Name: Funds & Liquidity Transfer Pricing London
Start: 2019-11-04T08:30:00+00:00
End: 2019-11-05T17:00:00+00:00
Location: London

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

Event Agenda

Agenda