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

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

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