Case Studies & Practical Examples List

FTP Objectives, Methodologies & Balance Sheet Optimisation

FTP Objectives and Implementation

1. Case Study: Understanding FTP Objectives in a Bank
   – Explore how FTP aligns business strategy with ALM and profitability goals.
2. Case Study: What is NIM in Business Units and ALM?
   – Compare NIM calculations under different FTP frameworks.

Types of FTP

3. Practical Example: Constructing FTP Curves
   – Build a base curve and add a term liquidity premium.
4. Case Study: FTP for Soft and Hard Currencies
   – Apply proxy curve construction techniques for a pegged or illiquid currency.
5. Discussion Workshop: Treasury – Profit Centre or Service Centre?
   – Debate on the organisational approach to FTP.

FTP for Balance Sheet Optimisation

6. Case Study: ALM Optimisation – Balancing Risk and Return
   – Use FTP to steer the balance sheet towards target positions.
7. Practical Example: FTP Steering Tools in Action
   – Apply FTP levers to incentivise loan growth vs deposit gathering.

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Liquidity Transfer Pricing & FTP Modelling

Liquidity Transfer Pricing

8. Case Study: Liquidity Transfer Pricing Best Practices
   – Examine frameworks in banks operating under Basel III LCR.
9. Practical Example: Quantifying Indirect Liquidity Costs
   – Calculate liquidity charges including contingent liquidity cost (COL).
10. Case Study: Charging for Liquidity Under LCR
    – Align liquidity charges with regulatory liquidity requirements.

FTP Architecture and Modelling

11. Case Study: Blended FTP Curve – Retail-Only Bank
    – Build a curve for a bank funded exclusively by retail deposits.
12. Case Study: Blended FTP Curve – Mixed Retail & Wholesale
    – Construct a blended curve combining retail and wholesale sources.
13. Case Study: Constructing an FTP Curve Based on Forecasted Funding Costs
    – Incorporate forward-looking scenarios into FTP term structures.

Balance Sheet Shaping through FTP

14. Practical Example: FTP Steering Techniques
    – Apply FTP to influence asset/liability composition.
15. Case Study: Curve Liquidity Premium & Dampening Techniques
    – Use smoothing approaches to manage curve volatility.

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Strategic Implications, Performance Management & Product Pricing

Strategic Implications of FTP

16. Case Study: Risk-Adjusted Parameters and ROE
    – Model how FTP influences return on equity for business units.

Importance of FTP on Performance Management

17. Practical Example: Utilising FTP to Measure Business Performance
    – Show how FTP drives accountability and performance reporting.
18. Case Study: Enhancing Decision-Making with FTP
    – Demonstrate how strategic decisions improve with FTP insights.
19. Case Study: Calculating Product Profitability & ROE
    – Hands-on profitability calculation using FTP-adjusted margins.

FTP and Product Pricing

20. Practical Example: FTP and Asset Pricing
    – Apply FTP rates to loan products with different maturities.
21. Case Study: FTP and Deposit Pricing
    – Price deposits considering FTP, liquidity value, and behaviouralisation.
22. Practical Example: FTP for Off-Balance Sheet Products
    – Assign FTP charges to contingent commitments and guarantees.
23. Examples: Product Pricing Under Different FTP Scenarios
    – Compare pricing strategies under alternative FTP models.