The IFF School of Treasury Products & Risk Management

A masterclass in understanding treasury markets and products. Designed with practitioners in mind, the course looks at the spectrum of treasury products and will teach you how to utilise them in a trading, hedging and risk management context.

The course includes a large array of treasury management exercises and case studies based on well-known multinationals.  It aims to augment your ability to discuss treasury risks with clients, customers, prospects and your colleagues within your division of your firm.  The course encourages dialogue among the participants, as well as with the trainer.

Participants who enroll on this programme will have the opportunity to practice treasury management during each of the five days of the course.  When you leave your will have a short, medium and long-term plan for developing their treasury management expertise in your own firms. 

Scroll down for agenda or book onto this course.

Day 1

Treasury Risk Management

• Role of the treasurer
• Role of the CFO
• Functions of a treasury
• Profit centres and cost centres
• Netting and in-house banks
• Importance of policies, procedures and risk management controls

Case Study: Treasury risk management at Nokia

Group Exercise: Defining and categorising different types of treasury risk:

• Definitions of risk
• Asymmetrical risks
• Understanding the symmetry of market risks

Group Exercise: Testing for long and short positions

Group Exercise: Exposure management

Who Uses Treasury Products?

• Borrowers
• Investors and wealth managers
• Commercial, investment and private banks

Case Study: Treasury risk management at Apple

Currency Risk Management Meeting

Treasury Solutions – Currency Risk

• Client exposure management
• Hedging solutions - market
  - Spot foreign exchange
         * Base and variable currencies
         * Cross rates
  - Forward foreign exchange
         * Forward pricing
         * Forward points
  - Foreign exchange swaps
  - Currency swaps
         * Exchanges of principal
         * Gross and net settlement of differentials
         * Relationship to forward market
         * Advantages over forward market
  - Currency options
         * Comparison with the forward market
• 'Natural' hedging

Corporate Treasury Risk Management

• Hedging analysis: summary
  - Selective hedging
  - Partial hedge/run dynamic position

Commodity Hedging and Trading Simulation

Group Discussion: Hedging

DAY 2

Treasury Risk Management Meeting: StoraEnso

How Hedging Works

• Identifying and analysing risk
  - Types of risk
  - Long and short positions
• Hedging
  - Physical delivery
  - Contracts for differences
  - The importance of carry
  - Put/Call parity
  - The role of leverage in derivatives hedges
• OTC and exchange traded products
  - How initial and variation margins work
  - Herstatt risk
  - DVP, PVP & CLS Bank
  - Symmetrical and asymmetrical risk management
  - Equal and opposite positions
  - Correlation and partial hedges
  - When is a hedge a speculative position?
  - IAS 39

Group Exercise: Hedging

Strategies for Using Treasury Products

• Understanding the client's appetite for risk
  - Borrowers
  - Investors
• Upside/downside and downside/upside strategies
• Identifying exposures revisited
• Know your client

Measuring Treasury Performance

• Defining objectives
• Challenges in performance measurement
• ROE, Modified duration, PV01, VaR…
• Banks and corporations: approaches to performance measurement

Case Study: Measuring performance at JPMorgan

Evaluating the Benefits of Treasury Management

• Evaluating upside and downside risks
• Advising clients on risk management
• Managing costs

Case Study: Forecasting and treasury risk management

Interest Rate Hedging and Trading Simulation

Day 3

Group Exercise: Relating market news to currency risk management

Group Exercise: How markets move

• Economic fundamentals
  - Macro-economic data
  - Micro-economic data
• Technical analysis
  - Trend lines
  - Support and resistance levels
  - Moving averages
• Random walks
  - Knowns and unknowns
  - Efficient markets hypothesis

Group Discussion: What we know (and what we don't) about markets

Treasury Risk Management Meeting: CitiBank / International Paper

Money Markets and Interest Rate Risk

• TBills, CDs, CP, ABCP
• IBORs, IBIDs, IMEANs and the interbank money markets
• Repos, Securities Lending and Sell/Buy backs
• Day count conventions: act/360, 30/360, act/act ....
• Discounts and yields
• Present values, future values, IRRs, YTMs and AICs
• ICMA 803.1 & 803.2

Understanding Money Market/Swap Market Yield Curves

• Liquidity preferences
• Preferred habitats
• Market expectations
• Market segmentation
• Efficient markets?

Case Study: The lessons of the credit crisis of 2007-2009

Treasury Solutions – Interest Rate Risk

• Fixed rate and floating rate risk

Exercise: Measuring fixed and floating rate risk; 5 year fixed rate bond vs 5 year FRN

• Quantifying interest rate risk
• Interest rate sensitivity
• PV01s and DV01s
• Interest rate gaps
• GAP analysis
• Calculating, understanding and using Macaulay's duration
• Calculating, understanding and using modified duration and convexity
• Using duration as a hedging tool
• Interest rate liability management
  - Fixing floating rate debt in the forward market
  - Fixing floating rate debt in the futures market
  - Fixing floating rate debt in the swap market
  - Hedging with interest rate options
• Interest rate asset management
  - Forwards
  - Futures
  - Interest rate swaps
  - Interest rate options

Group Exercise: Analysing exposure types. Participants will determine the interest rate exposures of Nokia and Apple

Hedging Tools

• FRAs or futures?
• Using interest rate swaps
  - Generic, 'plain vanilla' swaps
  - Swap structures
  - Par/par structures
  - Forward starting swaps
  - Amortising, accreting and roller-coaster swaps
• Caps, floors and collars
  - Option pricing
  - Importance of delta and gamma in hedging
• Swaptions

Multi-Currency Debt Management

• Using forward foreign exchange outrights
  - Forward pricing
  - Covered interest arbitrage
  - Forward points
  - Discounts and premia
  - Hedging currency debt
  - Arbitraging the credit spread
• Using FX swaps
  - Hedging currency debt
  - Arbitraging the credit spread
  - The carry trade
• Using currency swaps
• Using currency options

Group Exercise: Participants will use currency derivatives to manage corporate exposure management positions

Interest Rate Swap Hedging and Trading Simulation

Day 4

TREASURY RISK MANAGEMENT MEETING: APPLE/UBS

Interest Rate Risk Management

• Sources of floating rate finance
• Sources of fixed rate finance
• Contracts for differences and physical delivery

Group Exercise: Participants will examine the interest rate risk management strategy of Procter & Gamble

Case Study: StoraEnso's interest rate risk management strategies

Case Study: International Paper's interest rate risk management strategies

Corporate Asset & Liability Management

• Gaps
• Borrowing short and lending long
• Leverage and structured products

Group Exercise: Participants will suggest the different ways that interest rate derivatives can be used to cover interest rate risk by corporate treasurers

Currency Hedging and Trading Simulation

Day 5

Treasury Risk Management Meeting: Nokia / Santander

Medium and Long-Term Financing Strategies Capital Markets – Equity

• ADRs and GDRs
• Shares and preference shares
• Pricing
• Multiples
• Origination
• Underwriting
• Distribution

Case Study: VA Linux

Case Study: Vivendi/Goldman/Deutsche

Capital Markets – Debt

• Government, corporate and international bond issues
• Fixed rate issues
  - Pricing
  - Benchmarks
  - AIC, YTM, IRR
  - Origination
  - Underwriting
  - Distribution
• Floating rate notes
  - Pricing
  - Distribution
• The term structure of interest rates
  - Using zero coupon rates
  - Calculating the Z-spread

Case Study: Vodafone/Goldman Sachs

Liquidity Risk Management

• Lessons from the Crisis
  - Stress testing
  - Contingency funding plans and asset market liquidity
  - Off-balance sheet activity and contingent commitments
  - Capital
  - Supervision and market information
  - Central bank facilities
• Measurement and management of liquidity risk
  - Identifying, measuring and controlling liquidity risk
  - Managing liquidity across business divisions
  - Funding strategies
  - Managing intraday liquidity
  - Stress testing
  - Contingency funding plans
  - Liquidity cushions

Case Study: Participants will compare and contrast liquidity risk management at HSBC, Goldman Sachs, Apple and Nokia

Asset and Liability Management

• The role of ALCOs
• Hedging strategies in practice
• Market cycles
• Lessons from the crisis
• Perspectives of banks and companies

Case Study: Using index futures, index swaps in asset and liability management. Participants will examine a hedge from the perspectives of the asset and liability managers, the market maker and the regulators

Debt Management

• Efficient uses of capital
• Equity finance and debt finance: advantages and disadvantages
• The importance of leverage
• The importance of capital adequacy
• Value-at-Risk

Translating the Training into Action

Each participant will create a one-week, one-month and three-month treasury risk management plan for translating the training into action. 

Attend this highly practical residential course and you will: 

• Learn how treasuries function in banks and corporation
• Gain an insight into managing currency and interest rate risk
• Discover how to create successful treasury policies
• Understand how to identify risks and how to hedge them
• Explore the relationship between trading and hedging
• Develop a knowledge of the currency risk management strategies of major corporations and how to profit from them
• Gather more information about attitudes to risk and its management