BB318 BANK TREASURY MANAGEMENT

Course Description and Scope This course aims to provide students with an understanding of treasury functions in a multiservice financial institution, and the practice and procedures of various financial markets. It also aims to give students an understanding of the various types of risk and controls required for a bank that is active in trading treasury products and providing tailored treasury products for non-bank customers. The course will cover the following: 1. Overview of the bank treasury operations; 2. Banking supervision and internal controls of treasury operations; 3. Market procedures and practices of major financial markets; 4. Risks, control and hedging techniques of treasury activities.

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Topics

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Proposed Lecture Schedule

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Students are expected to have the basic knowledge of treasury products like options, futures, foreign exchange spot contract and forward contract from the first and second year courses.

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Readings Note 1 JW Ch6 SA Ch 2, 3, 4, 5, & 6(relevant to MM) MAS 613 & MAS 621

2,3

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1. INTRODUCTION (Lecturer - LBS) Overview of international financial markets Introduction to treasury functions Understanding the two-way market Roles of International Broker

MONEY MARKET (Lecturer - LBS) Local money market Offshore money market Repo Market practices and procedures MAS reserve requirements Yield curves & gapping

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3. FOREIGN EXCHANGE MARKET AND FX SWAP (Lecturer LBS) FX fundamentals Market practices and procedures Foreign exchange swap Types of forward contracts FX spot trading simulation Risks associated with treasury activities

SA Ch 1, 6, 7, & 8 JW Ch 8 & 9

10, 11

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CURRENCY OPTIONS (Lecturer PC) Review of option fundamentals Currency option trading Managing currency option portfolio

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5. INTEREST RATE SWAPS AND CURRENCY SWAPS (Lecturer PC) Mechanics of interest rate swap and currency swap Trading and hedging with swaps Introduction to pricing and valuation

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6. FORWARD RATE AGREEMENTS (Lecturer PC) Mechanics of FRA markets Applications Risks associated with FRAs

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RECESS

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8 RISKS AND CONTROLS (Lecturer PC) Objectives Identifying and quantifying risk BIS risk based capital guidelines Essential control procedures

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4. CURRENCY AND INTEREST RATE FUTURES (Lecturer - LBS) Contracts specifications Basic pricing concept The market structures and margin system Trading & hedging

LBS Ch 4, 5 and 6 (section 6.2)

To be advised

To be advised

To be advised

To be advised

Basic Texts: JW : Julian Walmsley HG3851.W216 The Foreign Exchange and Money Market Guide John Wiley & Sons, 1992

References: GL: Galitz, Lawrence HG176.7.G161 The Financial engineering: tools and techniques to manage financial risk Financial Times/Pitman Publishing series. London: Pitman Pub., 1994 Steve Anthony HG3821.A628 Foreign Exchange in Practice The Law Book Company Ltd, 1989

SA :

LBS:

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MAS613 :

MAS621 :

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Additional readings and references will be given during the course. Students are recommended to read Euromoney, Business Times (Singapore) and Financial Times (London).

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MAS Notice to Banks r K1066.S56M742 MAS 613 "Minimum Cash Balance & Liquid Assets" MAS Notice to Banks r K1066.S56M742 MAS 621 "Internationalization of S$"

"The Singapore Guide to Conduct and Market Practice for Treasury Activities" SOA219 The Foreign Exchange Market Committee, Sept 1991

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John I. Tiner & Joe M. Conneely HG1708.T588 Accounting for Treasury Products Woodhead-Faulkner, 2nd Edition, 1989

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Low Buen Sin Futures & Options A Practical Guide to Paper III of Futures Examination The Institute of Banking and Finance, 1997

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Method of Instruction Lectures : 2 hours per week Tutorials : 2 hours per week Lecture commence in Week 1 and end in Week 13 Tutorial commence in Week 2 and end in Week 14

Course Assessment Written Assignment: Tutorial Presentation: Tutorial Participation: Final Examination: 10% 10% 10% 70%

* Course Co-ordinator

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Lecturer Low Buen Sin* (LBS) Philippe Chen (PC)

Office Room No S3-B1B-63 S3-B1B-65

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DID 7905753 7904754