Available dates

Dec 15—18, 2019
4 days
Riyadh, Saudi Arabia
USD 2700
USD 675 per day


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About the course

Discover cash treasury products and derivative products at this course

Sound treasury management ultilises the right financial products to manage risk, capitalize cashflow and minimise debt financing. This 4-day programme will therefore provide you a comprehensive understanding of the products used by banks and corporate treasuries in today's successful treasury management, an insight into the best borrowing sources and investments and when and how to use them, together with an insight into the essential processes to the smooth day-to-day running of your insitution's finances. The course also provides an overview of the structure and key functions of the treasury and how to implement a robust risk management strategy to weather today's tough market conditions.


  • The programme uses traditional tried and tested techniques including lectures, worked examples, realistic case studies and role-plays
  • The programme is designed to show the products in a highly practical way, without overcomplication and with clear illustrations so that participants may really understand key concepts
  • Comprehensive product notes are provided for future reference

The course will demonstrate cash treasury products and derivative products, including:

  • Description and definition of each product
  • How the product price is arrived at
  • Market jargon and terminology
  • Product applications and uses
  • Risk factors of using products
  • Key product strategies
  • Product marketing and selling characteristics
  • Product marketing case studies and roleplay


Day 1

Cash market products and money market products

A review of what money markets are Time deposits

  • As investments
  • As short-term funding
  • Placing and recovery
  • Domestic and off-shore

Certificates of deposit

  • As investments
  • Benefits in liquidity management
  • Enhancing returns by trading

Bill of exchange, promissory notes and commercial paper

  • As sources of short-term finance
  • As investments
  • Operating clean acceptances
  • Operating documentary acceptances
  • Evaluating costs

Sale and repurchase agreements

  • Uses in raising cash
  • Uses in reverse repo

Day 2

Foreign exchange market products A review of some forex mechanics

  • How the market operates
  • How spot rates are quoted
  • How forward rates are quotes

Spot foreign exchange transactions

  • Delivery and operations
  • Assumption of risk and exposures

Forward foreign exchange outrights

  • Costs and gains from interest differentials
  • Forward options
  • Constructing the hedge
  • Evaluating its outcome

Foreign exchange swaps

  • Uses in liquidity management
  • Funding and investment swaps
  • Time management and position moving

Day 3

Derivative market products

A checklist of derivative products

  • What are derivative products?
  • Where do they come from?
  • What are the general risks in these products?
  • Gearing and leverage
  • Contracts for differences

Futures contracts General overview of exchanges, terminology and principles Currency futures

  • Creating FX hedges and their evaluation

Time deposit futures

  • Hedging money market borrowing and investment income

Bond futures

  • As surrogate bonds
  • General principles of trading and hedging

Swaps contracts Long-term currency and interest-rate swaps

  • General overview of the swaps market
  • Cross currency index swaps
  • Creating fixed to fixed swaps
  • Creating long-dated FX contracts
  • Long-term foreign currency funding
  • Improving market access
  • Hedging long-term cashflows
  • Interest rate (plain vanilla) coupon swaps
  • Index swaps
  • Amortising swaps
  • Forward start swaps
  • Hedging future long-term funding issues

Day 4 Using options

Currency and interest rate options

  • Using options to manage currency risk
  • The decision taking process
  • Setting up strategies
  • Premium reduction strategies

Interest rate options

  • The decision taking process
  • Setting up strategies
  • Premium reduction strategies

Caps and floors

  • Using options in the medium term
  • Premium reduction devices

Course summary and close

Agenda Riyadh

Day 1 Treasury Overview & Short Term Funding Instruments

The business model of depository institutions Understanding the business model of depository institutions

  • The role of maturity transformation
  • How money is created

The balance sheet components

  • Understanding where treasury products fit

Identifying the risks associated with commercial banking and regulatory driven responses

  • Solvency: managing the capital base
  • Liquidity: managing the asset side of the balance sheet

Relationship with the central bank

Short-Dated Treasury Products: Money Market Funding Instruments

Customer deposits

  • “On call” v time deposits
  • The problem with time deposits

Certificates of deposits (CDs)

Commercial paper (CP) and ABCP and shadow banking-

  • Problem with these funding sources

Importance of the interbank market

How the market performed during after the financial crisis

Technical Discussion

Libor & Euro Euribor®

  • What does “Libor” represent?
  • Where did it go wrong?
  • Libor reborn – the new provisions explained
  • Interbank funding since the GFC
  • Importance of the overnight market

Collateralised Borrowing: The Repo Market

The fundamentals of repo markets Importance of the market following the financial crisis

What collateral is eligible?

  • General (GC) and specific (SC) collateral; rights of substitution

The mechanics of repo agreements

  • Cash security driven transactions
  • Repo v reverse repo

Comparison of alternative repo mechanisms

  • Classic repo v buy/sellback
  • Securities lending
  • Basic repo mathematics: Price and interest calculations

Identifying and managing the risks in repo transactions:

  • Credit & liquidity exposure on repo
  • Collateral management
  • Margin ‘haircut ’ agreements
  • Custody of collateral: Bilateral, hold in custody (HIC), triparty repo structures

Case study: Calculating the cash flows on a standard repo transaction

Day 2 Funding the Balance Sheet

Funding the Bank in the New Regulatory Environment

New regulatory definitions of capital

  • What constitutes Tier 1 capital?

  • Distinguishing between Core Equity Tier 1 capital and Additional Tier 1 capital

  • Defining Tier 2 capital

Limits and minima in each capital class

Bond characteristics

Technical Discussion

Valuation techniques

  • Clean v dirty price
  • Calculating the bond price on a non-coupon date
  • Defining the yield

Funding the bank balance sheet

  • Hybrid capital in the new environment
  • Contingent convertible securities


Motivation The economics of securitisation

Covered bond v mortgage backed securities

Collateralised debt obligations

New proposals for regulatory capital

Retained Earnings: Common Trading Activities

Funding trading positions with repo; advantages and constraints Short selling

Matched book trading

Yield enhancement trades:

  • Riding the yield curve
  • "Figuring the tail”
  • Understanding the “bet”

Case study: “Figuring the tail” in a yield curve trade

Day 3 FX Products: Facilitating Cross Border Activity

The Spot FX Market

Market organization Quoting spot FX rates

  • Indirect v direct quotes
  • Market conventions
  • Reciprocal rates

Calculating the cross rate

Managing and monitoring the FX spot book: Position keeping

Case study: Calculating cross rates Managing an spot book

The Forward FX Market

Calculating the outright forward rate and forward points

  • Value dates
  • Understanding where the forward rate comes from
  • Premium v discount

The FX swap market and how swap rates are calculated

  • Why banks use forward swaps rather than outright forwards
  • Understanding the sensitivity of FX swaps to changes in rates
  • “Historic rate” rollovers explained

Using FX swaps for funding purposes

Short dates

  • Introducing the terms
  • Calculating an FX swap over today and tom
  • Calculations

Marking-to-market outright forwards and FX swaps

Forward-forward transactions

Time options explained with calculations

Nondeliverable forwards (NDF’s)

Case study: Calculating forward points; marking-to-market an outright forward; using time options

Risks in Foreign Exchange

Credit risk and “market replacement” Delivery (Herstatt) risk

  • Credit mitigation techniques:
  • Netting
  • Continuous linked settlement (CLS)

Day 4 Common Derivative Instruments for Managing Treasury Risk

Money Market Derivatives: FRA

Deriving a forward interest rate using depos The forward yield curve

What has changed since the financial crisis

Forward Rate Agreements

  • Defining the terms and cash flow dates
  • Using the settlement formula to lock-in a forward borrow/lend rate
  • Marking-to-market a FRA

Hedging with FRAs, hedged rates, imperfections

Creating synthetic loans & deposits with FRA’s

Case study: Hedging cash exposures with FRAs and calculating hedged costs of borrowing or lending

Money Market Swaps

Definition & mechanics of swaps

Overnight Index Swaps (OIS):

  • Mechanics
  • Creating synthetic interbank borrowing/lending exposures
  • Importance following the financial crisis

The function of interest rate swaps

Types of swap including basis swaps

Currency swaps v FX swaps

Case study: Calculating the cash flows of a OIS

Trust the experts

Paul Kitching

The Course Director was the Strategic Development Manager at the London International Financial Futures Exchange (LIFFE), where he was responsible for the research and definition of new specialist swap and risk transfer contracts. Prior to this, he was Head of Interest Rate Product Development wi...


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