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Internal Transfer Pricing Including Regulatory and Economic Liquidity Risk

This banking compliance training focuses on a banks internal transfer pricing methods and processes. It will clearly explain the methodological background of pricing and its components with examples and will also provide the necessary organizational steps to put this in practice. Why Should You Attend: Although banks have considerably refined their internal transfer pricing methods in the last twenty years, the recent financi al crisis revealed that severe mispricing of credit and liquidity risk had occurr ed. In the post-crisis area the problem has not vanished, but is even escalating: tightly narrowing markets for unsecured short term refinancing, increasing funding spreads for longer term bond issues and the ever rising regulatory demand for liquid asset buffers depresses the profitability of banks and thus jeopardizes many business models. In order to discover and calibrate sustainable business models, banks need to firstly understand and measure the components of their costs. Next, the bank needs to define and operationalize an internal process which incentivizes the originators to pick those external transactions that generate the highest value and fit optimally into the looked-for balance sheet structure. The hedging of the originated transactions need to be exercised and optimized by a central department and finally the overall financial performance needs to be evaluated on an on-going basis. Starting with the pros and cons of traditional transfer pricing approaches, this webinar will focus on fully con gruent replication (match funding) and the according treasury model. It will develop the interest rate and liquidity risk replication of known future cash flows and will also analyze the underlying yield curves. Expected, unexpected and regulatory liquidit y costs are finally integrated into the modeling. Areas Covered in the Webinar: Development of transfer pricing concepts. Congruent replication (matched funding) as internal sale of the originated transaction. Internal organization and process flow between originator, treasury and controlling. Interest rate and liquidity replication of scheduled cash flows. Funding venues and yield curves; liquidity and other spreads. Behavioral deviance between scheduled cash flows and their realisations. Accounting for unexpected risks: capital for value risks and funded liquid assets for liquidity risk. Treatment of the originated assets credit risk. The cost of liquidity regulation: LCR and NSFR. Provision for the assets that enhance / debase the balance sheet. Recovery of costs for o Assets that are eligible for mortgage stocks, liquidity portfolios etc. o Collateral that mitigates credit risk or is otherwise eligible Replication of liabilities Differentiation between asset- and liability driven business models. Who will benefit: This webinar will provide valuable assistance and guidance to following personnel with roles and responsibilities in all financial institutions: Treasury ALM Balance Sheet Management Risk Management Regulatory Reporting Finance Internal Auditors

Instructor Profile: Robert Fiedler , is a leading practitioner of Liquidity Risk Management. Mr. Fielder has spent over a decade in the treasury/dealing rooms of several international major banks like Banque Nationale de Paris and NatWest Markets as a money market liquidity manager, trading interest rate products and derivatives where he has headed various ALM divisions and served numerous ALCOs.