Course Agenda

Agenda

Funds Transfer Pricing Masterclass: Agenda

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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
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08:3009:30

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?

09:3009:45

Break

15:00 - 15:15

09:4510:45

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

10:4511:00

Break

15:00 - 15:15

11:0012:00

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

08:3009:30

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

09:3009:45

Break

15:00 - 15:15

09:4510:45

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

10:4511:00

Break

15:00 - 15:15

11:0012:00

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? 

08:3009:30

Strategic implications of FTP

14:00 - 15:00

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

09:3009:45

Break

15:00 - 15:15

09:4510:45

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