Funds Transfer Pricing

Funds Transfer Pricing [FTP] is both a regulatory requirement and an important tool for managing Balance sheet structure and measuring risk-adjusted profitability, taking into account the liquidity risk, maturity transformation and interest rate risk and as well as is 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.

A comprehensive explanation of the logic and purpose of FTP will empower delegates to effectuate impactful changes at their organizations. profitability management and strategic balance sheet management .

Learning Outcomes:

• The objectives of FTP and various types of FTP
• Understand key challenges posed in pricing and risk managing assets and liabilities
• Best practice for curve construction and modelling FTP
• FTP Methodologies and framework
• How liquidity transfer pricing can be managed and fits in the overall risk strategy
• Capital transfer pricing and how to make working adjustments
• How FTP affect a bank’s liquidity reporting
• Review recent developments, best practices and understand the Basel lll regulatory requirements and capital framework which affect the banking book and FTP.

This course is suitable for:

• Risk (risk managers)
• Regulation
• Interest Rate Risk
• Treasury
• ALCO
• ALM(Managers and Analysts)
• Funding
• Finance
• IT Specialists
• Pricing
• Liquidity(managers and analysts)
• Budgeting/forecasting managers,
• auditors, product managers,
• product profitability managers,
• Performance management personnel, as well marketing directors

Day 1

• Session 1: ALM Basics
• Session 2: ALM role
• Session 3: Interest Transfer Pricing best practices
• Session 4: Liquidity Transfer Pricing best practices 
• Session 5: FTP curve set up

Day 2

• Session 1: Making FTP effective
• Session 2: Evolving to C-FTP – including cost of capital in FTP mechanism
• Session 3: Calculation of transfer prices for different products based on LCR and NSFR
• Session 4: FTP- are there any pitfalls?
• Session 5: Target Operating Model and governance around FTP