Programme

Programme

2019 Programme

Funds Transfer Pricing 
Monday, 29th April, Singapore 

08:30

Registration

09:00

FTP objectives & implementation

  • Regulatory overview & Basel III requirements
  • Profitability management
  • Product pricing
    • Risk-return-based-product pricing 
  • Building a robust FTP model
  • Transfer pricing mechanism design
     

10:30

Morning coffee break

11:00

Types of FTP

  • Maturity levels – single pooling, double pooling and multiple pooling
  • Funds transfer pricing curves
  • Cross-border funding
    • Shortage of local currency funding 
    • Fungibility of funding across borders 
  • Net funding method
  • Pooled funding method
  • Matched maturity method
     

12:30

Lunch

13:30

Capital transfer pricing

  • Cost of capital adjustments in transfer pricing
  • Risk adjusted parameters to reallocate capital
  • Other parameters for capital allocation
  • Method and approach

15:00

Afternoon coffee break 

15:30

Balance Sheet Optimisation 

  • 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
     

17:00

End of Day1

Funds Transfer Pricing 
Tuesday, 30th April, Singapore 

08:30

Registration

09:00

Liquidity transfer pricing

  • Ensuring consistent regimes
  • Managing contingent liquidity risk
  • Transferring liquidity costs and benefits from business units to a centralised pool
  • Incorporate the NSFR and LCR into FTP frameworks
  • Liquidity transfer pricing in the overall risk strategy

10:30

Morning coffee break

11:00

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

12:30

Lunch

13:30

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
  • Behavioural models
  • Focus on FTP setup and pricing methodologies
  • Systems, implementation & monitoring

15:00

Afternoon coffee break

15:30

Business implications of FTP

  • Pricing, profitability & incentivising 
  • How FTP links to other processes:
    • IRR & IRRBB programs
    • Behavioural models for FTP & IRRBB
  • Planning (accurately forecasting FTP)
  • Liquidity risk management
  • Treasury’s relationship with the rest of the business

17:00

End of training course