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11th Annual Funds Transfer Pricing and Balance Sheet Management

Manage and steer excess liquidity in the current climate through effective FTP strategy in order to achieve balance sheet optimisation

November 29-30, 2021
Berlin, Germany

An Interview with Erkka Pesonen, Director, ALM Risk Management and FTP, at UBS

Ahead of the 11th Annual Funds Transfer Pricing and Balance Sheet Management Conference, we spoke with Erkka Pesonen, Director of ALM Risk Management and FTP at UBS. Erkka works in the Group Treasury ALM team, responsible for FTP setting and methodology and interest rate risk hedging. Prior to his current role Erkka has worked in Treasury cash trading and Treasury funding roles at UBS. He has over ten years of Treasury and Finance experience at UBS in Switzerland and the UK. Erkka has a BSc in Economics from the London School of Economics and he is FCA certified (CISI certification).

How has the impact of Covid-19 affected balance sheet structures?

The low rate and credit spread environment post Covid-19 turbulence has been beneficial for issuers. Group Treasuries across the board have printed farther out the curve to benefit from relative flat tenor extension cost. Companies seem to also have taken this opportunity to issue more than planned, as total issuance volumes are reaching record highs this year. Banks have seen deposit growth in ring-fenced entities where customers have been holding cash surpluses as a consequence of COVID related constraints.

Do the challenges around balance sheet structure vary across different jurisdictions?

Local regulators impose their interpretation of the Basel requirements and their expert local judgement to their jurisdictions which can create varying binding constraints within a Group.  Such variations need to be layered into the internal pricing to accurately reflect the cost of liquidity, funding and capital – which can create a trade-off between technical complexity and pricing/signalling effectiveness.

Has the product mix need to optimise RWA changed across the last couple of years?

RWA optimisation is driving constant assessment of the return on capital across the industry – from Risk or Leverage driving the capital requirement, through to other optimisation initiatives and the product mix.

What could be some future trends with balance sheet structure going forward?

Main themes will likely remain around optimisation of Liquidity and Funding Metrics, LRD and RWA while navigating the low interest rate environment – and enabling FTP incentivisation mechanisms to account for them.

What do you hope to gain by attending the Funds Transfer Pricing and Balance Sheet Management event?

I found the presentations, discussions and the materials that were shared afterwards extremely valuable to take back with me and discuss with my colleagues. I gained new insights to Bank Treasuries’ thoughts on how to best approach regulatory requirements, balance sheet modelling and optimisation.

Achieve optimal balance sheet structure in the era of COVID-19

• Build a balance sheet that takes into account different regulations, focus points and geographies
• Product mix on the balance sheet to optimise RWA: Prioritise products with a low cost of capital 
• Examine what the balance sheet looks like on the liability side: Are deposits floored?

For registration pricing and multiple attendee discounts, please contact:

Ria Kiayia 
riak@marcusevanscy.com

Erkka will be presenting during Day Two!