Agenda

agenda

Funds Transfer Pricing | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

09:00 - 10:00

09:0010:00

FTP objectives & implementation

09:00 - 10:00

  • 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?

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Types of FTP

09:00 - 10:01

  • 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

11:1511:15

End of Day 1

09:00 - 10:00

09:0010:00

FTP for balance sheet optimisation

09:00 - 10:01

  • 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

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Liquidity transfer pricing

09:00 - 10:00

  • 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

11:1511:15

End of Day 2

09:00 - 10:01

09:0010:00

FTP architecture & modelling

09:00 - 10:00

  • 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

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Capital transfer pricing

09:00 - 10:00

  • 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

11:1511:15

End of Day 3

09:00 - 10:00

09:0010:00

Strategic implications of FTP

09:00 - 10:00

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

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

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

09:00 - 10:00

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

11:1511:15

End of course

09:00 - 10:00