Funds Transfer Pricing, Cross-Currency Funding, and Asset-Liability Management
Free GARP FRM Part II lesson in Liquidity and Treasury Risk Measurement and Management. 26 min read, ~3,860 words.
Funds transfer pricing (FTP) charges business lines the cost of funding they consume and credits funding they provide, isolating duration and liquidity risk in Treasury where it can be managed. FTP methods: zero cost (worst, distorts pricing and drove pre-2008 fragility), average cost (blends old and new), and matched-maturity marginal...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
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