Day 1 - Wednesday 11th September
08:30
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Registration and Refreshments
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09:00
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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
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10:30
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Morning Break
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11:00
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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
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12:30
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Lunch
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13:30
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Strategic Implications of FTP
- FTP and profitability
- How FTP is seen from the perspective of the CFO
- Planning
- Strategy
- Incentivisation
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15:00
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Afternoon break
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15:30
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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
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17:00
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End of Day One
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Day 2 - Thursday 12th September
08:30
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Morning Refreshments
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09:00
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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
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10:30
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Morning Break
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11:00
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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
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12:30
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Lunch
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13:30
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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
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15:00
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Afternoon Break
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15:30
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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
- Focus on FTP setup and pricing methodologies
- Systems, implementation & monitoring
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17:00
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End of Course
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