Strategic Balance Sheet Optimization:
Mastering Fund Transfer Pricing

Overview

The first day of the course focus on the role of ALM being a bank within a bank and covers some aspects of IRRBB positioning and maturity transformation management. It explains, in detail, the how the split of the customer rate into FTP rate and commercial margin impacts the P&L result of ALM. The analysis is supported by the practical cases and exercises. This section also covers the methodological approach for the incorporation of the indirect liquidity cost into the FTP rate and its respective quantification.

The second day is mostly focus on the FTP curve construct and importance of getting it correctly and in transparent way. It provides the audience with the practical examples of techniques adopted by the major market participants and the construct itself. Finally, it analyses the techniques for balance sheet shaping through the FTP process and stimulation to originate certain product instead of others.