The latest Liquidity Risk FTP techniques and solutions being employed by leading European Banks

View Liquidity Risk Funds Transfer Pricing workshop full programme here

Explore methods for:

• Enhancing the objectives and methods based on current best practice
• Defining direct costs that stem from the replication process
• Identifying costs arising from the deviation between forecasted and realised payments

Examine how to:

• Differentiate between funding vehicles and venues, plus how they can be combined
• Clarify liquidity risk specifics, why and how it can be priced and mitigated in practice
• Distinguish between expected and unexpected risks and price them accordingly

Gain the skills to:

• Identify credit and market risks and their pricing
• Determine the cost of capital when using the Counter Balancing Capacity (Liquidity Buffer) as a substitute
• Integrate Basel III liquidity ratios and distribute the costs internally

This workshop will examine best practice methodologies for enhancing the integration of liquidity risk into the transfer pricing process. It will address how Banks can comply with Basel III and outline how the resulting costs should be distributed within the Bank.

The programme will:

• Analyse the objectives of transfer pricing methods
• Examine current best practice approaches and the role of the bank’s central replication department (treasury)
• Explore transfer pricing in an ideal world without uncertainties and then amended to integrate the cost of uncertainty
• Define and differentiate between fixed, expected and unexpected cost elements
• Address principles of liquidity risk measurement and then apply them to the funds transfer pricing process: costs of liquidity risk analysed and attributed to the transfer price.
• Tackle Basel III liquidity ratios and develop strategies to comply with them
• Identify dynamic transfer pricing methods and investigate the treatment of non-maturing assets/liabilities and ‘trading book assets’

This workshop is designed to be participative throughout. The agenda will combine key formal presentations, case studies and syndicate discussion sessions within each module. There will be ample opportunity for delegates to benchmark experiences with industry peers and raise issues of most concern to their organisation, either confidentially or in open session.