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FTP in dynamic markets Q3 2024.docx
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Funds transfer pricing: effective management in dynamic markets

July 9–11, 2024

Tutor: Dr Beata Lubinska, Founder, BL Advisory & Consulting

Day one – Tuesday, July 9, 2024

BST

 EDT

Learning session

13:25

08:25

Registration and introduction

13:30

08:30

Funds transfer pricing (FTP) objectives and implementation

  • Regulatory overview and 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?

14:30

09:30

Break

14:40

09:40

Types of FTP

  • Maturity levels: single, double and multiple pooling
  • FTP curves
  • Cost of funds method
  • Net funding method
  • Pooled funding method
  • Matched maturity method

15:40

10:40

Break

15:50

10:50

FTP for balance sheet optimisation

  • Asset-liability management (ALM) optimisation – finding the target structure of the banking book
  • The role of FTP in the optimisation exercise
  • Strategic FTP as a tool for balance sheet shaping
  • Balance sheet steering techniques
  • Getting the correct balance between risk and return
  • Oversight of the balance sheet shaping tool

16:50

11:50

Summary

17:00

12:00

End of day one

Day two – Wednesday, July 10, 2024

BST

 EDT

Learning session

13:25

08:25

Registration and introduction

13:30

08:30

Liquidity transfer pricing (LTP)

  • LTP and indirect liquidity cost
  • How to quantify the indirect liquidity cost
  • The concept of behaviouralisation to include the liquidity coverage ratio (LCR) and net stable funding ratio in the FTP framework
  • How to charge for liquidity under the LCR
  • Transferring liquidity costs and benefits from business units to a centralised pool
  • Case study: example of indirect liquidity cost allocation

14:30

09:30

Break

14:40

09:40

FTP architecture and modelling

  • Curve construction
  • Examples of product pricing
  • Case study: example of banks’ FTP curve construct funded by deposits
  • Industry challenges regarding integrated balance sheet management
  • ALM as a zero-sum game under FTP framework
  • The role of the target operating model
  • Case study: example of term liquidity premium calculation

15:40

10:40

Break

15:50

10:50

Balance sheet shaping through FTP

  • Deep dive in the FTP steering techniques
  • Management overlayers
  • FTP dampening techniques
  • Curve liquidity premium
  • Smoothing techniques in the FTP curve construct
  • Case study: steering the balance sheet when behavioural liabilities and medium- and long-term assets are unbalanced

16:50

11:50

Summary

17:00

12:00

End of day two

Day three – Thursday, July 11, 2024

BST

 EDT

Learning session

13:25

08:25

Registration and introduction

13:30

08:30

Strategic implications of FTP

  • FTP and profitability
  • FTP seen from the perspective of chief financial officers
  • Capital transfer pricing
  • Risk-adjusted parameters to reallocate capital
  • Importance of transparency
  • What if the FTP model is wrong?

14:30

09:30

Break

14:40

09:40

Importance of FTP on performance management

  • Utilising FTP to measure performance
  • Enhancing decision-making capabilities
  • Achieving higher profitability
  • Case study: calculating profitability and defining return on equity

15:40

10:40

Break

15:50

10:50

FTP and product pricing

  • FTP and pricing of assets at fixed rate
  • FTP and pricing of assets at floating rate
  • FTP and deposit pricing
  • Case study: building a pricing model
  • Case study: examples of product pricing

16:50

11:50

Summary

17:00

12:00

End of course

*This live agenda is subject to change


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