Published: 7th February 2012 by William Webster
BCL Funds Transfer Pricing Jan 2012.pdf (154kb)
The presentation for the discussion group held at Mutual One on 25/1/12 and 3/2/12.
Displaying 1 to 6 of 6 results in total.
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?
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.
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
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?
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.
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...