Program Overview
Treasury functions are increasingly challenged by rate volatility, liquidity pressures, and regulatory expectations. Banking professionals must interpret market signals, price instruments accurately, and manage risks affecting both the balance sheet and client outcomes. This program builds practical treasury capability through real cases, pricing drills, and simulation-led decision exercises. Participants learn to analyse liquidity conditions, evaluate treasury instruments, assess exposure risks, and respond with clarity and confidence during shifting market environments.
Features
- Analyse market trends, liquidity indicators, and interest rate signals with clarity
- Price key treasury instruments and evaluate their balance sheet implications
- Assess and respond to risks related to liquidity, FX, and interest rate movements
- Apply structured decision frameworks in treasury discussions and ALCO settings
Target audiences
- Treasury and ALM professionals
- Corporate and wholesale banking teams
- FX, rates, and liquidity RMs
- Risk, finance, and middle office
Curriculum
- 4 Sections
- 24 Lessons
- 1 Day
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- Treasury Foundations & Market Architecture6
- 1.1Structure of a modern bank treasury: ALM, markets, trading, and sales
- 1.2Money market instruments: Call money, repos, CBLO/tri-party repo
- 1.3Benchmark rates, yield curves, discounting methods
- 1.4Liquidity management fundamentals: CRR, SLR, LCR, NSFR
- 1.5Interest rate movements: Drivers, term structure behaviour, and macro influence
- 1.6FX market basics: Spot, forwards, swap points, arbitrage alignment
- Instruments, Pricing, Risk Measures & Balance Sheet Impact6
- 2.1Fixed-income instruments: T-bills, G-Secs, SDLs, corporate bonds
- 2.2Pricing fundamentals: YTM, duration, convexity, forward rate extraction
- 2.3FX derivatives overview: forwards, options, swaps (with payoff logic)
- 2.4Interest rate derivatives: IRS, OIS, caps/floors, FRA
- 2.5Risk measurement: PV01, DV01, VaR, duration gap, basis risk
- 2.6Understanding ALCO decision inputs: Liquidity gap reports, interest rate gap statements
- Real-World Treasury Cases, Market Events & Decision Frameworks7
- 3.1Case Study 1 – Liquidity Stress Management
- 3.2Case Study 2 – Bond Portfolio MTM Shock
- 3.3Case Study 3 – FX Exposure Advisory for a Corporate Client
- 3.4RBI intervention patterns and their implications
- 3.5Funding cost optimisation using swap markets
- 3.6Interpreting volatility spikes during macro events
- 3.7Managing basis mismatches across books
- Treasury Operations Simulation, Pricing Exercises & ALCO Decision Lab5
- 4.1Bond Pricing & MTM Exercise: Compute price sensitivity under multiple yield shifts
- 4.2Liquidity Allocation Drill: Allocate funds across call money, repo, T-bills, and CPs to meet LCR/NSFR constraints
- 4.3FX Forward Pricing Simulation: Construct forward rates using swap points, then interpret payoff behaviour
- 4.4ALCO Simulation: Teams recommend rate actions, liquidity strategy, and portfolio positioning using synthetic bank data
- 4.5Hedge Suitability Identification: Classify exposures and match them with appropriate interest rate or FX instruments
Instructor
