Programme

Programme

Thumbnail
Karen Moss

Director, Product Management

MOODY's ANALYTICS

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

Thumbnail
Steven Smallsman

Global Head of Liquidity Risk Review

STANDARD CHARTERED BANK

In his role, Steve is responsible for providing the Group Asset & Liability Committee (GALCO) independent assurance liquidity risk management decisions result in prudent and robust balance sheets in each country that Standard Chartered operates. Previously at Standard Chartered, Steve has had responsibility liquidity stress testing, liquidity policy and balance sheet risk methodology.

Steve joined SCB in August 2012 from KPMG in Sydney where he was responsible for KPMG’s bank treasury advisory offering across Australia and acted as a regional expert, working in China, Malaysia, Singapore and Indonesia.

Prior to this, he worked in Group Treasury roles at Allco Finance Group, St. George Bank and Westpac Banking Corp.

Steve is passionate about improving balance sheet risk management practices across the Standard Chartered and mentoring/training junior staff.

Thumbnail
Ajay Surana

Managing Director

ACIES CONSULTING

Ajay Surana has 20 years of professional experience in the financial services, consulting and technology industry. He has managed risk, compliance and performance management practices for large financial technology firms in the APAC region.

He has worked with over 75 financial institutions in APAC, US & Europe on various engagements in the areas of treasury, ALM, balance sheet management, regulatory compliance, Basel II/ III, risk technology transformation and business process re-engineering.

Ajay leads the APAC operations of Acies Consulting, of which he is one of the founder.

Thumbnail
Nick Wood

Managing Director

FINTORQUE

  • Advising Zensung (insuretech) and Sunpower Renewables (portable solar) start-ups on strategy and capital raising 
  • Managing Director FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Markets
  • IMF Financial Sector Consultant
  • 4 Global Banks, 36yrs (30 in APAC)
    • Group Treasury Business Head; Asia Treasurer & Country Treasurer (Indonesia, USA); Global Markets Business Manager; Group Market Risk
    • Reshaping business post GFC & Regulations; Balance Sheet Optimisation Tools; Group FTP Policy; Retail Deposit Growth & Securitisation; Trading Room Performance & Efficiency
Thumbnail
Chris de Stigter

Independent Consultant

Chris de Stigter is an independent consultant and trainer in the area of Asset & Liability Management (ALM). He has been working for the group ALM department of ABN AMRO as the head of the Funds Transfer Pricing team. After completing his Master degree in Business Administration at the Vrije Universiteit in Amsterdam, he joined the bank as an international management trainee in 2005. After successfully completing his traineeship, he joined the Asset & Liability Management department. Chris has gained thorough experience in all the fields of expertise within ALM; liquidity management, capital management and interest rate risk management. In 2013 he became the head of the FTP team and that makes him responsible for all internal charges and benefits with regard to liquidity, capital and interest rate management. He also represents the ALM department in the product and pricing committees in the commercial business lines. Chris is a very enthusiastic speaker, panellist and moderator on several national and international training events and conferences, always receiving the highest ratings by his audience.

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

Steven Smallsman, Global Head of Liquidity Risk Review, STANDARD CHARTERED BANK

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

Chris de Stigter, Independent Consultant

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

Chris de Stigter, Independent Consultant

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

Ajay Surana, Managing Director, ACIES CONSULTING

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

Karen Moss, Director, ALM/BSM Senior Practitioner, MOODYS

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

Ajay Surana, Managing Director, ACIES CONSULTING

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

Ajay Surana, Managing Director, ACIES CONSULTING

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

Nick Wood, Managing Director, FINTORQUE; Former Financial Sector Consultant, IMF

17:00

End of training course