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Funds Transfer Pricing (FTP) Modelling & Case Studies
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    21 - 22 October 2019

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School

    Funds Transfer Pricing (FTP) is fundamental to the management of the banking book in terms of the balance sheet optimisation and asset transformation process in banks. This ground-breaking programme will teach you the best proactive methods for measuring and managing FTP in today’s turbulent market environment.

    The FTP process is most often used in the banking industry as a means of outlining the areas of strength and weakness within the funding of the institution. FTP can also be used to indicate the profitability of the different product lines and each staff member, as well as act as a great medium for comparison between employees, branches, etc.

    LEARNING LEVEL

    Intermediate

    PROGRAMME FEE

    AICB MEMBER

    MYR

    2,500*

    / PAX

    NON-MEMBER

    MYR

    3,000*

    / PAX

    *Subject to 6% Service Tax

  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:

    Gain a comprehensive understanding of the FTP dynamics, the process that is followed in the best organisations, market and funding pricing, and the incorporation of the various risks including interest rate in the FTP framework as below:

    • The incorporation of liquidity and interest rate spreads in pricing and funding
    • The challenges of building a successful framework for asset liability and pricing management
    • The regulatory requirements for asset and liability management (ALM)
    • Effective and profitability pricing in ALM
    • The techniques for modelling risks within an FTP framework
    • The incorporation of credit in the FTP framework
    • Integrating NSFR into the FTP logic
    • Case studies


    PROGRAMME OUTLINE

    Prologue / Introduction to FTP and ALM Pricing Risk

    • ALM and FTP
    • How ALM fits into the financial management process
    • ALM and balance sheet
    • ALM and interest rate scenarios
    • Measuring bank performance
    • Product pricing in ALM
    • Impact on NIM
    • NIM and FTP

    Understanding the Nature of ALM Pricing Risk

    • Definition, understanding of FTP
    • FTP basics incl. NIM (Net Interest Margin)
    • Market conventions
    • Why banks need funds transfer pricing (FTP)

    The Components of FTP 

    • Objectives of FTP
    • Product pricing
    • Profitability management
    • Liquidity management
    • Balance sheet management

    Challenges of FTP

    • Impact of recent financial crisis
    • Weaknesses of a funds transfer pricing system
    • Liquidity risk
    • Credit crunch
    • Responses to Basel 3 liquidity requirements
    • Pre and post crisis approaches to FTP systems
    • FTP for non-maturing deposits (NMD)
    • Incorporating liquidity transfer pricing (LTP)
    • LTP guiding principles
    • Incorporating NSFR into FTP logic
    • The foundations of a robust NSFR LTP-FTP framework
    • Liquidity term premiums
    • Contingent liquidity risks
    • FTP and NSFR: strategic considerations
    • Strategic considerations: increasing the NSFR
    • Summary: strategic benefits of integrating NSFR into FTP

    Building a Framework for FTP Management

    • Defining transfer price
    • What must be transfer priced?
    • The base transfer pricing curve
    • Components of transfer price
    • Liquidity risk, Basel 3 and LTP

    Funds Transfer Pricing Approaches

    • Single pool approach
    • Multiple pool approach
    • Matched-maturity approach

    Case Studies on FTP Modelling

    • A simple model
    • Processes including information and cash flow
    • Building pools of transactions
    • Establishing the funding curve
    • Setting the transfer price and rates
    • Risk control and performance management
    • Reporting, communication and transparency
    • Example of an FTP model
    • Conclusion

  • Methodology

    Lecture with mini-workshops for participants to discuss and design their own FTP models

  • Participant Profile
    Regulators, analysts, risk and banking professionals who need to better understand FTP and ALM management challenges and strategy within a bank. The course is targeted at an intermediate level and assumes a basic understanding of banking products and services. Related workshops include: Risk Management in Banks, the Basel 3 Liquidity and IRRBB Implications, which provides a broader overview of all risk management areas.
  • Trainer

    Dr. Guan Seng Khoo

    Dr. Guan Seng Khoo is a risk management specialist with over 20 years’ experience in the education, design and implementation of enterprise-wide risk management models, systems and processes. He was in charge of, and has implemented, enterprise risk management systems at five financial institutions - Temasek Holdings, Singapore; Alberta Investment Management Corporation, Canada; RHB Capital, Malaysia; CAI, Singapore and Standard Chartered Bank, Singapore, where he was Global Head and Managing Director, Group Risk Analytics. There, he headed a team that validated all global risk models for Basel and regulatory compliance and liaised with all financial regulators.

    In other previous roles, Dr. Khoo designed and managed an algorithmic hedge fund at Man Investment Products (Man Group plc.) in the 1990s and was Head of Innovation (Strategy and Business Department) at the Singapore Exchange. He was also based in Chicago and Denver in 2001–2002 at American Bourses Corp (a spin off from Man Group plc), providing investment and trading analytics to clients trading on the electronic exchanges in North America and the Asia-Pacific region.

    He holds a PhD in Physics from the National University of Singapore and did post-doctorate work in AI-based data mining in drug and materials design at Nagoya University and Molecular Simulations Inc (MSI) research centres at Caltech, Boston and Teijin-MSI in Tokyo. He has also published over 30 journal papers on financial engineering, AI applications in finance, Basel 2 risks and material science.


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