Course Agenda
Agenda
Funds Transfer Pricing Masterclass: Agenda
**************************************************
Live virtual course | Agenda timing is in GMT
Respective time in HKT/SGT:
Start: 4:30pm
Break 1: 5:30pm
Break 2: 6:45pm
Finish: 8:00pm
**************************************************
08:30 – 09:30
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?
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
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
10:45 – 11:00
Break
15:00 - 15:15
11:00 – 12:00
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
08:30 – 09:30
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
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
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
10:45 – 11:00
Break
15:00 - 15:15
11:00 – 12:00
Balance sheet shaping through FTP
15:15 - 16:15
- Incentives scheme
- Management overlayers
- Curve liquidity premium
- FTP curve dampening techniques
- What if there are more behavioural liabilities than assets?
08:30 – 09:30
Strategic implications of FTP
14:00 - 15:00
- FTP and profitability
- How FTP is seen from the perspective of the CFO
- Planning
- Strategy
- Incentivisation
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
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