Event Agenda

Agenda

Day 1 - Wednesday 28th November

08:30

Registration and Refreshments

09:00

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 centralized system?
  • Treatment of legal entities
  • Weaknesses in FTP infrastructure

Speaker: Yousef Ghazi-Tabatabai, Senior Manager, PwC

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

Speaker: Chris De Stigter, Head of FTP Centre, ALM, ABN AMRO

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

Beata Lubinska, Senior Manager - Market Risk, MeDirect Strategy

15:00

Afternoon break

15:30

Optimising the balance sheet

  • 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

SpeakersCarsten Bröker, Director-Head of Liquidity Cost Allocation and Planning, Commerzbank AG and Dr. Heiko Siede, FTP and Balance Sheet Management Specialist, Commerzbank AG

17:00

End of Day One

Day 2 - Thursday 29th November

08:30

Morning Refreshments

09:00

 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

Speaker: Stirling Alayrac-Fielding, Managing Director, Safranier Consulting

10:30

Morning 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

Speakers: Carsten Bröker, Director-Head of Liquidity Cost Allocation and Planning, Commerzbank AG & Dr. Heiko Siede, FTP and Balance Sheet Management Specialist, Commerzbank AG

12:30

Lunch

13:30

Capital transfer pricing

  • Making working capital adjustments in transfer pricing
  • Considering MREL separately
  • Risk weighted parameters to reallocate capital
  • Arm’s length standard and transfer pricing
  • Comparability adjustments

15:00

Afternoon Break

15:30

Business implications of FTP

  • Governance expectations and transparency
  • Legal entity/ring facing issues
  • Implications of Brexit
  • 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

Speakers: Sam Steer, Director, Head of Treasury Planning and Performance, Treasury, Deutsche Bank & Rina Mirchandani, Director - Treasury, Deutsche Bank

17:00

End of Course