Funds Transfer Pricing and Bank Asset-Liability Management

Funds Transfer Pricing (FTP) is an essential part of the liquidity risk management process, and an essential piece in understanding the profitability of customers, product lines, organisational units, and channels within your institution. A well-designed FTP framework enables a bank to pursue its strategic objectives, conversely a poorly implemented FTP framework can lead to long-term damage to a bank’s balance sheet structure and liquidity position.

This one-day workshop provides comprehensive coverage of business best-practice approach to the bank internal funds pricing framework.

Aimed at senior or experienced Treasury, Risk and Finance practitioners, this workshop covers the complete spectrum from governance and internal funding policy to risk measurement and returns analysis. By the end of this workshop you will leave with an understanding of best-practice FTP principles and how to implement them, and critically how they can be integrated into bank ALM and balance sheet management policies, thus optimising their bank’s liquidity management framework.

Who should attend?

  • Treasury Senior Management
  • Heads of ALM/ Money Markets
  • ALCO membership
  • Heads of Balance Sheet Management
  • Risk Management
  • Liquidity Management
  • Heads of Funds Transfer Pricing
  • Finance Senior Management

  • An effective internal funding framework
  • Objectives of internal funding policies
  • Integrating FTP into overall liquidity policy
  • Funding policies: banking book, securities trading book, derivatives book
  • Setting the correct market-implied FTP curve
  • Treasury operating model, FTP and balance sheet management
  • FTP and liability strategy
  • Template FTP policy for a commercial bank: recommended best-practice approach

Registration: 09:00
Start: 09:30
Close: 17:00

Lunch will be served and there will be two 15-minute breaks (mid-morning and mid-afternoon).

*Please note that the workshop sequence and/or subject matter may differ from that described here.  The programme is constantly being updated to embrace new ideas and developments as they evolve

The concept of internal funds pricing
  • An effective internal funding framework
Objectives of internal funding policy
  • Consistent liquidity pricing behaviour amongst business lines
  • Removing interest-rate risk from the business lines
  • Including the bank’s cost of liquidity in product pricing
  • The correct internal pricing regime for the bank
The cost of funds
  • Constructing the bank’s internal funding curve
  • Different reference funding curves (Libor, OIS, ASW)
  • Marginal unsecured curve
  • Weighted average cost of funds (WACF) curve
FTP and liquidity management
  • Pricing liquidity via the FTP process
  • The concept of the term liquidity premium (TLP)
Treasury op model, FTP and balance sheet management
  • Integrating FTP into balance sheet management
  • FTP centre as cost centre or profit centre
  • FTP across different business lines: alternative approaches
FTP and liability strategy
  • Integrating FTP strategy into ALM and liability strategy
  • Driving liabilities-raising behaviour through the FTP mechanism
  • A dynamic FTP regime for changing yield curve environments
Funding policies
  • Banking book
  • Trading book
  • Derivatives

Moorad Choudhry

Moorad Choudhry has 28 years experience in the City of London and was latterly CEO of Habib Bank AG Zurich; prior to that he was abn Hav

Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He is Visiting Professor at University of Kent Business School, and author of The Principles of Banking (John Wiley & Sons Ltd).

Take this training in-house

If you have five or more delegates who wish to attend this briefing, it may be more cost effective to run it in-company. To find out more about in-company training, please contact Philip Allen Director of Learning on 0207 216 8843 or philip.allen@bba.org.uk