Professional Course

A Masterclass in Treasury Risk Management

Length
5 days
Price
4.41 GBP + tax
Next course start
6 September, 2024 See details
Delivery
Classroom
Length
5 days
Price
4.41 GBP + tax
Next course start
6 September, 2024 See details
Delivery
Classroom
This provider usually responds within 48 hours 👍

Course description

IFF

A Masterclass in Treasury Products & Risk Management

  • Choose when to use a risk management technique to give the best results
  • Identify, measure and manage your firm’s currency and interest rate exposures
  • Save yourself and your clients money by using cost-effective hedging techniques
  • Use your new understanding of the mistakes others have made to avoid making losses
  • Use recent market transactions to learn what happens when treasury risks are managed well and what happens when they are not

Upcoming start dates

1 start date available

6 September, 2024

  • Classroom
  • London

Training content

Day 1

Currency Risk Management Policies

  • The role of the treasurer
  • The role of the CFO
  • The functions of a treasury
  • Profit centres and cost centres
  • Centralised and decentralised treasuries
  • Netting and in-house banks
  • The importance of policies, procedures and risk management controls

The Users of Treasury Products

  • Borrowers and issuers
  • Investors: Asset managers, wealth managers, hedge funds and private equity
  • Banks: Central banks, commercial banks, investment banks and private bank

Currency Risk Management Solutions

  • Spot foreign exchange
    • base and variable currencies
    • appreciation, depreciation, strengthening and weakening of currency positions
    • calculating cross rates
  • Forward foreign exchange
    • forward pricing
    • forward points
    • discounts and premiums
  • Foreign exchange swaps
    • origin of the product
    • comparison with repos
    • efficiency of the product
    • FX swaps turnover
  • Currency swaps
    • exchanges of principal
    • gross and net settlement of differentials
    • relationship to forward outrights and FX swaps
    • advantages over the forward market
  • Currency options
    • asymmetric risks
    • reconciling options with our pricing principles
    • comparison with the forward market
  • Natural hedging

Day 2

Hedging

  • 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
    • initial and variation margins work
    • Herstatt risk
    • DVP, PVP & CLS Bank
    • symmetrical and asymmetrical risk management
    • equal and opposite positions
    • IAS 39 and IFRS 9

Measuring Treasury Performance

  • Defining objectives
  • Challenges in performance measurement
  • ROE, modified duration, PV01, DV01 and VaR
  • Banks and corporations: approaches to performance measurement

Day 3

Money Markets and Interest Rate Risk

  • T-Bills, CDs, CP, ABCP
  • IBORs, IBIDs, IMEANs and the interbank money markets
  • Replacing LIBOR
  • SONIA, EONIA, ESTR, SARON, TONAR & SOFR
  • Repos, securities lending and sell/buy backs
  • Day count conventions: act/360, 30/360 and act/act
  • Discounts and yields
  • Present values, future values, IRRs, YTMs and AICs
  • ICMA 803.1 & 803.2

Understanding Money Market and Swap Market Yield Curves

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

Interest Rate Hedging Tools

  • FRAs and 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
    • paying and receiving the basis
    • exchanges of principal
  • Using currency options

Day 4

Swap Driven Bond Issues

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

Asset Liability Management

  • Gaps
  • Structural interest rate risk
  • Borrowing short and lending long
  • Leverage and structured products
  • The role of ALCOs
  • Hedging strategies in practice
  • Market cycles
  • Lessons from the crisis
  • Perspectives of banks and companies

Day 5

Equity Capital Markets: Medium and Long-Term Financing Strategies

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

Debt Capital Markets

  • 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

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
  • The Liquidity Coverage Ratio and the Net Stable Funding

Costs

Course Fee: £4999.00 + VAT (London), £2999 + VAT if applicable (Online)

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IFF - International Faculty of Finance
Maple House 149, Tottenham Court Road
W1T 7AD London

International Faculty of Finance - IFF Finance & IFE Energy - Specialist Training Courses

As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

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