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THE TREASURY FUNCTIONOverview of the Treasury FunctionImportance of TreasuryThe role of the TreasurerTreasury in the organizational structureGovernance: Policies and ProceduresRole of Audit and Risk ManagementALCO, Limits and VaRCost of CapitalDebt/Equity RatioBIS Capital RequirementsSHORT TERM RATE RISKSShort Term Interest Rate InstrumentsCD?s, CP, T-Bills, Repos, ReversesShort Term Risk ManagementManaging Floating ExposurePricing forward interest ratesFuturesFutures Margin ManagementFRA?s vs. FuturesInterest Rate OptionsOIS SwapsExercises and Case Studies: Managing Short Term Rate RiskMANAGING FOREIGN EXCHANGE RISKSpot, Forward and FX Swap TransactionsPricing Forwards and Money Market arbitrageNon-deliverable forwardsCurrency OptionsCounterparty RisksTransaction ExposureTranslation ExposureEconomic ExposureExercises and Case Studies: Managing Customer TransactionsINTEREST RATE RISK AND LIQUIDITY: GAPPINGGap AnalysisTypes and Uses of Gap AnalysisRate ShocksCost to closeLiquidity MetricsSimulation ApproachesExercises and Case Studies: In small groups, you will prepare and interpret a Gap ReportMANAGING THE RISKS OF LONG TERM SECURITIESFixed Income Markets and InstrumentsUnderstanding yield curvesAnalyzing Reinvestment RiskMacaulay DurationModified DurationConvexity AdjustmentsUnderstanding portfolio durationBond OptionalityExercises and Case Studies: Balance sheet impact of long term securitiesUSING SWAPS AND RELATED PRODUCTSSwap PricingAnalyzing Swap Cash flowsConstructing the Discount FunctionHedging with SwapsSwaps and the Capital MarketsBasis SwapsExercises and Case Studies: Swaps Case Studyfull course details please visit our website

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