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https://bizenius.com/trainings/banking-finance/ftpm/
Funds and Liquidity Transfer Pricing MasterclassThe Key To Effective Risk And Profitability Management
On this course you will: • FTP objectives & implementation • FTP for balance sheet optimisation • FTP curve architecture & modelling • The Key Roles of FTP within the Bank ALM
Framework • Best practice for curve construction and modelling
FTP • FTP’s Role in the Market Risk Management
Framework: Interest Rate • FTP in Performance Measurement & Capital
Allocation
https://bizenius.com/trainings/banking-finance/ftpm/ T: +91 988 699 4381 E: [email protected]
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. For a FTP mechanism to be successful, it requires the effective partnering of treasury, wider finance and the front line business.
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.
Key Learning Objectives: • FTP Methodologies and deriving the FTP curve • Description and analysis of different FTP
methods • Four key roles or functions of FTP with the bank • Strategic implications of FTP • Analysis of Bank Balance Sheets, Business
Models, & Net Interest Income (NII) Components
• ALCO and ALM organisation - policy and procedure framework including FTP
• The FTP setting process and best practice governance
• Balance sheet mismatches and risk management – Interest rate (IRRBB), FX and liquidity risks
• Interaction of Basel Liquidity Regime and Funds Transfer Pricing
• Market risk management : pricing and managing structural interest rate mismatches onand off-balance sheet
• Using the Basel Liquidity Coverage Ratio (LCR) • Liquidity risk management tools within the FTP
framework • Inter-bank funding market developments – Dual
Curve Pricing and FVA in the FTP framework
Course Objectives About BIZENIUS
BIZENIUS offer a wide range of professional training courses designed to give you the skills and strategic edge your industry de-mands. Our course content is always fresh, never generic and continually updated to ensure our curriculum reflects the diverse landscape of innovation across Energy & Re-sources, Banking, Telecom, Finance & Invest-ment, Oil and Gas, Mining, Construction and more.
Whether you want to learn the fundamentals or expand your knowledge with advanced training, we’ve got a programme for you. Our technical and non technical training courses within the industry offer a variety of levels to help you be productive in your work. We offer Introductory and expert level courses as well as customer specific on site training are also offered upon request.
Course Requirements And Certificates
Delegates must meet two criteria to be eligible for BIZENIUS Certificate of Completion for a course:
1. Satisfactory attendance – delegates must attend all sessions of the course. Delegates who miss more than 6 hours of the course sessions will not be eligible for the certificate
2. Successful completion of the course exercises Delegates who meet the above criteria will receive BIZENIUS Certificate of Attendance.
Course AssessmentYour understanding of the course content will be assessed by completion of course exercises in the classroom and active participation.
• 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
Who Should Attend • CROs, CFOs, COOs, Presidents/VPs/EVPs/FVPs/SVPs, Global Heads,
Department Heads, Managing Directors, Directors, International/Senior Managers of:
FTP objectives & implementation • Regulatory overview & 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?
Liquidity transfer pricing • Ensuring consistent regimes • Managing contingent liquidity risk • Transferring liquidity costs and benefits
from business units to a centralised pool • LCR transfers • How do you charge for liquidity under
LCR? • Liquidity transfer pricing in the overall
risk strategy
Strategic implications of FTP • FTP and profitability • How FTP is seen from the perspective of
the CFO • Planning • Strategy • Incentivisation
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
The Key Roles of FTP within the Bank ALM Framework
• ALCO and ALM organisation - policy and procedure framework including FTP
• FTP objectives overview• Asset and liability pricing • Balance sheet mismatches and risk
management – Interest rate (IRRBB), FX and liquidity risks
• Performance measurement [NII decomposition, Risk-Adjusted
Return On Capital (RAROC) analysis and capital allocation]
• Strategic planning, balance sheet management and profit centre budgeting process
Types of FTP • Maturity levels – single pooling, double
pooling and multiple pooling • Funds Transfer pricing curves • Cost of funds method • Net funding method • Pooled funding method • Matched maturity method
FTP to Price Risk in Products • Incorporate Risk-return-based Product
Pricing • Risk components used in FTP framework • Using FTP to price Regulatory cost into
Products • Pricing Products based on market
benchmarks
FTP’s Role in the Banking Book Market Risk Management Framework: Interest Rate & FX Exposure Management
• Interest rate re-pricing gap measurement and Management
• Earnings at risk/economic value of equity exposure measurement and management
• Maturity uncertainty challenges • Regulatory and accounting
developments: • impact of the risk-invariant leverage
ratio; • pricing in the Net Stable Funding
Ratio (Basel lll - ‘NSFR’), AVC, • IRRBB measurement and
management • Liquidity risk pricing, cost allocation and
risk management. • The Basel lll LCR and FTP application in
allocating the ‘opportunity cost’ of the ‘liquidity buffer’
• Pricing balance sheet maturity mismatches in the FTP framework.
• Stress scenario based deposit run-offs assumptions
• Impacts of FVA on balance sheet management and FTP
Capital transfer pricing • Cost of capital adjustments in transfer
pricing • Risk adjusted parameters to reallocate
capital • Other parameters for capital allocation • Method and approach • Regulatory considerations • Capital floor: the connecting element
FTP for balance sheet optimisation • Asset liability profile study • Transfer pricing mechanism design • 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
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 • Focus on FTP setup and pricing
methodologies • Systems, implementation & monitoring
FTP in Performance Measurement & Capital Allocation
• Governance and organisational challenges in implementing and managing FTP.
• The evolving roles of ALM support, finance, treasury and commercial profit centre
• Basel lll requirement implications for FTP • Challenges of fitting different bank
business models within the FTP framework
• Implications of the BCBS on the bank balance sheet and FTP framework
https://bizenius.com/trainings/banking-finance/ftpm/ T: +91 988 699 4381 E: [email protected]
Funds and Liquidity Transfer Pricing Masterclass
Your Comprehensive Course Agenda
T: +91 988 699 4381 Email: [email protected]
Would you like to run this course in-house?
customised training solutionsThe in-house training division of BIZENIUS
“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.”
Read Some of The Comments Past Delegates Have Made About This Course
CLIENTS
Registered Office Address:BIZENIUS Business Solutions Private Limited
#102, Rockview, 2nd Cross, 2nd Main, Gottigerre, Bangalore, Karnataka, India - 560 083
https://bizenius.com/trainings/banking-finance/ftpm/ T: +91 988 699 4381 E: [email protected]