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- W2249451125 abstract "SUMMARY First we explore the mechanics of the transfer pricing Mismatch Unit and discuss the degree to which its PL conversely, real liabilities receive income from shadow assets for the same purpose. The offsets from these cost/credits for funds are posted to a single Treasury unit which holds all of them in one place and is thus mismatched except in the very improbable case that the Bank's balance sheet fortuitously has asset and liability cash flows which are exactly matched. This concept is illustrated in the simple T account diagram below: This very simple Bank's mismatch position is illustrated again on page 6, where some term information has been added. The credit and funding spreads are provided by matched term funding and the Mismatch Unit holds the resulting position. To see the effects of market rate movements on the mismatch position, consider the same simple balance sheet if rates move up 2% in the next month (shown in the table on page 7). The Bank's total spread has declined from 6% to 4%, the full amount of which is reflected in the Mismatch Unit because it was caused by changing market rates. In short, then, matched term transfer pricing pulls interest rate risk from the business units into the Mismatch Unit making the Mismatch Unit the true holder of the Bank's interest rate risk position. The Mismatch Unit's P&L is based solely on market rates absent the credit and funding spreads required by external customers. …" @default.
- W2249451125 created "2016-06-24" @default.
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- W2249451125 date "2000-01-01" @default.
- W2249451125 modified "2023-09-24" @default.
- W2249451125 title "A Bank's Focal Point for Market Risk: The Transfer Pricing Mismatch Unit" @default.
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