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In Class Training-Online Training
Background: Basel I
Basel III 2.1. Liquidity 2.2. Capital 2.3. Leverage 2.4. Systemic risk
In Class Training-Online Training
Core treasury activities
Obstacles to expansion into emerging markets
Strengthening governance
The enhancement of treasury systems
Improving the accuracy of cash flow forecasts
Managing working capital globally
In Class Training-Online Training
Role of the treasurer
Role of the CFO
Role of the ALCO
Functions of a treasury
Centralising risk
Profit centres and cost centres
Netting and in-house banks
Importance of policies, procedures and risk management controls
Exercise: defining and categorising different types of risk 9.1. Definitions of risk 9.2. Asymmetrical risks 9.3. Understanding the symmetry of market risks
Exercise: testing for long and short positions
Exercise: exposure management
In Class Training-Online Training
Borrowers
Investors and wealth managers
Commercial, investment and private banks
In Class Training-Online Training
Recent trends in ALM
Yield curve analysis
Gap analysis
Net interest income
Duration gaps
Economic value of equity
Value at risk
Setting and monitoring tolerance limits
Optimising income and managing risk
Typical practices in funds transfer pricing
Managing liquidity risk
Likely developments in ALM
Case study: The rules of risk management 13.1. Return and risk 13.2. Transparency 13.3. Experience 13.4. Known unknowns and unknown unknowns 13.5. Communication 13.6. Diversification 13.7. Discipline 13.8. Fraud, mismanagement, greed and corrupt
Case study: bank bosses must ensure honesty is best policy
Case study: FRA’S, futures, and interest rate swaps 15.1. Buying and selling FRAs 15.2. Selling and buying futures 15.3. Paying and receiving fixed rates in the swap markets 15.4. Perfect hedges and basis risk 15.5. Contrasting exchange traded a
In Class Training-Online Training
حالة دراسية: طريقة عمل التحوط 1.1. قياس مخاطر معدل الفائدة 1.2. مدة التحوط المرجح 1.3. موازنة التحوط 1.4. معدلات التحوط 1.5. اختبار التحوط
In Class Training-Online Training
Relationship between spot and forward prices
Approximate forward rates
Hedging with forward contracts
Motives for borrowers
Motives for investors
In Class Training-Online Training
Measuring the initial exposure
Buying puts and calls
Break-evens and pay-off profiles
Relationship between exchange traded options and futures
Put/call parity
In Class Training-Online Training
Fees and expenses
Establishing the cash flows
Plumbing diagrams
All in fixed rate costs
All in floating rate costs
Initial payments and receipts
Annual payments and receipts
Dynamics of basis swap prices
Hedging with basis swaps
Cross default, Pari passu and negative pledges
In Class Training-Online Training
Key liquidity and funding metrics
Understanding the eve and NII results
Role of economic forecasts
Business lines and control function s and strategy
Compliance with limits and planned future actions
Accepting recommendations without debate or challenge
Managing the agenda
In Class Training-Online Training
Time value of money
Future value and present value
Implied repo rates
Discount factors and compound factors
Simple interest and compound interest
Yield and return
Act/act, act/360 and 30/360
Interpreting the yield curve
A guide to money market products
Duration, PV01s and DV01s
In Class Training-Online Training
The mechanism of FRAs
Calculating FRA rates
Hedging and trading with FRAs
Calculating the settlement amount
FRAs and FX swaps
Pricing forwards from FRAs
FRAs and futures
In Class Training-Online Training
Relating EVE to earnings
EVE and estimated actual reported earnings
What does EVE really reveal about future earnings
Managing EVE
Using EVE to alter future earnings
Managing EVE when portfolios are not marketable
Causes of sensitivity in EVE
Hedging the risk in the sensitivity to EVE
In Class Training-Online Training
LCR calculation
Stock of high-quality liquid assets/buffer 2.1. Levels one assets 2.2. Level two assets
Operational requirements
Calculation of net cash outflows
In Class Training-Online Training
The economic value of equity
Positive and negative gaps
Estimating changes in the economic value of equity
Durations of assets and liabilities
Leverage adjusted duration gaps
Hedging with forward contracts
Hedging withe futures contracts
Hedging with swaps
Stress testing hedges
EVE and duration gaps
In Class Training-Online Training
Status quo
Taking a view
Engaging with business partners
Attitude to losses
Balance sheet forecasting
Volatility and liquidity management
Spreadsheets
The costs of FX trading
ISDA and counterparty risk management
Timing of FX results
In Class Training-Online Training
What is FTP?
Why do FTP?
How do you do FTP?
Pooled funding
Multiple pooled funding
Matched maturity method
Refinement - adding to the base cost
FTP In practice
What does the regulator want?
What's the role of treasury?
Are there pitfalls?
In Class Training-Online Training
ALM hedging and market making simulation
ALCO meeting
Hedging, trading and market making session
Protecting the bank’s earnings
Defining a strategy
Managing interest rate risk
Calculating the impact on net interest income
CASE-STUDY: ALM at Lehman Brothers 8.1. Weaknesses in checks and balances 8.2. Valukas Report 8.3. Vulnerability to collapse 8.4. Shadow banking systems 8.5. Fundamental regulatory failure 8.6. Flight risk 8.7. Derivative exposures and market tur
CASE-STUDY: Multi-Currency Asset
In Class Training-Online Training
Capital constraints
Impact on roe and raroc
ALM for capital markets
ALM and balance sheet
Management of RAROC and capital charge of treasury products under Basel Framework
Liquidity constraints
NII sensitivity
Pillar 1
Gain a solid understanding of the regulatory frameworks affecting asset and liability management, including Basel agreements and their impacts on banking operations.
Develop skills to effectively manage and control various types of financial risks, incorporating strategies from global risk management practices.
Deepen understanding of the key roles and functions within treasury operations, focusing on risk centralization, profit centre management, and internal bank funding mechanisms.
Master advanced techniques in managing assets and liabilities, such as gap analysis, duration gaps, and liquidity risk management.
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