This intensive Euromoney Training course will provide you with the key tools to employ the right finance product to fit your treasury requirements. You will learn how to implement best-practice treasury strategies to minimise your risk exposure and drive strong returns to your bottom line. By attending this specialised course you will strengthen your treasury function, as well as acquire the skills and knowledge to capitalise on the opportunities available in the global financial markets.

How will this course assist you?

By attending this intensive 10-day course you will strengthen your treasury function,  and you will:

• Understand in depth how the financial system and its products work
• Know which treasury strategies to implement 
• Gain a concise understanding of the timeframe to maximise returns
• Understand the most complex structured derivative products and how and when to use them
• Acquire a thorough understanding of how the financial system and individual products work
• Understand the rationale and treasury management strategies that financial players employ
• Analyse the products and strategies used to manage risk 
• Gain a practical understanding of how derivatives work and their implications for balance sheets and regulatory adherence

Who should attend?

Designed for individuals that wish to make a real impact on their treasury function. We suggest the following treasury professionals attend:

• Treasury Managers
• Asset-Liability Managers
• Traders and Dealers
• Operations Managers
• Internal Auditors
• Finance Regulators
• Back Office Managers

 

Day 1

The banking background and the fundamentals of money markets

· The business of wholesale banking.

· The role of a bank’s treasury in managing the bank’s exposures.

· Economic and business cycles.

· The basics of bank balance sheets.

· Quotation of interest rates.

· Interbank and over-the-counter markets.

· Benchmark interest rates: the london interbank offered rate (libor);other similar benchmarks; use in pricing.

· Matching and mismatching flows: gap analysis.

· Use of financial calculator.

· Calculation of deposit interest: u.s. And international conventions; alternative methods.

· Time value of money.

· Forward pricing.

Day 2

Short term traded paper, repo and forwards

· U.s. Commercial paper: history and development; nature of the product; issuance mechanisms; ratings; investor bases; scale and uses of market; role in treasury function.

· Commercial paper outside the u.s.a: eurodollar commercial paper; sterling commercial paper; commercial paper in other markets.

· Certificates of deposit: issuance by banks; nature of the product; investor bases; role in treasury function.

· Government bills: nature of the product; investor bases; role in treasury function.

· Commercial bills: nature of the product; acceptances and guarantees; investor bases; role in treasury function.

· Short-dated bonds: description of bonds; time value of money; valuation of bonds; short-dated bonds as a substitute for other short-dated paper.

· Bond hedging.

· Repurchase agreements: repo as a means of borrowing money; repo as a means of funding short bond positions; repo risk.

· Forward rate agreements (fras): product structure; pricing; settlement calculations; applications.

· Introduction to exchange-based markets.

· The nature and structure of futures markets.

· Interest rate futures: nature of product; pricing; margining; settlement; example: three-month interest rate future on chicago mercantile exchange; applications; comparison with fras.

Day 3

foreign exchange, commodities, options and swaps

· Economic drivers of foreign exchange markets.

· Quotation of spot rates.

· Calculation and quotation of forward rates.

· Applications of spot and forward products.

· Currency options: structure and pricing; applications.

· Foreign exchange swaps: product structure; applications.

· Currency swaps: a combination of forward foreign exchange rates; applications.

· Commodities markets: diversity of commodities traded; commodity indices and derivatives contracts; energy, weather and other markets.

· Interest rate and cross-currency swaps: pricing; valuation.

· Applications of swaps in trading and risk management.

· Interest rate options: caps; floors; swap options.

· Market structures and conventions, terminology, price quotations.

· Pricing and valuation: option modelling techniques; market practices.

· Hybrid structures: collars; range forwards; zero cost collars; partial swaps.

· European, american and bermudan style swap options.

· Product applications: interest rate trading and risk management.

· Risk reduction strategies.

· Yield enhancement (cost reduction) strategies.

· Structured products: embedded interest rate options.

· Market risk: delta; gamma; vega.

· Dynamic hedging and management of interest rate option risks.

· Counterparty credit risk of otc interest rate options.

Day 4

capital requirements and operational risk

· What are the risks within banking?

· Deconstructing risk into its components.

· Risk prioritisation and ownership.

· The risk management process.

· The organisation of risk management.

· Risk controls and risk treatment.

· Risk reduction strategies.

· The eu capital adequacy directive and the current basel accord.

· Some consequences of the second basel accord on: market risk; operational risk; credit risk; trading book issues.

· How to assess risks.

· Risk modelling.

· Scenario modelling.

· Sensitivity analysis.

· Looking forward: what we might expect from the regulators?

Day 5

The global financial economy

· Role of central banks: monetary policy; liquidity management; banking supervision; systemic risk: lender of last resort.

· Monetary policy: monetary targets; foreign exchange targets; inflation targets.

· Federal reserve, european central bank, bank of england: policy frameworks; open market operations; repurchase agreements (“repo”).

· Regulatory arbitrage, corporate governance and securitisation: disintermediation; mark to market valuation; fair value accounting; credit rating agencies (and utilities with casinos attached).

· The crises of 2007/8: the liquidity crisis: where had the credit risk gone? the credit crunch: a nation of homeowners no more; the banking crisis: the loss of banking capital; market and consumer panic: a flight to safety in a world where nowhere seems safe; the men with a plan: government efforts to address the crises; update on recent events.

· Visit to london metals exchange.

Day 6

 

Risk measures: cash instruments

· Interest rate risk measures and evaluation: general principles; duration; convexity.

· Interest rate driven risks: yield curve risk; volatility risk.

· Management of interest rate risks: exposure calculations; hedging exposure.

· Currency risks: identifying and measuring exposure; hedging currency risk.

· General risks of financial operations: credit and default risk; basis risk; economic exposure; unquantifiable risks; house risk and back office operations; legal risk.

Day 7

Trading simulation

Day 8

(roger roberts)

Risk measures: derivatives

· Review of futures: product features and terminology; bond futures; applications; basis risk.

· Construction of futures hedges: techniques; limitations.

· Application of option risk measurement factors: general; simple option pricing; delta; gamma; theta; vega; rho.

· Review of options strategies: options positions and strategies; advanced strategies; risk/reward analysis of options strategies.

· Peculiar risks of options.

· Construction of options hedges: techniques; limitations.

· Review of options variants: principles of options variants; average rate options; knock‑out options; lookback options; participating forward contracts.

· Swaps variants: forward swaps; swaptions.

· Understanding credit risk and credit derivatives: credit risk measurement from basic principles; comparison with yield spread; credit derivatives: the role of the protection buyer and the protection seller; the basic instruments and their uses:I) credit default swaps;Ii) total return swaps;Iii) other variants; specific risks of credit derivatives.

Day 9

Practical risk management

· Principles of asset and liability management: gap analysis; currency exposure; credit risk; liquidity risk.

· Dynamic management of derivatives portfolios: risk management and reduction; futures; options; multi‑product portfolios.

· Value-at-risk (var) modelling: the modern concept of var; calculating var; the role of volatility in var; confidence levels and var; choosing the unwind period; simple examples of var calculations; using var measures for risk management and control.

Day 10

Self-testing and putting it into practice

· Review of seminar and reinforcement of chief learning points.

· Seminar test: an opportunity for participants to test the knowledge and skills they have acquired during the course.

· Putting it into practice: a series of brief workshops with the trainers using examples provided by delegates drawn from their real life experience: a chance to get some pointers and advice.

· Seminar evaluation.

• Daniel Moylan

  Daniel Moylan has new issues and derivatives experience, having worked for two global banks in corporate and sovereign debt origination. He has been a training consultant for over fifteen years. Before becoming a banker, he was a member of the British Diplomatic Service.

  In his spare time, he is Deputy Chairman of Transport for London and Deputy Leader of Kensington and Chelsea Council. He is also an Honorary Fellow of the Royal Institute of British Architects.

London School of Treasury Management

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

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