Training Programme - Integrated Treasury Bourse Programme May 23-27, 2011 (5 days)

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1 FIMCIR/ /03 May 5, 2011 To All FIMMDA Members/ Non Members Dear Sir / Madam, Training Programme - Integrated Treasury Bourse Programme May 23-27, 2011 (5 days) The Treasury Management course is designed to give an overview of the Treasury market and will facilitate a better understanding of the major facets of treasury and financial risk management. The course will impart knowledge through step by step instruction and assisted by worked examples and simulated worksheets. Objectives To enhance the requisite knowledge and professional skills of treasury managers; To analyse the changing role of treasury function in banks and financial institutions in the competitive environment; To examine various strategies for improving treasury operations; and To visualize further developments in treasury function. The course will cover the following: Changing profile of treasury function Role and functions of front, mid and back office Structure and working of money, securities and forex markets Developments in gilts market Cost of funds, computation of yield and yield curve Bond mathematics and foreign exchange arithmetic Managing investment portfolio and trading strategies Auction system, repo deals, liquidity adjustment facility Managing risk in treasury operations

2 Asset-liability management and management of liquidity Capital adequacy norms Profit planning Integration of financial markets The market terminology and uses of financial instruments The principles of valuation of financial instruments Liquidity management Risk diversification Treasury Products Money, Fixed Income and FX Target Audience This course will benefit the Front Office, mid office and back office personnel in domestic treasury of Banks; interest rate risk desk of corporate treasuries; asset management companies with fixed Income funds; and internal and statutory auditors of fixed Income securities operations. The brief details of the programme are as under: Programme title : Integrated Treasury Bourse Programme Course handled by : Girish V.S & Nirali Shah Course Fee : 15, % Service Tax i.e Rs. 16,545 Period : May 23 27, 2011 Timing Venue : am to 5.00 pm including lunch break : Fixed Income Money Market & Derivatives Association of India (FIMMDA) 2 nd Floor, The International 16 Maharishi Karve Road, Churchgate, Mumbai Ph no: /91/94

3 A tentative time - table (Annexure I) of the course is enclosed for your perusal. Regd. Office: The International Please send your registration forms by phone/fax, mentioning number of candidates you are sponsoring, followed by your detailed letter. As the program is highly subsidized, we can take trainees only on a first come first served basis, and maximum 18 candidates. For further queries you can contact FIMMDA at /91/94 or mail at arwa@fimmda.org/ aradhya@fimmda.org Yours faithfully, Chief Executive Officer Encls: Registration Form Annexure I (Training Programme - Integrated Treasury Bourse Programme)

4 REGISTRATION FORM TRAINING PROGRAMME - INTEGRATED TREASURY BOURSE PROGRAMME (May 23-27, 2011) Details of Participant Name : Designation : Organization : Department : Office Address : Telephone Number : Fax Number : ID : SIGNATURE : Date:

5 Annexure 1 Each session: 1.5 hours Course Duration The course will be conducted over a period of five days. The first two days will take the participants through the theory of treasury markets. This phase will include case studies, real time portfolio analysis and problem solving. Day 3 & 4 will be devoted to simulated trading moving from money markets, bond markets, forex markets and finally integrated treasury desks. Day 1 Session 1 - MONEY MARKET PRODUCTS A review of what money markets and the products: Time Deposits As short term funding Placing & recovery Domestic and off-shore Certificates of Deposit Benefits in liquidity management Enhancing returns by trading REPOS Uses in raising cash Uses in reverse repo Examples and Exercises Settlement of Money market deals Session 2 - BONDS AND BOND MARKETS Introduction Types of Bonds How Bonds Are Traded

6 Issuer and Investor Perspectives Cash Flow Analysis Cash Flows for Typical Bond Structures Time Value of Money Future and Present Value Simple and Compound Return Annuities Clearing and settlement Examples and Exercises Session 3 - Bond Mathematics The Price/Yield Relationship Clean and Dirty Price Accrual Conventions Types of Yield o YTM o Realized yield o Horizon yield o Yield to call Yield Calculation Yield Conventions Yield Decomposition o Current yield o Interest upon interest o Pull-to-maturity The Yield Curve Session 4 - Risk Analysis Price Volatility and Interest Rate Volatility Sources of Interest Rate Volatility Key Ratios for Interest Rate Sensitivity o Duration o Modified Duration o Dollar Duration o BPV o Convexity and Relative Convexity Portfolio Key Ratios

7 Day 2 Session 1 - Zero Coupon Analysis Spot rates vs. Coupon Yields The Par Curve Constructing the Spot-Rate Curve Bootstrapping Using the Yield Curve to Price Bonds Exercises Types of yield curves o spot rate curve o forward rate curve o Mathematics behind yield curves o Basics of yield curve risk o hedging and duration Session 2 - Pricing Floaters General Features of Floaters Discounted Margin Model Valuing Floaters using Forward Rates Price Sensitivity of Floaters Valuing Inverse Floaters and CMS Floaters Small Exercises Session 3 & 4 Treasury Game Trading in Money and Bond Markets Mechanism of bond and money market trading Trading in call money market Trading in bond market and repo market Day 3 Session 1 FOREIGN EXCHANGE MARKET PRODUCTS A review of some forex mechanics How the market operates

8 How spot rates are quoted How forward rates are quoted Clearing and settlement of forex deals Exercises Spot Foreign Exchange Transactions Delivery & operations Assumption of risk & exposures Forward Foreign Exchange Outrights Costs & gains from interest differentials Forward options Constructing the hedge Evaluating its outcome Session 2 Foreign Exchange Swaps Uses in liquidity management Funding & investment swaps Time management and position moving Session 3 & 4 Treasury Game Trading in Currency Markets Mechanism of forex trading Merchant and interbank deals Cover operations Proprietary trading Day 4 Session 1 - Equity Markets Functions and features of equity markets Equity market participants Trading and settlement procedures Order types Valuation models Construction of the Index Index Futures & Options Introduction to Mutual Funds Understanding NAV

9 Session 2 - Derivatives Introduction to Derivatives MIFOR MIBOR Introduction to Interest Rate Swaps Overnight Indexed Swaps Introduction to Futures, Forwards & Options Session 3 & 4 Treasury Game Integrated Treasury Integration of forex, money and bond markets Effective utilization of integration between forex and domestic markets Structuring integrated treasury deals Day 5 Session 1, 2 & 3 Treasury Game Integrated Treasury : Continued Integration of forex, money and bond markets Effective utilization of integration between forex and domestic markets Structuring integrated treasury deals Session 4 Summing it up an exercise to understand how things came together

10 Profile of Girish V S Girish is the CEO and Managing Editor of The Banking & Financial World a B2B magazine devoted to the financial services community in India. Girish has more than twenty five years of domestic and international professional experience, including 14 years in IT services to the banking and financial services domain. Girish was a risk management consultant to the banking sector, primarily focused on model validation. Girish has taught extensively at a number of institutions in India and Middle East. His past teaching assignments included Mumbai Business School, S P Jain Center for Management, Dubai and India, National Institute of Bank Management, Pune, Bankers Training College, Mumbai, Bank of India Staff Training College, ITM Vashi, among others. Girish has contributed to magazines and is also on the expert panel for Financial Services for Headlines Today and Aaj Tak News channels. Profile of Nirali Shah Ms. Nirali Shah is a MBA (Finance) (Masters in Financial Management) from JBIMS. Nirali has domain knowledge of Financial Markets and Treasury & Risk Management. Nirali has 14 years of experience in software development for financial market0s. Nirali promotes Shashvat Systems which specialises in Systems, Consulting & Training in Algorithmic Trading for Indian and South East Asian markets, Institutional Treasury Management & Operations, Risk Management - Market Risk. Nirali s past teaching assignments include Borland India, and Mumbai Business School among others.

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