Funds Transfer Pricing

SIDC CPE-approved: 10 CPE Points

Date: 16^th & 17^th December 2024
Venue: DoubleTree by Hilton Kuala Lumpur

Classroom Training

COURSE INTRODUCTION

The Global Financial Crisis, 2007-9 provided a clear reminder of the importance of Funds Transfer Pricing (FTP), an essential tool for managing funding, liquidity, and interest rate risk that banks had largely previously ignored. FTP is not only critical to risk management, but also to ensuring that assets are accurately priced inclusive of their corresponding funding costs, and that business performance is properly measured and managed on a risk-adjusted basis to ensure the incentives of business managers align with the overall goals of the organization.

This 2-day course provides clear and practical instruction in FTP techniques, methods, and applications aligned with current best-practice. Throughout the course, illustrations, examples, and case studies are used widely to aid understanding and contextualize learnings within a real-world context. The course also entails a high level of interaction, with delegates encouraged to ask questions throughout to gain vital knowledge and deep insights.

Key Highlights:
- Understand what FTP is and how to build FTP curves
- Learn how to use FTP to price assets and remain competitive
- Be able to apply FTP for performance management, balance sheet management, and capital allocation

Fee

Fee per participant: RM5,900/US$1,950

Please note that the Ringgit price is applicable to Malaysia-domiciled participants only. Discounts are available for group bookings. Please contact us for more details.

In-house/group training

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More

For enquiries please contact:

Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44

Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810

For sponsorship & speaking opportunities:

Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802

For marketing and media enquiries

Govina Selvanthran
Marketing Manager
[email protected]
Direct Line: +603 2162 7800 ext 22

Funds Transfer Pricing

SIDC CPE-approved: 10 CPE Points

Date: 16^th & 17^th December 2024
Venue: DoubleTree by Hilton, Kuala Lumpur

Classroom Training

COURSE INTRODUCTION

Key Highlights:
- Understand what FTP is and how to build FTP curves
- Learn how to use FTP to price assets and remain competitive
- Be able to apply FTP for performance management, balance sheet management, and capital allocation

Fee

Fee per participant: RM5,900/US$1,950

Please note that the Ringgit price is applicable to Malaysia-domiciled participants only. Discounts are available for group bookings. Please contact us for more details.

In-house/group training

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More

Day 1

Overview of Funds Transfer Pricing

What is FTP?
What is FTP used for?
What are the benefits of FTP?
Why centralize risk and how does FTP remove interest rate risk from business units?
How did the Global Financial Crisis, 2007-9 show the value of FTP?
What is the link between FTP and Asset Liability Management?
Can FTP help define the bank’s Risk Appetite Statement?
Should equity capital be included in FTP?
What is Liquidity Transfer Pricing (LTP), and how does it relate to FTP?
How do bank regulators view FTP?
What are the components of a transfer price?

Case study: Northern Rock

FTP Curve Construction

Pooled Funds Transfer Pricing
- Single pool method
- Multiple pool method
Matched-Maturity
- Assignment of explicit transfer rates
- Specific funds characteristic and attributes
- Advantages for capturing individual transactions
Comparison of FTP Approaches
- Strengths and weaknesses in FTP methods
- Why maturity-matching is considered best practice
Other curve construction methods
- Deriving the marginal cost of funds curve
- Applications of cross-currency swaps for foreign currency curves
- Deriving the match-maturity curve in developing markets

Case Study: Detailed FTP example

Day 2

Pricing with FTP

Risk-based product pricing
Should flow FTP rates or stock/flow blended rates be used?
Pricing assets and liabilities
- Fixed rate vs floating rate
- Short-dated vs long-dated
- Secured vs unsecured
Pricing equity investments
FTP and deposit pricing
Applying FTP to off balance sheet items and liquidity buffers

Balance Sheet Management and Capital Allocation with FTP

FTP as a tool for shaping the balance sheet
Centralized interest rate risk management
Managing structural interest rate mismatches
FTP as an internal allocation system
Liquidity management and term liquidity premiums
How does the Basel liquidity regime interact with FTP?

Case study: Managing non-maturing liabilities in the matched-maturity framework

Performance Management with FTP

Net Interest Income decomposition: profit versus risk
Risk-adjusted return on capital generated by different business units
Improving the quality of decision-making
Achieving higher profitability
What does the BCBS’s fundamental review of the trading book mean for FTP?

Case study: Calculating profitability and return on equity

Opportunities and Challenges in FTP

Dealing with embedded options
Dealing with non-maturity deposits
Adjusting for basis risk
Accounting for non-performing assets
Behavioral methodologies

EXPERT COURSE DIRECTOR

Dr Ken Baldwin
Former MENA regional head of quantitative analysis, Citigroup

Dr. Ken Baldwin has worked as a practitioner in banking and finance for over 25 years in senior positions spanning the front and middle offices. Having graduated from Oxford University with a first-class honors degree in Physics in 1989, he qualified as a Chartered Accountant with PWC, before joining UBS, and then later Credit Suisse, in derivatives risk and control functions based in London.

He gained a PhD in microeconomics and worked in the GCC for 15 years in retail and investment banks. Whilst at Abu Dhabi Islamic Bank, Dr. Ken built an ALM analytic technology platform capable of capturing liquidity and interest rate risks inherent in the many varied financing products used at retail and corporate levels. He then moved to take up the position of MENA Regional Head of Quantitative Analysis for Citigroup. At Citicorp, Dr. Ken worked on structuring complex derivatives products used by Gulf-regional corporations to hedge FX and interest rate risks. Still residing in Bahrain, Dr. Ken then joined Investcorp, where he worked on the risk due diligence of corporate private equity and real estate private equity transactions and portfolio management. After leaving Investcorp, he set up the risk management department for venture capital bank, providing Basel III compliance and deal analysis for the bank. He then operationalized a new Islamic investment bank as its Chief Operating Officer for 3 years, before his most recent industry role at the Islamic Development Bank, where he set up and ran a new department tasked with developing financial policies and risk-based pricing of the bank’s Islamic financing products. Dr. Ken is currently an Assistant Professor of Finance in the UK. He has published quantitative finance articles in peer-reviewed academic journals including the Journal of International Financial Markets Institutions and Money, and the Journal of Risk, and during his earlier career, taught CFA and FRM professional certifications as a pastime for the Bahrain Institute of Banking and Finance.

Who Should Attend?

Who will most benefit from this course?
- Chief executive officers
- Chief risk officers
- Chief financial officers
- Financial risk managers and risk analysts
- Treasury analysts and market risk managers
- Credit risk managers and analysts
- Credit managers
- Credit administrators
- Corporate bankers
- Retail bankers
- Internal auditors
- Compliance officers
- Supervisors, regulators and risk standard setters

REGISTRATION

*Please note there is a fee for attending this program. Please contact us for more details.

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Before completing this registration form please read and understand our booking and cancellation policy. Thank you.

Presentation materials: – important, please read carefully

as part of our sustainability drive, we offer standard access to an electronic version of the course materials. A hard copy of the materials can be provided for a fee: RM100 per copy for Malaysia-based participants; US$150 per copy for all other locations.

Please tick here should you wish to receive a hard copy of the course materials.

Booking, Payment and Cancellation Policy – important, please read carefully

By completing, signing and revised, sent separately us this registration form you are conﬁrming participants on the program. You are also conﬁrming your understanding of our Booking, Payment and Cancellation Policy.

Cancellation Policy: If participants cannot attend the program, replacement participants are always welcome. Otherwise, participants must notify us any of cancellations or requests to transfer to a diﬀerent program at least 14 days before the program date to be eligible for a refund, less a 5% administration on fee. Participants who cancel within 14 days of the program start date are liable to pay the full program fee and no refunds will be given. Instead fees will be converted to a REDmoney Seminars voucher equivalent to the original fee, less a 10% administration charge. This voucher is transferable within your organization and must be redeemed within one year of issue or become void. If a program is postponed for whatever reason registrations and fees will be automatically transferred to the new program date. Participants who wish to transfer to a diﬀerent program will be subject to the same terms as above and charged any diﬀerence in fees. No refunds or program vouchers will be issued for a no-show.
Payment Terms: All program fees are payable upon invoice. REDmoney shall receive the full program fee with no deductions of any description. All telegraphic transfer fees, taxes and levies (domestic or otherwise) shall be borne by the sponsoring organization.

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For enquiries please contact:

Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44

Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810

For sponsorship & speaking opportunities:

Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802

For marketing and media enquiries

Govina Selvanthran
Marketing Manager
[email protected]
Direct Line: +603 2162 7800 ext 22