FTP Discussion Group

Related Documents

Mortgages - is the FTP the cost of one year money?

7th February 2012

Should a long dated mortgage asset be priced off the long dated cost of money? Or should it be priced off a shorter rate reflecting the fact that firms finance by borrowing short term and rolling this over?

Discussion Paper 10/4

3rd September 2010

This DP raises questions about the capital charge for trading books. Look more closely and you will find that the regulation of investment banking by the FSA is ineffective. Furthermore there is no reason to think that in the future it will improve. Investment banks will continue to run risks that periodically threaten their solvency. Their current interconnection with the retail deposit business means government support is guaranteed. A pragmatic solution would be to disentangle investment banking from the retail business. This free market approach is much favoured by investment bankers for other industries. Good business flourishes and bad ones die without placing a burden on the taxpayer. Now let's see why regulation won't protect us.

Liquidity

31st March 2014

Liquidity "Markets can remain irrational longer than you can remain solvent." JM Keynes • Definition • Risk drivers • Stress testing • Board responsibility • Days of survival • Buffers • Funds transfer pricing • Outcome

Funds Transfer Pricing Review

18th December 2012

How do you work out your cost of money? Is your FTP proportionate? Does it capture all relevant costs? Do you pass these on to products? Do staff understand why you do it? Is it fair to treasury and the rest of the business? Is there sufficient Board debate?

Is it in your your ILAA?

6th January 2011

The FSA's proposed Dear CEO letter (Review of implementation of systems and controls requirements in liquidity regime dated December 2010) tells you that if it's not in writing it doesn't exist.

Funds Transfer Pricing

17th January 2012

Summary: For banks and societies FTP is not an option it's mandatory. Pooled funding is insufficiently granular for the risks that are now apparent. For most firms some type of matched maturity method either using market yields, derived yields or retail funding costs provides the base cost of funding. This needs to be adjusted to include the additional costs you have identified, for example the buffer cost. Each product will have a different set of costs based on the risks that it creates and the costs associated with hedging those risks. Embedding FTP is as important as calculating it. It's an area that's open to regulatory challenge and you need the evidence to back you up. More...