Treasury Products - Money and FX Markets, Derivatives and Structured Solutions

Duration:
3 days
Location:
Prague, NH Hotel Prague
  • Loans and Credit Facilities
  • Money Market Instruments
  • The Libor and OIS Markets
  • Repos and Reverses
  • Bonds, Covered Bonds and CoCos
  • Foreign Exchange Products
  • Derivatives and Structured Products
  • Clearing and Reporting Obligations under EMIR
The purpose of this seminar is to give you a highly practical guide to treasury products and their uses in the day-to-day financing and risk management operations of industrial corporations and financial institutions.

After a general introduction and overview, we present and explain the range of loan and credit facilities available for cash management and funding. These facilities include (interbank) borrowing and lending, syndicated loans, underwriting facilities and MTN-programs.

We then look at the market for negotiable money-market instruments, including commercial paper, certificates of deposits, and treasury bills. In each case, we explain how they are priced and traded. We also cover bonds, repos and reverses and their uses.

We then turn to the FX markets. We explain how these markets work and how FX products are used for financing, investment and risk management purposes. We explain different approaches to hedging, including cash-flow hedges, rolling hedges, cross hedges and proxy hedges using spot and forward FX contracts.

Furthermore, we give a thorough introduction to derivative products such as FRAs, swaps, overnight index swaps, interest rate and FX options, and explain how these products are used to hedge repricing risk, cash flow risk and fair value risk. We also look at how "structured products" can be used to obtain "yield enhancement", to reduce financing costs, or for the indirect hedging of financial and commodity risks.

We give an overview of different mechanisms and systems used for trading, clearing and settlement of transactions in treasury products. We also look at some of the accounting, documentation and regulatory issues involved in using treasury products, including the use of master agreements, and the clearing and reporting obligations under the new EU (EMIR) and US (Dodd-Frank) regulations.

09.15 - 12.00 Introduction to Treasury Products

  • The Role of the Treasury Function
  • Overview of Treasury Products and their Uses

Loans, Credit Facilities and Money Market Instruments

  • How the Money Markets Work
    • Market participants, terminology, price dissemination, trading systems, …
  • Traditional Bank Loans, Credit Facilities and Syndicated Loans
  • The Interbank (Libor) Market
    • How the Libor markets works
    • The future of Libor after the fixing scandals
    • OIS and other alternatives to Libor
  • Negotiable Money Market Instruments
    • Commercial Paper, Certificate of Deposits, Treasury Bills

12.00 - 13.00 Lunch

13.00 - 16.30 Loans, Credit Facilities and Money Market Instruments (continued)

  • Repos and Reverses
    • Introduction to repos and overview of the markets
    • Types of repos
    • The function of the repo markets
    • Using repos for financing and investing
    • Collateral management
  • Small Exercises

Bond Markets and Instruments (Overview)

  • Overview of Bonds and Bond Markets
  • Using Bonds for Corporate and Bank Financing
  • Using Covered Bonds
  • Contingent Convertibles (CoCos)
  • Investing in Bonds –Key Issues
    • Investment strategies in a low-yield environment
  • Small Exercises

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Foreign Exchange Products

  • How the FX markets work
    • Market participants
    • Terminology
    • Price dissemination
    • Trading, clearing and settlement
  • The Spot FX Market
    • Quoting conventions
  • Forward FX Transactions
    • Outright forwards
    • Spot/forward
    • Forward/forward transactions
  • Liquidity Issues in the FX Markets After the Crisis
  • Cases:
    • Hedging FX transaction exposures
    • Hedging economic FX exposure
    • Hedging commercial cash flows
  • Small Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Derivate Treasury Products

  • Forward Rate Agreements and Forward Spread Agreements
    • Mechanics, pricing, uses in Treasury
    • Creating synthetic FRAs
    • Case Study: Locking in Funding Costs with FRAs and FSAs
  • Swaps
    • Interest rate swaps and their mechanics
    • Cross-currency swaps
    • Dollar liquidity and basis swap spreads
    • Asset swaps and liability swaps
    • Case study: Locking in borrowing rates with interest rate swap
    • Case study: Issuing synthetic bond and calculating the all-in costs
    • Case study: cash flow and fair value hedges with swaps
  • Cases and Exercises

Day Three

09.00 - 09.15 Recap

09.15 - 12.00 Derivate Treasury Products (Cont’d)

  • Interest Rate Options
    • Caps, floors, swaptions and their mechanics
    • Case: Managing interest rate risk on variable rate debt using swaps, caps or collars
    • Case: Managing multidimensional interest rate risk with swaptions
  • Other Derivate Treasury Products
    • Futures
    • Currency Options
    • Exotics
  • Documentation and Accounting Issues
    • Using master agreements
    • Accounting treatment
    • Capital charges
  • Regulatory Issues
    • Clearing and reporting obligations under EMIR and Dodd-Frank
  • Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Structured Treasury Products

  • Motives, Advantages and Disadvantages of Using Structured Financing Products
  • Building Blocks of Financial Engineering
  • Issuing Structured Bonds and Notes
  • Examples of Structured Notes and Bonds
    • Reducing financing costs by issuing inverse floaters, bear notes etc.
    • Managing interest rate risk by issuing capped floaters etc.
    • Managing commodity and currency risk by issuing commodity-linked notes
    • Managing credit risk by issuing credit-linked notes
  • Asset-Backed Financing
    • Securitizing receivables
    • Asset-backed commercial paper programs
  • Small Exercises

Evaluation and Termination of the Seminar

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