Agenda

Agenda

Funds Transfer Pricing Masterclass | Agenda

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Course tutor: Ajay Surana, Founder, iXcelrate

Live virtual course | Agenda timing is in HKT/SGT

Respective time in AEDT:
Start: 12:00pm
Break: 1:00pm
Finish: 2:15pm
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09:0010:00

FTP objectives & implementation

10:00 - 11:00

  • Regulatory overview & Basel III requirements 
  • Profitability management 
  • Product pricing 
  • Best practices for robust FTP model and mechanism design
  • Should you adopt a centralised system? 

10:0010:15

Break

10:00 - 11:00

10:1511:15

Types of FTP

10:00 - 11:00

  • Maturity levels – single pooling, double pooling and multiple pooling
  • Funds Transfer pricing curves
  • Cost of funds method
  • Net funding method
  • Pooled funding method
  • Matched maturity method

09:0010:00

FTP and liquidity risk, behavioural adjustments and other adjustments

10:00 - 11:00

  • Maturity premium 
  • Term funding 
  • Liquidity asset buffer – allocating cost to deal or portfolio level 
  • Reflecting the behavioural characteristics of various instruments & contractual profiles of transactions 
  • Statistical maturity vs contractual maturity 
  • Other adjustments 
  • Establishing and/or managing reporting processes 
  • Risk adjusted parameters to reallocate capital

10:0010:15

Break

10:00 - 11:00

10:1511:15

Liquidity transfer pricing

10:00 - 11:00

  • Difference between FTP and LTP
  • Ensuring consistent regimes 
  • Managing contingent liquidity risk 
  • Transferring liquidity costs and benefits from business units to a centralised pool 
  • LCR transfers 
  • How do you charge for liquidity under LCR? 
  • Liquidity transfer pricing in the overall risk strategy 

09:0010:00

Strategic implications of FTP

10:00 - 11:00

  • FTP and profitability 
  • How FTP is seen from the perspective of the CFO 
  • Why is transparency important in planning and strategy?
  • Addressing pitfalls in FTP models 

10:0010:15

Break

10:00 - 11:00

10:1511:15

Capital transfer pricing

10:00 - 11:00

  • Cost of capital adjustments in transfer pricing
  • Risk adjusted parameters to reallocate capital
  • Other parameters for capital allocation
  • Method and approach
  • Regulatory considerations
  • Capital floor: the connecting element

09:0010:00

FTP for balance sheet optimisation

10:00 - 11:00

  • Asset liability profile study 
  • Transfer pricing mechanism design 
  • FTP policies 
  • Interface with other functions 
  • System requirement specification 
  • Getting the correct balance between risk and return 
  • Minimising the banks structural balance sheet gap risk 

10:0010:15

Break

10:00 - 11:00

10:1511:15

Impact of Ibor transition on FTP, liquidity and balance sheet management

10:00 - 11:00

  • How the transition will affect the internal curve   
  • Impact on forecasting and stress testing  
  • Managing the balance sheet after Libor decommission