Treasury Management Training Week

Euromoney Learning Solutions

How long?

  • 5 days
  • online

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


Day 1

Introduction to the Financial System

  • Banking and the financial system
  • Banks and the role of funding
  • The crisis of 2008 and recent regulations; Basel 3, Basel 4, CRD IV, SEC, Dodd-Frank etc.
  • New regulation impact on banking and corporate treasury

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
  • ALM and Managing Liquidity and Market Risk in Bank 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

Asset Liability Committee activities and Treasury

Day 2

Corporate Treasury

  • How does Corporate Treasury Work
  • The roles of Corporate Treasury
  • The Role of the CFO
  • Treasury Functions and the business strategy of the company

Corporate Treasury Management Liquidity and Working Capital Management

  • Liquidity and cash forecasting in corporate treasury
  • Forecasting working capital needs
  • Negotiating working capital funding
  • Integrating working capital, liquidity and cash management

Cash Management

The cash cycle Collections, fund management and payments

  • Best Practices in Collections: Collection services, POS, e-collection (ACH, SWIFT), phone payent, credit cards, mobile app, automated lock boxes etc
  • Best Practices in Cash Management:
    • Accounts: operating accounts, pooling accounts, sub account, virtual accounts,
    • Cash Optimisation: physical pooling, notional pooling, netting (bi-lateral and multi-lateral), sweeping, Foreign currency accounts etc.
  • Best Practices in Payments: ACH, SWIFT, Integrated payables, Mobile app, STP process, Debit and credit card, Block chain process
  • Treasury Organisation: Pros and cons of decentralized versus centralized, complete centralisation, functional centralisation, In-House Bank, etc...

Best practices in Treasury Management and Organisation

Day 3

Funding 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 Bond Issuance Process

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 chang
  • Uses of Interest rate and Bond Futures in Treasury

Day 4

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 5

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 ris

Final Thoughts


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

From  GBP 3 895$5,540
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