Treasury Markets and Operations -- Contents -- Preface -- PART 1 Treasury Management -- 1 Treasury Management of Financial Institutions -- Introduction -- Issues in Treasury Operations -- Balance Sheet Management -- Basel III -- Liquidity Risk Management -- Management of Settlement/Pre-Settlement Credit Risk -- Management of Interest-Rate Risk -- Management of Foreign Exchange Exposure -- Treasury Controls and Measures -- Internal Controls -- Trading Limits -- Monitoring and Control of Dealing Operations -- Audit and Compliance -- Conflicts of Interest -- Code of Conduct -- Summary -- Key Terms -- Study Guide -- Further Reading -- 2 The Foreign Exchange Market -- Introduction -- Basic Operation of Forex Market -- Market Participants -- Operations -- Forex Risk Management -- Quotation -- Value Date of FX Deals -- Arbitrage in the FX Market -- Determining Exchange Rates -- Interest Rate Parity and Inflation -- Balance of Trade and Payments -- International Investments and Capital Flow -- Trend Forecasting -- Forward Markets -- Value of a Forward Contract -- Hedging with a Forward Contract -- Normal FX Outright Rate -- Time Options or Optional Forward Contract -- Theoretical Value of Optional Forward Contract -- Par Forward Contract -- Covered Interest Rate Parity Relationship -- Meaning of the Forward Rate -- Bid and Offer for an Outright Quote -- Discounts and Premiums -- Rollover of Forward Contracts -- Non-Deliverable Forward -- Hedging the FX Exposure -- Approaches to FX Hedging -- Measuring Exposure -- Hedging Strategies -- Summary -- Key Terms -- Study Guide -- Further Reading -- 3 Money and Capital Markets -- Introduction -- Hong Kong Dollar Market -- Peg System -- Operations of the Exchange Fund -- Setting the HIBOR -- Central Moneymarkets Unit -- Certificates of Deposit and Bonds -- International Market -- Interest Rate Risk Management.

Eurodollar and Euroyen -- Bond Market -- Participants -- Markets -- RMB Market -- The CNH Market -- The Money Market Desk -- Liquidity Ratio -- Cash Flow Management -- Money Market Instruments -- Bond Repurchase Programs -- Money Market Operations -- Tenor -- Two-Way Quotation -- Pricing Forward Rate -- Treasury Bills -- Quotation of Discount Instrument -- True Yield -- Buy High, Sell Low -- Exchange Fund Papers -- Capital Markets: Risk and Valuations -- Credit Default Risk -- Credit Spread Risk -- Measurement of Credit Risk Exposures -- Managing Credit Risk in Derivatives -- Summary -- Key Terms -- Study Guide -- Further Reading -- 4 Bond Market -- Introduction -- Basics of the Bond Market -- Types of Bonds -- Pricing Bonds -- Yield and Price Relationship -- Discount Rates -- Term Structure -- Yield Curve -- Theories of Term Structure -- Reading the Yield Curve -- Bonds with Embedded Options -- Interest Rate Risk -- Price Value of a Basis Point -- Duration of Floaters -- Duration of Inverse Floater -- Management of Basis Risk -- Summary -- Key Terms -- Study Guide -- Further Reading -- 5 Derivatives -- Introduction -- Derivatives for Hedging -- Interest Rate Swaps -- Money/FX Swap -- Forward Rate Agreement (FRA) -- Financial Futures -- Credit Derivatives -- Credit Default Swaps (CDS) -- Total Return (TR) Swap -- Basket Default Swap -- Credit-Linked Note (CLN) -- Collateralised Debt Obligation (CDO) -- Options -- Types of Options -- Terminology -- Value of an Option -- Currency Options -- Properties of Options -- Put-Call Parity -- Volatility -- Option Pricing Models -- Trading Strategies -- Generic Strategies -- Volatility Trading -- Spread Strategies -- Hedging with Interest Rate Futures -- Summary -- Key Terms -- Study Guide -- Further Reading -- PART 2 Treasury Operations -- 6 Treasury Operations -- Introduction -- Front Office.

Bank Trading Activities -- Corporate Treasury -- Middle Office -- Treasury Accounting -- Risk Management -- Regulatory Compliance -- Internal Audit -- Back Office -- Cash Management -- Payment and Settlement Processing -- Reconciliation -- Operations Process Control -- Summary -- Key Terms -- Study Guide -- Further Reading -- 7 Market Risk and Other Risk Measures -- Introduction -- Risk Considerations -- Country Risk -- Market Risk -- Value-at-Risk -- Basis Point Value and Hedging Market Risk -- Counterparty Risk -- Mark-to-Market -- Operational Risk -- Payment and Settlement Systems and Risk -- Managing Financial Risk -- Summary -- Key Terms -- Study Guide -- Further Reading -- 8 RMB Payments and Settlements -- Introduction -- RMB Clearing and Settlement -- RMB in Hong Kong -- Clearing and Settlement -- International Linkages -- Summary -- Key Terms -- Study Guide -- Further Reading -- PART 3 Case Studies -- 9 Case Studies -- Introduction -- Segregation of Duties: Barings Bank -- Chronology -- Response and Management -- Analysis -- Lessons Learnt -- Settlement Risk: Herstatt Bank -- Chronology -- Response and Management -- Analysis -- Lessons Learnt -- Liquidity Risk in Position Hedging: Metallgesellschaft AG -- Chronology -- Response and Management -- Analysis -- Lessons Learnt -- Liquidity Risk: Lehman Brothers -- Chronology -- Response and Management -- Analysis -- Lessons Learnt -- Summary -- Key Terms -- Study Guide -- Further Reading -- Appendix A CMU Members -- Appendix B Bond Pricing -- Return on Debt Securities -- Yield to Maturity -- Credit Spread -- Z-Spread -- Bond Products -- Cash Flow of a Fixed Rate Bond -- Clean Price/Dirty Price -- Accrual Interest -- Day Count Convention -- Zero Coupon Bond -- Bootstrapping -- Spot Rate and Forward Interest Rate -- Floating Rate Notes (FRNs) -- Inverse Floaters -- Duration -- Convexity.

Portfolio Duration -- Index -- EULA.