Theory and practice of Forex and treasury management (Module 1 +2)
Author: The Institute of Chartered Accountants of India
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Contents- Theory and practice of Forex and treasury management
1. Treasury – Organisational Structure
Treasury – Its Evolution and Objectives
Organisation Structure of Treasury – Front, Back & Mid Office
Functions of Treasury Department
Role of Treasury and Treasurer in:
Responsiblities of a Treasurer
Intergrated Treasury Management – Cost Centre and Profit Centre
2. Treasury – Process
Treasury Management – Systems and Techniques.
Treasury Policy and Procedure Manual.
Delegation with Accountability
Control and Reporting Requirements.
Dealing and Trading Operations – Control and Orderly Conduct, Moral and Ethical Codes, Checks of Balances, Sigining Ethical Code Agreement.
An insight into
Benchmark Rates for Discounting Cash Flows.
Liquidity and Cash Flow Management – CRR.
Treasury Management Processes like Domestic Remittances, International Remittances.
Payment & Settlement Systems, CCIL, CLS and RTGS, NEFT, SWIFT.
Dealing Room Operations: Nostro / Vostro/ Loro & Mirror A/cs – Open Currency Position / Cash Position by Dealers.
3. Treasury – Domestic
Classification of Treasury Market
Money Market Instruments
Bond Market – Types and its Futures
Understanding Current Yields, YTM, Changes in Yields, Different Maturities of Treasury Bonds, Revaluation – Mark to Market and Profit Calculations, VaR (Value at Risk).
Negative list of investments.
Guidelines on Non-performing investments.
4. Treasury – Forex
Foreign Exchange Markets
External Commercial Borrowings (ECBs)
International Funding Organisations
Practical Concepts of Options Market
Black Scholes and Beyond – In Options.
Settlement of Futures / Option Contract.
Standard International Agreements
5. Treasury – Mathematics
YTM – Yield Curve, Modified YTM, Current Yield, Different Versions – Callable Bonds, Callable Yield Notes, Puttable Bonds.
Building ZCC and and Use of ZCC Yields.
Bootstrapping Process to derive the Zero Curve.
Liquidity & Interest Rate Sensitivity Gap measures – RBI Guidelines.
Bond & Securities Valuation – Bond Dynamics – Duration – Modified Duration.
Risk Measures – VaR – Mecaulay Duration.
Back Testing of VaR
Financial Statement Analysis
6. Treasury – Technology
Role of Information Technology in Treasury Management.
Overview of Software used in Treasury – Banks, Insurance Companies and Corporates.
Storage of Data Files – Reports Generation, IT Risks Mitigation Measures like Business Continuity Plan (BCP), Disaster Recovery Plan (DRP) and Transaction Protections etc.
Bloomberg / Thomson Reuters screenshot showing Forward Markets and their
Interpretation. FX Swap Curve across the globe and Indian and Correlation between Swap Curves.
7. Treasury – Accounting
Integrated Treasury Accounting Units.
Accounting – Valuation and Elimination of Exposures.
Accounting of Treasury Instruments.
Management of Daily, Weekly and Monthly Liquidity / Funding Plans and
Coordinating Plans with Treasury Dealer.
Administration – Bank Cash Management System.
Group Cash Flow Forecasting.
Daily, Weekly and Monthly Treasury MIS to Stakeholders.
Monthly Bank Reconciliation.
Treasury Control and Hedge Accounting
8. Treasury – Taxation
Tax on Derivatives.
Financial Transaction Tax.
Banking Services Tax.
Other Taxes applicable to Treasury Operations (Domestic and Forex).
9. Treasury – Types
Treasury – Manufacturing and Service Corporates
Treasury – Banking
Treasury – Special Reference
10 Treasury – Risk Management
Risk – Definition.
Treasury Risk Management Policy.
Role of Mid Office
System Audit – Risk Management / Mitigations.
Approach to Forex Risk Management Policy.
Risk Hedging Instruments & its Mechanism.
Credit Rating Agencies.
Asset Liability Management.
Viability and Risk of using different Hedging Instruments.
Implications and Challenges of Basel III.
International Swaps and Derivatives Association Master Agreement:
11. Treasury – Regulation, Supervision and Compliance
Treasury Management – Ethics and Compliance.
Prevention of Money Laundering Act, 2002.
Money Market Operations.
Intraday Liquidity Management Guidelines issued by RBI.
RBI Guidelines on Risk Management.
Regulatory Guidelines on Futures, Options, Forward and Swaps.
Recent Policy Guidelines of RBI on Basel III implementation.
Statutory Returns to Reserve Bank of India (RBI).
Overview of Regulatory Requirements SEBI (ICDR) Regulations, 2009.
Latest Foreign Direct Investment Policy.
Foreign Exchange Management Act, 1999.
Disclosures in Banks Balance Sheet on Treasury.
FEDAI Guidelines for Merchant Quotes.
RBI Guidelines on Internal Control.
12. Treasury – Auditing
Internal Audit and External Audit.
Internal Audit of Treasury
Treasury Operations – Systems Audit.
Documentation & Internal Audit
Audit of Regulatory Compliance in particular Foreign Exchange Risk Management.
New Norms in Internal Audit or COSO (Committee of Sponsoring Organizations).
Compliance Guidelines with regard to Investments of Banks.
Issues in Management of Integrated Treasury.
Co-ordination: Internal and External Treasury Audit.
About the author
The Institute of Chartered Accountants of India
Download ebook Theory and practice of Forex and treasury management (Module 1+2)
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