PelatihFunds-transfer pricing (FTP) charges each business that uses funding, and credits each that raises it, an internal rate: a base rate curve for the repricing tenor plus a liquidity premium for the term of the funding, so that a desk’s margin is measured after the cost of the money it uses and the treasury bears (and hedges) the interest rate and liquidity mismatch centrally.
Contoh
Example 24.5 (An FTP curve)
With a base rate of 4.5% and an illustrative liquidity premium of , a three-month loan is charged 4.58%, a five-year loan 4.84% and a ten-year one 4.97%; a deposit expected to stay five years is credited 4.84%. A business that funds long assets with short deposits sees the term premium in its charge instead of in the treasury’s losses.