Bank Treasury Today 

• The key roles of treasury
• The key issues in treasury in 2023
• The IMF report on Egypt and the lessons for a bank’s treasury
• Treasury issues locally and internationally
• Interest rate expectations and the impact on treasury 

Auditing the Treasury – Identifying, Analysing and Managing Risk 

• The structure of a treasury function
• Front, middle, and back office functions
• The treasurer’s role
• Risk versus return and its impact on capital
• Types of risk within a treasury area: when are they addressed
• Credit
• Market
• Operational
• Liquidity
• Other Risks
• Identification analysis & control of risk
• An introduction to key modelling approaches:
• VAR
• Back testing
• Stress Testing
• Simulation

Case Study:  What are the key risks in your treasury?  

Case Study:  Develop an audit program to address the auditing of the treasury risk register     

Auditing the ALCO 

• The role of ALM
• Relationship to risk management
• The role of the ALCO
• Membership of the ALCO
• ALCO minutes
• Centralised or distributed treasury operations
• The role of the Treasurer
• Reporting to ALCO

Case Study:  Develop an audit programme to address the audit of the ALCO 

Auditing Bank Capital Management

• The role of ALCO in bank capital management
• The impact on banks of changing regulations
• Managing Cash & Working Capital
• Liquidity Risk Management
• Forecasting Cash Flows
• Financing with Debt versus equity
• Maturity Profiles
• Fixed versus floating
• The question of mismatches
• Hedging approached and cost
• The risks of capital management
• Controls over bank Capital management

Case study: Develop an audit programme to address bank capital management

Auditing the Dealing Room 

• How are deals transacted
• The Greeks
• Valuation techniques
• Introduction to models
• The importance of software
• Transaction recording
• Ethics and policy
• Front end control systems
• Training and education
• The role of risk management

Case Study:  Develop an audit programme to address controls in a dealing room environment 

Auditing the Middle and Back Office 

• The role of the Middle and Back Office
• The transaction cycle
• Reconciliations and settlement
• Documentation and contracting
• The role of ISDA
• Using and negotiating ISDA
• The role of the central counterparty
• Collateral management
• Valuation and processing
• Investigating issues

Case Study:  Develop an audit programme to address middle and back office processing 

Case Study:  Develop an audit programme to address collateral management

Auditing Foreign Exchange and Foreign Exchange Risk Management

• Types of transaction
• Spot transactions
• Forward transactions
• Yield curves and valuation issues
• Translation exposure
• Currency options
• Hedging decisions
• The risk in foreign exchange risk management
• Controls over foreign risk management

Case Study: Develop an audit programme to address the management of foreign exchange risk

Case Study:  Develop an audit programme to address the audit of foreign exchange transactions 

Auditing Interest Rate Risk Management

• The impact of liquidity on interest rates
• Gap analysis and the maturity ladder
• Types and uses of the gap analysis
• Stress testing and the impact of rate shocks
• Simulation approaches
• Duration
• Convexity adjustments
• Repo – financing and liquidity operations
• The risk in modelling interest rate risk
• The controls over interest rate risk

Case study: Develop an audit programme to address the management of interest rate risk 

Auditing the use of Money Market and Other Asset Classes 

• The anticipated return
• Overnight cash management
• Use of the money markets
• Key asset classes
• Asset securitisation
• High yield bond markets
• Other relevant asset classes
• Due diligence
• Suitability issues

Case Study:  Develop an audit programme to address the use of money market and other asset classes

Auditing the use of Derivative and Forward Transactions

• The role of the Board and senior management
• Knowledge and skills
• What is a derivative?
• The knowledge gap in audit
• Forwards and forward Rate Agreement (FRNs and FRAs)
• Traded financial futures and options
• The pricing, modelling, and risks of derivative activities
• The regulatory model risk requirements
• The documentation to support derivatives activities
• Auditing in an ISDA environment
• The transaction cycle
• Confirmation and reconciliation
• The control over the use of derivatives
• Controls over trading activities
• Limits, controls, and excesses

Case Study: Develop audit programme to address the following 

• The use of derivatives
• The use of models
• The audit of forward transactions

Auditing the use of Swaps & Associated Products

• The role of swaps
• Why are they important?
• Interest rate & currency swaps
• Swaptions
• Analysing cash flows
• Constructing the discount function
• Hedging with swaps
• Swaps and the capital markets
• Basic swaps
• How is the market likely to change?

Case Study: Develop audit programmes to address: 

• The use of swaps
• Interest Rate Swaps

Rules Regulations and Stress

• Sensitivity analysis, stress testing and scenario modelling
• BIS regulations
• What can go wrong in the practice
• The impact of Northern Rock on your audit approach
• The regulations of liquidity risk and treasury management
• The role of the central counterparty
• Counterparty credit risk
• The use of ratings
• Developing your own ratings
• How will you judge what is material?
• Where will audit concentrate?

Case study: Develop audit programmes to address the following: 

• The audit of counterparty credit risk
• The audit of stress testing and scenario modelling

 END

The key benefits will be that participant will systematically review all elements of a treasury operation and consider the nature of the control environment that should be applied, leading to developing audit programmes in the classroom and suitable to the firm. Key issues to be addressed will include:

• The role and structure of treasury in the bank
• The audit of interest rate & foreign exchange risk management
• The audit of asset and liability management
• The audit of liquidity risk management
• The audit approach for sophisticated instruments
• Auditing the measurement of interest rate and currency exposure
• Auditing and analysing different kinds of risk
• Understanding and auditing different risk management instruments
• Understanding and auditing controls operation in the treasury environment

Delegates who complete the course will receive a Certificate in Auditing Bank Treasury and the ALCO; and for those who require a demonstration of competency via training, a 20 multiple choice question assessment, fully remotely invigilated, with a results report and 1 resit, is included at no additional cost.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)