Course Agenda

Agenda

Funds Transfer Pricing Masterclass: Agenda

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Live virtual course | Below agenda timing is in GMT

Respective time in EST:

Start: 2pm GMT / 9am EST
Break: 3pm GMT / 10am EST
End: 4.15pm GMT / 11.15am EST

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14:00 – 15:00

FTP objectives & implementation

08:30 - 09:30

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

15:15 – 16:15

Types of FTP

09:45 - 10:45

  •   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 

14:00 – 15:00

FTP for balance sheet optimisation

08:30 - 09:30

  • ALM optimisation – finding the target structure of the banking book
  • The role of FTP in the optimisation exercise
  • Strategic FTP as a tool for the balance sheet shaping
  • Balance sheet steering techniques
  • Getting the correct balance between risk and return
  • Oversight of the balance sheet shaping tools

15:15 – 16:15

Liquidity transfer pricing

09:45 - 10:45

  • LTP and indirect liquidity cost
  • How to quantify the indirect liquidity cost
  • The concept of behaviouralisation to include the LCR and NSFR in the FTP framework
  • How do you charge for liquidity under LCR?
  • Transferring liquidity costs and benefits from business units to a centralised pool
  • What if there are more behavioural liabilities than medium long term assets?

14:00 – 15:00

FTP architecture & modelling

08:30 - 09:30

  • Curve construction
  • Examples of the product pricing (NMDs and revolving assets)
  • Designing FTP curves for the balance sheet (asset model versus liability model)
  • Industry challenges regarding integrated BSM
  • ALM as a zero-sum game under FTP framework
  • The role of the Target Operating Model (TOM)

15:15 – 16:15

Balance sheet shaping through FTP

09:45 - 10:45

  • Deep dive in the FTP steering techniques
  • Incentive scheme
  • Management overlayers
  • FTP dampening techniques
  • Curve liquidity premium
  • Smoothing techniques in the FTP curve construct

14:00 – 15:00

Strategic implications of FTP

08:30 - 09:30

  • FTP and profitability
  • How FTP is seen from the perspective of the CFO
  • Capital transfer pricing
  • Risk adjusted parameters to reallocate capital
  • Importance of transparency
  • What if FTP model is wrong?

 

15:15 – 16:15

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

09:45 - 10:45

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

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