The Bank Treasury Function

Skills, Tools, Organization and Controls

Agenda Program
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Prague, NH Hotel Prague
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Treasury Objectives and Responsibilities
An ALM Framework for Treasury Management
Front, Middle and Back Office Functions in Treasury
Building Core Bank Treasury Skills
Understanding Bank Treasury Risks
Derivatives Applications in Bank Treasury
Fundamental Controls in the Treasury Function
Treasury Reporting, Accounting and Internal Audit
The purpose of this seminar is to give you a good and practical understanding of the objectives, tasks, tools and controls of modern treasury management.

We start with a general discussion of the role of the treasury function in banks. The importance of funding choices and sound risk management will be explained, and we define the scope, level and content of the tasks of a "typical" treasury function. We also present an asset-liability framework for treasury management.

We then take a closer look at the organization of a "typical" treasury function. We define the scope, level and content of the function, and we suggest appropriate policies and procedures the day-to-day treasury operations. We also explain the scope and functions of the front, middle and back office operations of the bank treasury.

Further, we discuss what qualifications are required for treasury staff, and we explain how to build core treasury skills, including the practical handling of financial instruments (dealing, clearing, settlement etc.). We present a sample job description and discuss the learning requirements of senior and junior treasury staff.

On day two, we first give an overview of the risks that are faced by the treasury function. The purpose is to give you an overall understanding of how these risks can affect the overall profitability and solvency of the bank. Further, we explain and demonstrate with a number of practical examples how derivate instruments can be used to manage treasury risks. Applications include interest management, spread management, yield enhancement and asset-liability management.

Finally, we give you a thorough review of practical issues related to treasury controls, accounting and reporting. We carefully explain how fundamental operating and organizational controls such as the segregation of duties, rules for dealing, risk limits, access controls, handling of confirmations and settlement etc. should be designed, implemented and monitored. We give examples of important external (regulatory) and internal (management) reporting, including position, profitability and compliance reporting. Accounting issues include "fair value" accounting for financial instruments under IFRS and US GAAP. We also discuss the role of the Internal Audit and explain how audit procedures should be designed to test the internal controls and the accuracy and the propriety of the transactions.

Program of the seminar: The Bank Treasury Function

The seminar timetable follows Central European Time (CET).

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 The Bank Treasury Function – an Introduction

  • What Is “Treasury”?
  • Treasury Objectives and Responsibilities
  • Areas in Treasury Management
  • Treasury Products and Services - Overview
  • An ALM Framework for Treasury Management
  • How Treasury Management Can Create Shareholder Value

Organisational Structure of a Bank’s Treasury

  • Establishing the Framework for Treasury Management
    • Defining the scope, level and content of Treasury Management
    • Defining risk attitude and risk tolerance
    • Formulating a treasury policy
  • The Relationship between Treasury and ALM
  • The Front Office – Scope and Functions
  • The Middle Office– Scope and Functions
  • The Back Office– Scope and Functions
  • The Treasury Dealing Room
    • The dealing room as “clearing house” for matching, managing and controlling market risks
  • Case Study:
    • The Treasury Function at “NoHope Bank”

12.00 - 13.00 Lunch

13.00 - 16.30 Building Core Treasury Skills

  • Understanding the Sources of a Bank's Assets, Liabilities and Profits
  • Overview of Staff Qualification Requirements
    • Striking the correct mix of junior and senior staff
    • Required banking experience
    • Required financial literacy
    • Required IT literacy
    • Desired “soft skills”
    • Case Study: Sample job descriptions for treasury staff member
  • Understanding the Practicalities of Treasury Products and Services
    • Money and capital markets
    • FX markets
    • Derivatives markets
    • Dealing methods
    • Market conventions
    • Managing the Treasury’s investment portfolio
    • Settlement techniques and systems
    • Regulatory issues
  • Regulatory, Industry and Internal “Certification” Programs for Treasury Staff
  • Exercises

09.00 - 09.15 Brief Recap

09.15 - 12.00 Understanding Treasury Risks

  • Overview of Risks in the Bank’s Treasury Function
  • Market Risks
    • Interest rate risk (repricing risk + NPV risk)
    • FX risk
  • Liquidity Risks
    • Funding risk and time risk
  • Credit and Counterparty Risks
  • Operational Risks
  • Overview of Techniques and Tools for Managing Treasury Risks

Derivatives Applications in Bank Treasury

  • Derivatives and their Characteristics
  • How Derivatives Can be Used to Add Value in Treasury
  • Hedging of rate risks
  • Asset-Liability Management with Derivatives
  • Case Studies:
    • Using FRAs and deposit futures for short-term interest management
    • Using FX derivatives to hedge FX risks
    • Using swaps to manage rate risk and create “overlays”
    • Using FRAs, futures and swap to maximize spread income

12.00 - 13.00 Lunch

13.00 - 16.00 Controls, Accounting, and Reporting

  • Fundamental Controls in the Treasury Function
    • Operating controls
    • Segregation of duties
    • Dealing, risk limits
    • Access to the front office, system security, disaster recovery
    • Confirmations and settlement
    • Personnel
    • Document security
    • Oversight controls
  • Treasury Reporting
    • Economic update - based on market sources
    • Foreign exchange positions
    • Long term and short term funding
    • Interest rate exposure, liquidity profile
    • Cash management and investments
    • Profitability, risk and performance
    • Bank relationships and credit exposure
    • Compliance with limits and other rules
  • Internal Audit of Treasury Operations
  • Accounting Issues Related to use of Financial Instruments

Summary, Evaluation and Termination of the Seminar

Training catalogue in PDF
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