School of Treasury Products and 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.

Course Highlights

Attend this highly practical residential course and you will:

Learn how treasuries function in banks and corporations

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

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
24 - 28 May 2010	£ 4599		-
22 - 26 Nov 2010	£ 4599		-

Course Programme

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

Case Studies:

StoraEnso – Transaction Exposure Management
StoraEnso – Translation Exposure Management
StoraEnso – Economic Exposure Management

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, ROTCE, ROC, RAROC, 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.