing of loans
    • Fraud Issues with Libor
    • Replacement for Libor: SOFR, SONIA, ESTR
    • Challenges in Libor Replacement
    • Domestic local Money Market
  • Repurchase Agreement (REPO)
    • What is a Repo agreement?
    • Repo versus Libor borrowing
    • Structuring a Repo and Reverse Repo (for Placement)
    • Pricing of Repo transactions
    • Repo crisis in USD market in 2019?

Session 3: Bond Markets

In this section, we will discuss the different bond markets and bond products. In these discussions we will look at the market size, rating, issuers, investors, structures, accounting, and pricing of different bond markets

  • The US Bond Market
  • The 144A Market
  • The Eurobond (Regulation S) Market
  • Traditional Private Placement (Regulation D) Market
  • Commercial Paper Market
  • Global Bond Issues
  • The Bond Issuance Process

Day Two

Module 3: Interest Rate Risk Hedging

In this module, we will examine the different products that will help the treasury department hedge interest rate risk. This will include discussions on Interest Rate Swaps, caps, collars, floors, and swaptions.

Session 4: Interest Rate Swaps

In this section, we will discuss IRS and how the product is used to manage interest rate risk.

  • Introduction to IRS
  • IRS structure, terminology, cash flow, convention and pricing (outright or T+)
  • Yield Curve and IRS pricing
  • Pricing of IRS and Bloomberg IRSB screen
  • Using IRS to hedge Interest rate risk
  • Understanding ISDA documentation in Treasury for IRS
    • Master Agreement
    • CSA Schedule and credit support
    • Terms and conditions
    • Netting and Clearing through CCP and reporting of transactions under Basel 3
  • Mark to market and pricing of IRS using Bloomberg screens
  • Uses of IRS
    • Using IRS to manage Asset Liability Risk
    • Using IRS to hedge Bond issues
    • Using IRS to fund cheaply
    • Using IRS to structure structured notes

Session 5: Caps and Floors

In this section we will examine interest rate options such as caps and floors in the treasury market. We will discuss how they are used to manage interest rate risk in the treasury department. Also, the structuring of zero cost collars and participating caps will also be analysed.

  • Introduction to caps and floors: market conventions, pricing convention
  • Series of Puts and Calls options on money market
  • Options pricing issues
  • Pricing Caps and Floors using Bloomberg CCF screens
  • Amortizing the premium
  • Clients buying options for hedging risk
  • Clients selling options to reduce cost or enhance yield
  • Structuring Zero cost collars and participating caps using CCF screens
  • Uses of caps and floors in Treasury

Day Three

Module 4: Managing Foreign Exchange Risk

In this module, we will discuss the different products that will help the company manage foreign exchange risk. We will examine the foreign exchange products, cross-currency swaps and currency options and discuss how they can help the treasury department manage FX risk.

Session 6: Foreign Exchange

In this section we will discuss the hedging of foreign exchange risk with spot and forward FX products. Special attention will be given to Quoting conventions of FX and forward point. We will also discuss how FX swaps are structured and used.

  • Introduction to the Foreign Exchange Market
  • Market conventions and quoting conventions
  • Using the Bloomberg WFX screens and quotation of spot rates
  • Calculation and quotations of forward FX rates
  • Understanding the FX forward formula
  • Using Bloomberg FX forward screens
  • Non-deliverable forwards (NDF) and their use
  • Introduction to the FX futures market
  • OTC versus Exchange traded products in FX forward and futures
  • Application of spot and forward products in hedging FX risk
  • Structuring and Using FX swaps

Session 7: Cross- Currency Swaps

  • By the end of this section, participants will understand the structure and use of Cross-Currency Swaps.
  • Introduction of CCS
  • Cash Flow of a Fixed CCS structure
  • Floating to Floating CCS market conventions
  • Hedging CCS with money market and FX products
  • Fixing Floating rate CCS with Cross-currency interest rate swaps
  • Structuring and Using CCS

Session 8: Foreign Exchange Option

By the end of this session, participants will understand the structure, pricing and use of FX conventional and exotic options.

  • Introduction to FX Option
  • Puts and Calls in FX Options
  • Option convention: what we buy/sell
  • Option pricing convention: % spot, % amount, %strike
  • Option pricing model
  • Using Bloomberg option pricing model
  • Client’s buying options as insurance
  • Client’s selling options to reduce cost or increase return
  • Structuring FX option products
  • Range forward and participating caps
  • Exotic Options: Knock-in, knock-out, average rate, digital etc…

Day Four

Module 5: 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 6: 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 Five

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 Training Week at Euromoney Learning Solutions

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Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

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