At the end of May 1915 Asquith formed a coalition government, with Lloyd George taking over the Ministry of Munitions and Reginald McKenna replacing him as Chancellor of the Exchequer. Keynes became a member of the Treasury's No. 1 Division, which was concerned with finance, and almost immediately was assigned to go with the new Chancellor to meet the Finance Minister of Italy, the newest ally, at Nice. ‘I am overwhelmed with work (and naturally much excited)’, he wrote to his father, 1 June. ‘As usual they have given me just 24 hours to get up and write memoranda on a more or less new subject.’

He returned exuberant from crossing the Channel in a destroyer at a speed of 35 miles an hour. The trip had been concentrated hard work; Keynes laboured for thirteen of the twenty-three hours spent at Nice. Dr Keynes wrote, 25 June, that ‘Florence hears from young Birrell [Francis Birrell, a friend of Keynes who was the son of Augustine Birrell, a member of the Cabinet] that McKenna speaks extremely highly of Maynard and the work he did at Nice’.

Possibly as a consequence of the strain—or, according to a jocular letter from a colleague, of feasting from Dover to London at Treasury expense—Keynes had to undergo an emergency operation for appendicitis 12 June. Pneumonia followed ten days later. He was convalescent until the beginning of August, although each of his parents took a turn at acting as his secretary and he preceded his return to work at the Treasury by a few days visit with the Governor of the Bank.