Treasury Products Workshop

4 days 3-6 Sep 2018, Hong Kong Hong Kong $4,995.00 Download brochure Add to basket
4 days 9-12 Oct 2018, London UK £4,195.00 + VAT* Download brochure Add to basket

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Overview

Treasury Products for Depository Institutions


A sound knowledge of treasury products, both on the asset and liability side of the balance sheet, and the regulatory framework in which they exist, is a pre-requisite to understanding the risks that face depository institutions in the current trading and regulatory environment.

This Four-Day programme examines in detail the instruments used to fund the balance sheet and what instruments the funds are invested in. At each stage, the rationale for funding choices and the investments made are given and explained in the context of the current regulatory framework, with a view to maximising risk-adjusted returns.

The foreign exchange market is crucial in enabling banks to diversify exposure by undertaking international activities. Day Three introduces delegates to spot and forward FX transactions, outlining how these instruments are quoted, what drives their prices, and how they are used by banks (and corporates) to manage exposures.

Risk mitigation is an important activity of the treasury function. Day Four introduces the common derivative instruments used to manage treasury risks, in particular, money market forward rate derivatives and swaps.

Money market instruments

  • T-Bills
  • Deposits
  • CD’s
  • ABCP
  • Repo transactions explained
  • Trading strategies to enhance return

Long-term debt instruments

  • Government bonds
  • Bond characteristics
  • New regulatory compliant financial instruments for funding the bank
    - Contingent convertible bonds

Foreign exchange transactions

  • The spot FX market
  • Quoting forward rates
  • Managing currency and interest rate exposures using FX swaps
  • Marking-to-market forward FX transactions

Derivative instruments

  • FRA’s and swaps explained
  • Using currency options

Who should attend?

This course has been prepared for those professionals who perform a wide range of functions involved in the raising of capital for corporate clients from external investors and other stakeholders. The programme will be of particular interest and benefit to those involved in the following job functions:

  • Corporate directors and treasury staff
  • Corporate finance executives
  • Treasury executives
  • Research analysts
  • Risk managers
  • Back office settlement staff
  • Accountants and auditors
  • Legal staff


Instructors

We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

London
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 with responsibility for the maintenance of the existing product range and the development of new products.

He began his career with Ernst & Young and Grant Thornton as a tax specialist, before moving into corporate treasury management at Royal Mail where he was project leader for a treasury and risk management group. In this role he developed risk management protocols and procedures for the use of derivative products. He was responsible for recommending the optimal combination of product types and features for a wide range of situations.

Following the completion of a quantitative finance masters degree, he became senior lecturer in Corporate Finance and Taxation at the University of Greenwich. He is a visiting lecturer to Cass Business School on their Executive MBA programme.

He is a panel member for the Securities Institute, a member of the Association of Corporate Treasurers and an associate of the Institute of Taxation.

Hong Kong
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 with responsibility for the maintenance of the existing product range and the development of new products.

He began his career with Ernst & Young and Grant Thornton as a tax specialist, before moving into corporate treasury management at Royal Mail where he was project leader for a treasury and risk management group. In this role he developed risk management protocols and procedures for the use of derivative products. He was responsible for recommending the optimal combination of product types and features for a wide range of situations.

Following the completion of a quantitative finance masters degree, he became senior lecturer in Corporate Finance and Taxation at the University of Greenwich. He is a visiting lecturer to Cass Business School on their Executive MBA programme.

He is a panel member for the Securities Institute, a member of the Association of Corporate Treasurers and an associate of the Institute of Taxation.

Venue

Hong Kong

4-5 Star Hotel in Hong Kong

All of our courses are held in 4 – 5 star hotels, chosen for their location, facilities and level of service. You can be assured of a comfortable, convenient learning environment throughout the duration of the course.

Due to the variation in delegate numbers, we will send confirmation of the venue to you approximately 2 weeks before the start of the course. Course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

London

Central London Hotel Venue

All courses are held at four or five star venues in Central London, Zone 1. We strive to provide you with a training environment of the highest quality, to ensure that the whole learning experience exceeds your expectations.

Your training venue will be confirmed by one of our course administrators approximately 3-4 weeks before the course start date. If you need help booking accommodation for your visit to our training courses, please contact accommodation@euromoneylearningsolutions.com and one of our partners will help you get the best rate possible.

Related Courses

Inhouse


 

Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:





Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

inhouse-learn-more

We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:


Read more about our offering or complete a call back request to speak to a learning specialist.

 

Agenda

Agendas are localised, please select your preferred location.

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 v security driven transactions
    - Repo v reverse repo
  • Comparison of alternative repo mechanisms
    - Classic repo v buy/sell-back
    - 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), tri-party 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

Securitisation

  • 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
  • Non-deliverable 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

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 v security driven transactions
    - Repo v reverse repo
  • Comparison of alternative repo mechanisms
    - Classic repo v buy/sell-back
    - 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), tri-party 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

Securitisation

  • 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
  • Non-deliverable 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

Why us


We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product