Course Agenda

Agenda

Funds Transfer Pricing Masterclass: Agenda


Live virtual course | Agenda timing is in GMT/EST

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

14:00 – 15:00

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?

15:00 – 15:15

Break

15:00 - 15:15

15:15 – 16:15

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

14:00 – 15:00

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

15:00 – 15:15

Break

15:00 - 15:15

15:15 – 16:15

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

14:00 – 15:00

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

15:00 – 15:15

Break

15:00 - 15:15

15:15 – 16:15

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

14:00 – 15:00

Strategic implications of FTP

14:00 - 15:00

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

15:00 – 15:15

Break

15:00 - 15:15

15:15 – 16:15

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