Event Agenda

Agenda

Event Speakers:

  • Chris De Stigter, Independent Consultant
  • Lena Young, Head of Audit Liquidity and Funding, Credit Suisse
  • Yannick Fessler, Senior Director – Product Manager for Balance Sheet Management , Moody’s Analytics
  • James Belmont, Director, Baringa Partners
  • James Mackenzie, Senior Manager, KPMG Banking Risk

Day One | Wednesday 23rd May 2018

08:30

Registration and refreshments

09:00

Fund transfer pricing objectives

  • Introduction to FTP
  • Profitability management
  • Product pricing
  • Balance sheet management
  • Liquidity management
  • Expected benefits of FTP

James Belmont, Director, Baringa Partners

10:30

Morning Break

11:00

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

Chris De Stigter, Independent Consultant

12:30

Lunch

13:30

Implementing a robust FTP mechanism

  • Asset liability profile study
  • Transfer pricing mechanism design
  • FTP policies
  • Interface with other functions
  • System requirement specification 

Lena Young, Head of Audit Liquidity and Funding, Credit Suisse

15:00

Afternoon break

15:30

FTP within an integrated balance sheet management practice  

  • Industry challenges regarding integrated BSM
  • Core design principle of a proposed solution
  • Focus on FTP setup and pricing methodologies

Yannick Fessler, Senior Director – Product Manager for Balance Sheet Management , Moody’s Analytics

17:00

End of day one

Day Two | Thursday 24th May 2018

08:30

Refreshments

09:00

Capital transfer pricing

  • How do you make working capital adjustments in transfer pricing?
  • Risk weighted parameters to reallocate capital
  • Arm's length standard and transfer pricing
  • Comparability adjustments

Chris De Stigter, Independent Consultant

10:30

Morning break

11:00

A framework for FTP with focus on liquidity transfer pricing

  • Introduction to a framework for FTP
  • Cash flow models in FTP
  • Treatment of liquidity reserves under FTP
  • Special cases

12:30 

Lunch
13:30
  • Fund transfer curves

Arvind Sarin, Partner, KPMG

14:00

Afternoon break

14:30

Liquidity Transfer Pricing

  • Vanilla implementation of FTP
  • Transfer pricing mechanism design
  • Derivatives FTP considerations
  • Methods for dealing with non-maturing deposits for FTP

James Mackenzie, Senior Manager, KPMG

 

16:00

End of course