Advanced Funds Transfer Pricing (FTP) for Financial Institutions

Date: 7^th September 2026
Venue: DoubleTree by Hilton Kuala Lumpur

Classroom Training

WHY THIS COURSE?

Funds Transfer Pricing plays a central role in how banks price products, allocate funding and liquidity costs, and manage interest rate risk. While it is relatively straightforward to implement FTP for many on-balance-sheet products, banks typically carry material off-balance-sheet exposures, such as derivatives, contingent credit facilities, and other commitments, that are significantly more complex to analyse and price. At the same time, deposits remain a core funding source for most banks and require robust behavioural analysis to distinguish stable funding from volatile balances and to correctly capture withdrawal risk within the FTP framework.

This advanced programme focuses on the most challenging and judgement-intensive aspects of FTP implementation. Through worked examples and practical case studies, the course examines:
- the FTP treatment of derivatives and revolving credit products
- advanced deposit FTP, including behavioural tranching and withdrawal optionality
- the construction and calibration of FTP curves in complex funding environments

The programme also explores how FTP interacts with centralised interest rate risk management, liquidity risk stress testing, and regulatory liquidity metrics such as LCR and NSFR. Particular attention is paid to how FTP supports regulatory compliance and supervisory expectations under frameworks issued by the Basel Committee on Banking Supervision and implemented locally by Bank Negara Malaysia. The emphasis throughout is on practical computation and real-world application, equipping participants with the skills needed to apply FTP consistently and comprehensively across the full product spectrum, including complex and non-standard exposures.

Key Learning Outcomes and Takeaways

By the end of this course, participants will be able to:
- Apply FTP to off-balance-sheet exposures, including derivatives and revolving credit facilities, using economically equivalent funded positions
- Implement advanced deposit FTP, including behavioural tranching and withdrawal risk analysis in competitive deposit markets
- Construct and calibrate FTP curves in complex funding environments, including blended wholesale product rates and foreign currency funding
- Apply FTP consistently within centralised interest rate and liquidity risk management, and understand its impact on LCR and NSFR

AGENDA

Centralizing Interest Rate Risk Management

Internal risk transfers between the FTP unit and business units
Maturity transformation vs. liquidity transformation
Managing basis risk: prime loans and deposit markets
Pricing embedded interest rate options in loan products
Setting the FTP unit’s risk budget
Evaluating the FTP unit’s performance

Liquidity Transfer Pricing for Illiquid Assets

The economic basis of the liquidity transfer price (LTP)
Calculating the LTP for illiquid assets using the bank’s stress-testing framework
- Quantifying illiquidity
- Deriving the total HQLA requirement
- Allocating HQLA across products
- Practical implementation

Case study: LTP for Project Finance

Advanced FTP Treatments for Deposits

Behavioral analysis techniques and regression analysis
Identifying the most efficient criteria to tranche deposits
Separating core deposits from volatile deposits
The impact of customer switching in a highly competitive deposit market
Determining the best market rates to proxy deposit rates
Pricing the embedded option to withdraw

FTP for Derivatives

How does FTP apply to derivatives sales and trading?
Collateral dynamics in the FTP framework
How is the liquidity transfer price calculated?
What should the FTP unit charge the derivatives desk?
- Benchmark FTP rate
- Credit Valuation Adjustment (CVA)
- Regulatory capital charges
- Liquidity premium

Case study: FTP for a Market-Making Interest Rate Swap Desk

Pricing Contingencies in the FTP Framework

Which contingencies need pricing?
Quantifying LTP for contingencies
- Revolving credit facilities
- Overdrafts and credit cards
- Loan guarantees

Regulatory Liquidity Metrics and Strategic Optimisation

How FTP interacts with the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) ratios in practice
Translating regulatory liquidity constraints into product-level pricing and business decisions
Constructing and interpreting a multi-currency Liquidity Transfer Pricing (LTP) term structure
Building and maintaining FTP curves across multiple currencies, including fragmented and illiquid funding markets

Course Review and Wrap-up

EXPERT COURSE DIRECTOR

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, the Journal of Risk, and Economics Letters, and during his earlier career, taught CFA and FRM professional certifications as a pastime for the Bahrain Institute of Banking and Finance.

WHO WILL BENEFIT FROM THIS COURSE?

This advanced program is designed for experienced practitioners involved in FTP design, validation, and application, including:
- Chief risk officers
- Financial risk managers and risk analysts
- Treasury analysts and ALM managers
- Market and liquidity risk managers
- Credit risk managers and analysts
- Quantitative analysts
- Structuring and derivatives professionals
- Internal audit and model validation teams
- Supervisors, regulators and risk standard setter

Please note: To gain the maximum benefit from this advanced-level program, participants are strongly encouraged to have a solid understanding of the core principles of FTP. Prior attendance at our Funds Transfer Pricing course (13–14 May) is recommended, or equivalent practical experience of FTP within a financial institution.

FEE

Fee per participant: RM3,250/US$850

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.
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