Treasury Products Workshop
This two-day course provides a solid grounding in the products used in treasury management within banks. As well as explaining relevant terminology and jargon, it provides a practical understanding of the valuation and relative merits and looks to answer 3 basic questions for each:
What are they?
How do they work?
When do they use them?
In terms of sophistication, the course assumes no prior knowledge of these products and is aimed at those who are perhaps new to treasury or those who work with/in support of treasury and want a better understanding of the products used.
Day 1: ‘Cash Instruments’
• Course Overview
• The time value of money
• The term structure of interest rates
• Basic financial maths and day count conventions
Wholesale Short Term Funding Instruments:
• The role of the money markets and it’s participants
• Calculating LIBOR and it’s relevance
• Examples of money market instruments and differences between accrual and discount yields
Wholesale Long Term Funding Instruments:
• Bonds explained
• Pricing bonds and understanding yield to maturity
• Drivers of price – market expectations, credit quality and collateral
• Types of Issuers
• Brief overview of Duration
Non-Wholesale Funding Instruments:
• Lessons from the credit crisis – how preferences have changed
• Types of non-wholesale products (current accounts, savings accounts and retail investment)
• What makes non-wholesale funding ‘sticky’
• Brief Overview of Funds Transfer Pricing and Behaviouralisation
• Cash FX instruments defined – Spot, Forwards and FX Swaps
• Understanding the 2 way Quotation and other key jargon explained
• Derivation of forward points
• Using FX Swaps in cross currency funding
Day 2: Derivatives Instruments
Market structure and how derivatives are used:
• What is a derivative generically?
• Why use them for hedging?
• Exchange traded versus OTC products
• Regulations EMIR/Dodd Frank
• Futures defined
• How do they work
• Centralised counterparties and margining
• Using Short term interest rate futures (STIRs) to hedge IR risk
• Options defined
• Payoff profiles – the hockey sticks
• Understanding the premium – Black Scholes simplified
• Uses in FX and IR risk management and basic Strategies
• Forward rates agreements (FRAs) defined and compared to Futures
• Calculating forward rates
• Uses in hedging
Interest Rate Swaps:
• The basic vanilla ‘Coupon’ swap defined
• Uses of Swaps – managing IR risk, credit ‘arbitrage’ and duration
• The bond methodology for pricing and valuation of swaps outlined
• Variations on the theme – different types of swaps (SONIA, CDS etc) and profiles (amortising, rollercoaster etc)
As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.