Treasury Crash Course

An introductory course on treasury operations that provides a mix of core treasury topics as well as certain application topics. The primary focus of the core topics is to introduce key terms that you are likely to see in use in a bank’s Treasury Operations whereas the applications elaborate on key concepts such as treasury profitability, derivatives products and pricing, asset liability management, liquidity management.

 

Topics covered:

1. What is a Treasury

• The Money Market Desk
• The FX Desk
• The Equity Desk
• The Specialized Desks
• What do treasuries do?
• Difference between a corporate and bank treasury function

1. The Treasury Function
2. FX desk Trade Flows
3. Treasury operations, including user roles and activities for the front, middle and back office functions
4. Common Treasury terminology
5. Treasury markets (such as FX Market, Money Market, Capital Market) and products
6. Cross Selling Treasury Products

• Five core themes for treasury customer discussions (Price, Risk, Value, Products and Limits)
• Core Treasury products and TMU customer reactions

1. Derivatives Terminology crash course (including products and payoff profiles)
2. Derivatives Products and Pricing

• Standard Template for Evaluating Derivatives
• Types of derivatives (forwards, futures, options, swaps)
• Product Variations for each type
  • Advanced derivative products (such as structured and credit products)
  • Calculating Forward Prices and Rates in EXCEL
  • Other Treasury Formulas
  • Asset Liability Management
• Types of risks
• Duration and Convexity
• Risk Measurement tools (such as MVE, EAR, NIIR, Gaps, Cost to Close)
• ALM Applications (immunization, dedication)
  • Liquidity Management
• Ratios and Analysis
• Contingency Funding Plan
• Liquidity Enhancement Techniques
  • Setting Limits
• Risk Limits and Control Process (including an overview of the types of limits and limit hierarchy)
• A detailed look at limits (including stop loss, VaR, regulatory, duration, convexity, PVBP, PSR, counterparty, settlement risk, concentration limits)
• Application of limits to products
• Liquidity Risk limits (including cash flow mismatch, maturity, concentration, contingent liability limits)
• Interest Rate Risk limits
• Limit Breach, Exception Processing and Reporting and  Action Plans for trigger zones
  • Treasury Profitability (FX and Capital Market Desks)
  • Calculating VaR at Risk – step-by-step methodologies, caveats and qualifications
  • Build maturity and liquidity profiles for deposits and advances

 

EXCEL files:

The deal also includes 3 EXCEL files that cover the following concepts:

1. ALM Measurement tools

• Market Value of Equity (MVE)
• Earnings at Risk (EAR)
• Cost to Close – Liquidity Risk
• Cost to Close – Interest Rate Risk

1. Duration and Convexity Example

Value at Risk calculations using the Variance-covariance (VCV) and Historical Simulation approaches