Post Graduate Programme in Management (2016-18)

(Term VI – Elective) Treasury and Asset Liability Management

Course Outline

The course has been designed to be useful to those who intend taking up
roles in the treasury and in marketing of the treasury products of
Commercial Banks in India.

Financial assets are acquired as part of regulatory requirements or as

investments or for “trading” as trading assets”. This activity of the bank or
financial companies has a critical bearing on the bottom-line and is done by
the “Treasury”. Efficient management of this portfolio has become critical
both from the regulatory compliance point of view and because of the
expectations of profits from the department.

Learning Outcomes

Treasury operations:
 Role of a treasury
 Interest rate scenario in India
 Set up and working of a “Treasury”
 Profit opportunities in treasury operations
 Factors important to a trader
 Strategies adopted by dealers/traders
 Money Markets
 Bond Markets
 Foreign Exchange Markets
 Interaction between money, bonds and forex markets
 Risks and risk management in trading

Pedagogy

As the course will be oriented towards practical aspects, learning

would be mainly through discussions and debates.

Faculty :
Prof N.R.Bhusnurmath bhusnur.mdi@gmail.com
Tele Extn : 174 , (M) 98 100 97 448 Room No B-8 ,
 MDI PGPM 2016-18
Term VI – Treasury Management
Course outline

References:

1. Treasury, Investment and Risk Management, Indian Institute of

Banking & Finance, Taxman
2. Risk Management in Banking – Joel Bessis – John Wiley & Sons Ltd
3. Hand Book of Asset Liability Management – Edited by FJ
Fabozzi, A Konishi
4. Finance pages of all business papers
5. Market reports on mecklai.com , pnbgilts.com
6. Websites of FIMMDA

Session Topic Learning Objectives

Regulatory compliance
Risks faced by a bank
Liquidity
Functions & structure
1 Interest Rate
of a Treasury Forex rates
Trading opportunities
Front, Mid & Back Office
Cash Management
2 Liquidity Management RBI Account and Funds remittances
CRR & SLR Compliance
Call Money Markets
3&4 Money Markets T Bills
CBLO

5&6 Bond Markets T-Bills & G-Secs Market

Market & Market conventions

Foreign Exchange
7 Forex Trading in India
Market
Merchant Rates
Interaction between
Arbitrage opportunities
8 Money, Forex, T-Bills
Structuring
& Bonds Markets
Derivatives in Interest Rate Swaps in India
9
Treasury FRA’s in India
Risk Management
Asset-Liability
10 Liquidity Gap management
Management

Evaluation :
Quizzes 2*10 30 %
Assignment 10%
End Term 60 %
Class Participation 10 %