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: connect@bizenius.com

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: connect@bizenius.com

Funds and Liquidity Transfer Pricing Masterclass

Your Comprehensive Course Agenda

T: +91 988 699 4381 Email: connect@bizenius.com

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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: connect@bizenius.com