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Asset deals such as loans are funded by a bank by appropriate liabilities deals such as money market deals, issued securities or savings deals. In this case, maturity transformation often occurs. For example, long-term assets are funded by shorter-term liabilities deals or vice versa, depending on the yield curve. In the treasury, the funding rate (risk-free internal funding rate/central bank interest rate) is used for each deal. The difference between the contractual interest rate and the internal funding rate is considered as a lump-sum amount. The margin is divided into a counterparty’s credit spread, liquidity spread, currency spread, equity costs, fixed costs and sales commission, which are then measured in controlling since these are fixed calculation values. Portfolios can be created by using criteria such as deal type, profit centre, cost centre, business branch etc. The fixed interest rate and the liquidity can be determined in the portfolio analyses according to a selected period. The funds transfer price can be calculated for deals without an internal funding rate. The risk-free yield curve can be imported for each term and currency on a daily basis. The following calculation types are available:

  • Single Pool Method
  • Double Pool Method
  • Multiple Pool Method
  • Matched Maturity Method

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