Funds Transfer Pricing - Amsterdam
Sessions will include: types of FTP, capital transfer pricing, liquidity transfer pricing, and the business implications of FTP.
This training course is designed to provide attendees with all the tools needed to properly implement and govern FTP strategy. Sessions will cover the main areas of funds, liquidity & capital transfer pricing as well as looking at the treatment of legal entities and business implications of FTP.
The course is held under Chatham House Rule to promote an open and discussion based learning environment and the sharing of best practices.
Day one of the course will focus on the various types of FTP and methods for calculation, capital transfer pricing, the objectives of FTP and best practice for introducing a robust FTP model. The final session of the day will explore balance sheet optimisation.
Day two will begin by addressing liquidity transfer pricing, before going on to cover topics including behavioural adjustments, FTP curve architecture and modelling, and the business implications of FTP.
Who Should Attend
Relevant departments may include but are not limited to:
- Interest Rate Risk
What Will You Learn?
- The objectives of FTP
- Various types of FTP and methods for calculation
- Best practice for curve construction and modelling FTP
- How liquidity transfer pricing can be managed and fits into the overall risk strategy
- Capital transfer pricing and how to make working adjustments
- Business implications of FTP
Chris De Stigter
Head of FTP Center
Chris de Stigter is heading the FTP team within the Asset & Liability Management (ALM) department of ABN AMRO. After completing his Master degree in Business Administration at the Vrije Universiteit in Amsterdam, he joined the bank as an International Management Trainee in 2005. After successfully completing his traineeship, he joined the Asset & Liability Management department. Chris has gained thorough experience in all the fields of expertise within ALM; liquidity management, capital management and interest rate risk management. In 2013 he became the head of the FTP team and that makes him responsible for all internal charges and benefits with regard to liquidity, capital and interest rate management. He also represents the ALM department in the product and pricing committees in the commercial business lines. Chris is a very enthusiastic speaker, panelist and moderator on several national and international training events and conferences, always receiving the highest ratings by his audience.
Massimo is Senior Partner of Prometeia and Head of the International Business Practice. In this capacity, he leads the operations of the Group’s foreign subsidiaries based in London, Istanbul, Moscow, Cairo, Kuwait City and Lagos.
His customers portfolio is highly diversified and includes Tier1 banking groups, mid-size commercial banks, multilateral development institutions and regulators, across Europe, Africa and Middle East.
In his multi-year experience as a Risk & Finance advisor, Massimo has worked in more than 20 different countries, supervising extensive Balance Sheet Management programs in the fields of ALM, Liquidity Risk, Fund Transfer Pricing, IFRS Compliance and Capital Optimization.
Before joining Prometeia in 2014, he has spent two years working in the London office of Lloyds TSB as Head of Model Governance & Validation.
Prior to 2012, he has hold different consulting roles in major international groups, among which UniCredit, Intesa San Paolo, GE Capital and Dexia.
Dr. Heiko Siede
Controller Funds Transfer Pricing & Balance Sheet Management
Commerzbank AG, Frankfurt
Dr. Heiko Siede is a specialist on FTP and Balance sheet management. After finishing his Diploma in Mathematics, he got a PhD in Economics at the University of St. Gallen, Switzerland. After stations in the life insurance and banking industry, he joint Commerzbank Group in 2007. Until 2015 his focus was on strategic ALM, liquidity risk management and FTP within the Treasury department. Thereafter, he entered the Finance department and further specialized on liquidity FTP methods including support, development, reviews and documentation.
Finance & Risks Advisory
Senior Consultant, ALM & Asset Advisory
Iain is a senior consultant within the ALM & Asset Advisory team at PwC specialising in FTP, IRRBB and Liquidity risk. Iain has worked on a variety of FTP projects for major globally significant institutions to smaller regional firms. Prior to joining PwC, Iain completed a PhD in Actuarial Mathematics with a focus on funding liquidity risk and FTP within a Retail Bank. Previously, he advised international corporates on their pension scheme risks. Iain is a Fellow of the Institute and Faculty of Actuaries, a Chartered Financial Analyst, a Chartered Enterprise Risk Actuary, and a Professional Risk Manager.