Event Agenda

Agenda

Day 1 - Wednesday 11th September

08:30

Registration and Refreshments

09:00

FTP Objectives & Implementation

  • 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 centralized system?
  • Treatment of legal entities
  • Weaknesses in FTP infrastructure

10:30

Morning Break

11:00

Types of FTP

  • 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

12:30

Lunch

13:30

Strategic Implications of FTP

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

15:00

Afternoon break

15:30

FTP for Balance Sheet Optimisation

  • 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

17:00

End of Day One

Day 2 - Thursday 12th September

08:30

Morning Refreshments

09:00

 Liquidity transfer pricing

  • 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

10:30

Morning Break

11:00

Capital transfer pricing

  • 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

12:30

Lunch

13:30

FTP and Liquidity Risk, Behavioural Adjustments and other Adjustments

  • Maturity premium
  • Term funding
  • Liquidity asset buffer – allocating cost to deal or portfolio level
  • Reflecting the behavioural characteristics of various instruments & contractual profiles of transactions
  • Statistical maturity vs contractual maturity
  • Other adjustments
  • Establishing and/or managing reporting processes

15:00

Afternoon Break

15:30

FTP Curve Architecture & Modelling 

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

17:00

End of Course