Course Overview
Funds Transfer Pricing [FTP] is very critical to banks internal management of liquidity and market risk. Whilst regulators do not specify what FTP mechanism a bank should operate, they do require it to be effective in ensuring that asset pricing includes an accurate reflection of funding costs.
This intensive masterclass is designed to provide attendees with all the tools needed to properly implement and govern FTP strategy. Sessions will cover the main areas of funds, liquidity & capital transfer pricing as well as looking at the treatment of legal entities and business implications of FTP. We will utilize practical case studies to better equip delegates with an understanding of how FTP mechanisms have and are evolving, what is currently considered by the banking industry to be best practice in terms of their design and operation and strategies for overcoming challenges to them.
The ambition of this training is to give you the insights and vision that will help you make the right decisions to leverage this challenging standard into added value for your institution. We work together with expert trainers, who are well-known in the industry. They have the relevant experience and knowledge and they are happy to share it.
WHAT YOU WILL LEARN
- The Key Roles of FTP within the Bank ALM Framework
- Role of FTP within a bank and the regulatory requirements
- Various types of FTP and methods for calculation
- Describe the evolution of FTP methodologies from Zero Term Premium to Matched Term Premium pricing
- Best practice for curve construction and modelling FTP
- Four key roles or functions of FTP with the bank
- Using the Basel Liquidity Coverage Ratio (LCR)
- Liquidity risk management tools within the FTP framework
- Balance sheet mismatches and risk management – Interest rate (IRRBB), FX and liquidity risks
- Identify suitable basis adjustments to internally manage IRR introduced by the funding model
- Capital transfer pricing and how to make working adjustments
- Combine FTP curves with behavioral models to better value non maturing assets/liabilities
- Adjust to FTP models to reflect regulatory impact such as LCR and Leverage ratio
- Evolve existing FTP models to include Capital as well as Liquidity Funding costs and regulatory impact
- The FTP setting process and best practice governance
- Business implications of FTP
WHO SHOULD ATTEND
CROs, CFOs, COOs, Presidents/VPs/EVPs/FVPs/SVPs, Global Heads, Department Heads, Managing Directors, Directors, International/Senior Managers of:
- Asset/Liability Management
- Balance Sheet Management
- Bank & Country Risk
- Capital Management
- Capital Modeling
- Compliance
- Counterparty Credit Risk
- Credit Portfolio Management
- Credit Research
- FI Risk Management
- Funding Risk
- Funds Transfer Pricing
- Interest Rate Risk
- Portfolio Strategy
- Prudential Policy
- Quantitative Analysts
- Risk Analysis
- Risk Control
- Risk Integration
- Risk Methods
- Risk Model Development
- Risk Modelling
- Risk Strategy
- Stress Testing
- Supervision/Regulation
“The training was very well organized. The content was very relevant to my role. The interactive discussion was encouraged and the trainer was also very knowledgeable of the subject matter. I would recommend this training to all who are involved in Fund transfer, ALM, Treasury and Finance.”
“It was an extraordinary training methodology and a multidisciplinary approach, as well as a clear and strong content structure that focused on FTP. The training methodology helped participants to realize a deeper knowledge of Funds Transfer Pricing.”
“I would like to recommend the risk, ALCO and treasury teams this training. It was indeed a time well spent and a memorable experience.”
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