Event Agenda

Agenda

Day one - Monday 4 November 2019

8:30

Registration and Refreshments

9:00

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 centralised system?

Speaker: Massimo Pedroni, senior partner, Prometeia  

10:30

Morning Break

10:45

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

Speaker: Dr Beata Lubinska, founder, BL Advisory & Consulting 

12:00

Lunch

1:00

Strategic implications of FTP

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

Speaker: Dr Beata Lubinska, founder, BL Advisory & Consulting 

2:30

Afternoon break

3:00

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

Speaker: Dr Beata Lubinska, founder, BL Advisory & Consulting 

4:30

End of Day One

Day two - Tuesday 5 November 2019

8:30

Morning Refreshments

9:00

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

Speaker: Chris de Stigter, Independent Consultant 

10:30

Morning Break

10:45

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

Speaker: Chris de Stigter, Independent Consultant 

12:00

Lunch

1:00

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

Speaker: Rina Mirchandani, director, head of treasury funds transfer pricing, Deutsche Bank

2:30

Afternoon Break

3:00

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

Speaker: Dr Iain Ritchie, senior consultant, ALM & asset advisory, PwC

4:30

End of Course