Bearning

Introduction & Objectives (15 min)

• Welcome and course structure

• Why FTP is critical for profitability, pricing, and balance sheet steering

• Role of FTP in ALM, Treasury, Finance, and Risk Management

• Link between FTP, planning, budgeting, and performance measurement

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FTP Fundamentals & Methodologies (30 min)

• Core principles of Funds Transfer Pricing

• Overview of FTP methodologies:

o Single-pool vs. multi-pool approaches

o Matched-maturity FTP

• Risk-free curve, liquidity premium, and FTP adjustments

• Strengths, limitations, and typical implementation challenges

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Practical Case Study I – FTP in a Real Bank Balance Sheet (30 min)

• Simplified real-life bank balance sheet (assets & liabilities)

• FTP curve construction (IR + liquidity premium)

• FTP assignment to: Loans, deposits, bonds, and equity

• Product-level and balance-sheet-level profitability analysis

• Separation of: Business margin, Structural interest contribution

Hands-on example using Bearning Excel model

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Quantitative Planning & FTP-Based Forecasting (30 min)

• Role of FTP in planning, budgeting, and forecasting

• Static vs. dynamic balance sheet assumptions

• Linking FTP with: Net Interest Income (NII) planning, Structural interest income

• Scenario-based planning: Parallel rate shifts, Yield curve changes

• Typical pitfalls in FTP-based planning

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Practical Case Study II – FTP-Based Planning in Practice (35 min)

• Real bank planning scenario: Expected balance sheet growth, Changing funding mix

• Impact analysis on: NII, Product margins, Structural interest result

• Comparison of alternative strategies: Product repricing, Funding structure changes, ALM positioning

• Management decision implications

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Regulatory & Governance Perspective (25 min)

• FTP and regulatory expectations: IRRBB & liq. risk, Consistency with ICAAP / ILAAP

• Model governance and documentation

• Audit and supervisory focus areas

• Best practices from European banks

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Key Takeaways & Q&A (5 min)

• Key lessons learned

• Practical recommendations for implementation

• Final Q&A and discussion