Event Agenda

Day 1
Day 2

Day one - Monday 4 November 2019

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
01:30	Strategic implications of FTP FTP and profitability How FTP is seen from the perspective of the CFO Planning Strategy Incentivisation Speaker: Beata Lubinska PhD, founder, BL Advisory & Consulting
03:00	Afternoon break
03:30	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
05:00	End of Day One

Day two - Tuesday 5 November 2019

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 Speaker: Beata Lubinska PhD, founder, BL Advisory & Consulting
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
01:30	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 Speaker: Beata Lubinska PhD, founder, BL Advisory & Consulting
03:00	Afternoon Break
03:30	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 Speaker: Dr Iain Ritchie, senior consultant, ALM & asset advisory, PwC
05:00	End of Course