A Case Study of Bank Internal Funds Transfer Pricing
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === This case study describes how internal funds transfer pricing (FTP) was used by a bank to match loans or other assets with deposits of the same amount and maturity (matched term funding). The FTP implementation process was considered with reference to various...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/99555411407178673230 |
| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === This case study describes how internal funds transfer pricing (FTP) was used by a bank to match loans or other assets with deposits of the same amount and maturity (matched term funding). The FTP implementation process was considered with reference to various factors during the period between 2007 and 2014.
It is expected that the specific experience contained in this case study will contribute to the knowledge base on how to build a timely and appropriate funds transfer pricing method. This in turn can guide the behavior of business or product owner and improve the bank's asset and liability management. Improved decision-making and the pursuit of an optimal bank asset/liability strategy has potential to maximize profits.
The main conclusions of this study are as follows:
1. The FTP model used in this case study contained the following elements:
(1) The fund transfer price of retail deposits was the market index rate plus or minus scope of price authorization and bid/offer spreads.
(2) The fund transfer price of retail loans was the market index rate plus or minus scope of price authorization and bid/offer spreads, and also including an additional liquidity premium.
(3) The fund transfer price of wholesale deposits was that of retail deposits plus or minus wholesale markup or discount.
(4) The fund transfer price of wholesale loans was that of retail loans plus or minus wholesale markup or discount.
2. FTP was adjusted based on the bank’s asset to liability strategy and the present market situation. Market price was used to balance the distribution of products and set pricing and management strategies so as to maximize bank goals.
3. Pricing products by FTP may suffer for irrational competitive behavior. And there is an additional problem in the lack of market indexing which makes the construction of a market base FTP yield curve problematic.
|
|---|