Course Agenda

Agenda

Course Agenda

Agenda timing is in BST
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Session one - 2pm BST/ 9am EDT
Session two - 3.15pm BST/ 10.15am EDT
End - 4.15pm BST/ 11.15am EDT
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Whole of Day 1 will be hosted by Beata Lubinska, founder, BL Advisory & Consulting Limited

14:0015:00

FTP objectives & implementation

14:00 - 15:00

  • 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?

15:0015:15

Break

15:00 - 15:15

15:1516:15

Types of FTP

15:15 - 16:15

  • 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

Whole of Day 2 will be hosted by Beata Lubinska, founder, BL Advisory & Consulting Limited

14:0015:00

FTP for balance sheet optimisation

14:00 - 15:00

  • 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

15:0015:15

Break

15:00 - 15:15

15:1516:15

Liquidity transfer pricing

15:15 - 16:15

  • 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

14:0015:00

FTP architecture & modelling

14:00 - 15:00

  • Curve construction   
  • Industry challenges regarding integrated BSM
  • Core design principle of a proposed solution
  • Designing FTP curves for the balance sheet
  • Modelling FTP  
  • Focus on FTP setup and pricing methodologies
  • Systems, implementation & monitoring
Karl Rubach

Managing director

IBSM Solutions Inc.

Karl Rubach is the Managing Director and founder of Integrated Balance Sheet Management Solutions, Inc. in Toronto, Canada. He has over 20 years of international Treasury, Balance Sheet and Capital Management experience. He has lead the implementation of Risk Adjusted Return on Capital (RAROC) and Balance Sheet Optimization frameworks, including Funds and Transfer Pricing (FTP) and Economic Capital allocation.


He is a frequent speaker at industry events. He holds a master’s degree in finance as well as a bachelor’s degree in economics from ITAM Mexico. He is also a CFA charter holder.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Capital transfer pricing

15:15 - 16:15

  • 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
June Wang

Managing Director

RBC

June Wang is an accomplished leader with significant Treasury and Risk Management experience at multiple large Retail and Wholesale Banks.

For the past 14 years, June has continually built best in class treasury and risk management capabilities to manage critical Wholesale and Retail balance sheet risks. June is a subject matter expert on Asset Liability Management (ALM), Funds Transfer Pricing (FTP), Hedging and Balance Sheet Management (BSM).

June currently holds the role of Managing Director, Wholesale Funds Transfer Pricing with Royal Bank of Canada (RBC). In this role, she is accountable for overseeing funds transfer pricing in RBC Wholesale Bank, as well as FTP for enterprise liquidity portfolios. Her prior experiences include leadership roles in Asset Liability Management, Funds Transfer Pricing for retail bank and Hedging Strategy.

June holds an MBA and a Bachelor Degree of Computer Science. She is a Chartered Financial Analyst (CFA) and Certified Management Accountant (CMA).

14:0015:00

Strategic implications of FTP

14:00 - 15:00

  • FTP and profitability
  • How FTP is seen from the perspective of the CFO
  • Planning  
  • Strategy  
  • Incentivisation
Rina Mirchandani

Director, head of funds transfer pricing 

Deutsche Bank

Rina is responsible for FTP methodology development, pricing and business engagement, covering trading and banking book businesses globally. 

Prior to DB, Rina worked at Credit Suisse, where she began her career in New York in the Investment Banking Department raising financing for Private Equity portfolio companies. 

Rina has an undergraduate degree in Accounting from Georgetown University and an MBA from NYU Stern. 

15:0015:15

Break

15:00 - 15:15

15:1516:15

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

15:15 - 16:15

  • How the transition will affect the internal curve   
  • Adjusting for the implications  
  • Liquidity premiums  
  • Impact on forecasting and stress testing  
  • Managing the balance sheet   
Dr. Andreas Bohn

Partner

McKinsey & Company, Inc.

Andreas is a Partner in McKinsey's Frankfurt Office. He is a Risk Expert for treasury as well as market and counterparty credit risk.  He works for international active Tier 1 and Tier 2 banks in Europe, Americas and Middle East. Andreas has authored and co-authored relevant articles and books, including “The Handbook of ALM in Banking”. Furthermore, he has been presenting at relevant industry and academic conferences.