fund transfer pricing - Udruženje banaka Srbije

Transcription

originalni naučni rad
UDK 005.915:336.71 ; 657.212
Rezime
Eurobank EFG ad Beograd
[email protected]
FUND TRANSFER
PRICING SAVREMEN
KONCEPT ZA
UTVRĐIVANJE
PROFITABILNOSTI
POSLOVNIH
SEKTORA BANKE
Ključne reči: fund transfer pricing, FTP stopa,
spred, svop kriva prinosa, kamatni rizik
JEL klasifikacija: G21, L21
Rad primljen: 24.01.2011.
Odobren za štampu: 22.06.2011.
bankarstvo 7 - 8 2011
mr Aleksandra Biorac
U bilansu uspeha banke, neto prihod od
kamata čini 60% do 80% ukupno ostvarenog
prihoda. Polazeći od te činjenice, narednim
tekstom želi se približiti suština i način
funkcionisanja
nove
računovodstvene
tehnike koja omogućava veću analitičnost i
raščlanjavanje neto prihoda od kamata po
profitnim centrima. Fund transfer pricing
predstavlja kvantitativno računovodstvenu
tehniku namenjenu bankama za merenje i
ocenu neto kamatne margine (spreda) kredita,
depozita, poslovnih linija, klijenata, tržišnih
segmenata ili učinka zaposlenih u profitnim
centrima banke.
Jos jedna važna funkcija FTP-a jeste da se
eliminiše uticaj kamatnog rizika iz rezultata
kreditno/depozitnih poslova i da ga centralizuje
i transferiše ka sektoru koji će vršiti njegovo
adekvatno upravljanje. Uobičajeno je da
upravljanje kamatnim rizikom bude povereno
sektoru sredstava (engl. Treasury).
Ključni momenat u okviru primene FTP
tehnike jeste izbor FTP stope. FTP stopu
determiniše izabrana kriva prinosa. Većina
banaka za FTP krivu prinosa bira svop krivu
prinosa. Razlog tome, leži u činjenici da
varijabilnost tržišnih kamatnih stopa uslovljava
povećanu nestabilnost u poslovanju banke.
Veliku primenu FTP ima u okviru ALM
strategije, te tako danas predstavlja jednu
od najvećih promena koje su se desile u toj
oblasti. Ono što je karakteristično za ovu
računovodstvenu tehniku na domaćem tržištu,
jeste njeno nedovoljno poznavanje i veoma
slaba i prosta primena.
60
original scientific paper
UDC 005.915:336.71 ; 657.212
Summary
61
In the bank’s profit and loss statement, net
interest income accounts for 60% to 80% of
the total received revenues. Based on this fact,
the paper that follows wishes to examine the
essence and manner of functioning of this new
accounting technique that allows for a higher
analytic performance by breaking-down of the
net interest income by the profit centres of a
bank. Funds transfer pricing is a quantitative
accounting technique designed for banks to
measure and evaluate net interest margins
(spreads) for credits, deposits, business lines,
clients, market segments, or performance of
staff employed in the profit centres of a bank.
Another important function of the FTP
is to eliminate the effects of the interest rate
risk exposure as a result of credit/deposit
operations and to centralise and transfer it
towards the sector which shall perform its
adequate management. Usually the interest rate
risk management is entrusted to the Treasury
department of a bank.
Key moment in the implementation of the
FTP technique is the selection of a FTP rate. FTP
rate is determined by the selected yield curve.
Most of the banks are choosing for their FTP
yield curve the swap yield curve. Rationale for
this is to be found in the fact that the variability
of market interest rates is causing an increased
instability in the bank’s operations.
FTP has an extensive application within
the ALM strategy, and today is deemed to be
one of the major changes introduced in this
field. Characteristic feature for this accounting
technique on the domestic market is that it is
not sufficiently familiar in banks and that it is
rather seldom and feebly applied.
Aleksandra Biorac MSc
Eurobank EFG ad Beograd
[email protected]
FUNDS
TRANSFER
PRICING A
CONTEMPORARY
CONCEPT FOR
DETERMINING
PROFITABILITY
OF THE BANK’S
BUSINESS
SECTORS
Key Words: funds transfer pricing, FTP rate,
spread, swap yield curve, interest rate risk
Paper received: 24.01.2011
JEL Classification: G21, L21
Approved for publishing: 22.06.2011
Sredinom 70-tih godina u Sjedinjenim
Američkim Državama, celokupno hipotekarno
tržište karakterisali su stambeni krediti po
fiksnoj kamatnoj stopi. Krediti sa varijabilnom
kamatnom stopom još nisu bili uvedeni kao
proizvodi. Spremala se i deregulacija kamatnih
stopa u oblasti zakonodavstva, a prvi finansijski
derivati još nisu bili primenjeni u praksi. U
najvećoj banci u Americi u to vreme, Bank of
America, postojeći sistem podrške za odlučivanje
bio je neodgovarajući i nekoristan za donošenje
strateških odluka. Razvoj fund transfer pricing-a
kao novog sistema koji će odgovarati u
novonastalom okruženju, povereno je mladom
ali brilijantnom menadžeru Mack Terry-ju.
Fundamentalni princip razvijen u odeljenju
Finansijske analize i planiranja polazi od toga
da se kredit na tri godine optereti fiksnom
kamatnom stopom za trogodišnji period.
Stambeni kredit na 30 godina, imao bi trošak
finansiranje jednak fiksnoj kamatnoj stopi za
period od 30 godina. Primena prosečne stope
kao troška finansiranja imala je značajne mane,
posebno u uslovima rastućih kamatnih stopa.
Da je takav metod uveden ranije, pokazao bi
kako je profitabilnost stambenih kredita nula ili
negativna. Mack Terry i njegov tim uočili su da
kamatni rizik nije hedžovan tj. nije sprovedena
finansijska transakcija kojom se smanjuje ili
eliminiše rizik i da je banka pretrpela značajne
gubitke zbog toga. Odlučeno je tada da kamatni
rizik bude centralizovan u okviru funding centra
(opširnije u nastavku), kroz koje su evidentirane
sve aktivnosti banke. Konačno, implementacija
sistema je podrazumevala edukaciju šireg kruga
zaposlenih. Opšta cenovna politika je sada
bila zasnovana na određivanju spreda iznad
marginalnog troška finansiranja. Kamatna
margina kredita (pojedinačna ili za ceo sektor)
zavisila je od realizacije visine spreda između
klijentske kamatne stope i marginalnog troška
finansiranja.
Pojam i definicija
Fund
transfer
pricing
predstavlja
kvantitativno
računovodstvenu
tehniku
namenjenu finansijskim institucijama za
merenje i ocenu neto kamatne margine (spred)
proizvoda, poslovnih linija, klijenata, tržišnih
segmentata ili učinka zaposlenih u profitnim
centrima banke. Metodom transfer pricing
raščlanjuje se ukupan profit na njegove izvore.
Suština koncepta je da se u okviru banke
razvije unutrašnje tržište, preko koga se vrši
transfer sredstava. To pretpostavlja postojanje
tri osnovne grupe. Prvu, čine sektori koji
generišu sredstva (depozitni sektori), drugi je
sektor sredstava koji ima ulogu unutrašnjeg
tržišta i treći, kreditni sektori koji vrše plasman
sredstava. Depozitni sektori preko unutrašnjeg
tržišta vrše „prodaju“ sredstava kreditnom
sektoru. Primena FTP se ogleda u kalkulaciji
vrednosti transferisanih sredstava, što obično
predstavljaju stope po kojima banka može
da pozajmi ili plasira na eksternom tržištu.
Za sektore koje vrše plasman sredstava,
njihov bilans stanja sastojaće se iz imovine plasmana na jednoj strani i obaveza - sredstava
„pozajmljenih“od sektora sredstava na drugoj
strani. Njihov bilans uspeha čini kamatna
margina ostvarena kao pozitivna razlika
između prihoda od kamate (realni tokovi) i
troškova finansiranja (FTP tokovi) po kojoj su
sredstva pozajmljena.
Depozitni sektori prikupljena sredstva
“pozajmljuju” sektoru sredstava po utvrđenoj
FTP stopi. Njihov bilans uspeha čini pozitivna
razlika između veće stope po kojoj su sredstva
transferisana sektoru sredstava (FTP tokovi) i
depozitne stope klijenata (realni tokovi).
Sektor sredstava ostvaruje takođe profit i
to na razlici između depozitne i kreditne FTP
stope. Nivo razlike je uslovljen razlikom u
ročnosti depozita i kredita, karakteristikama
depozita i kredita, nivoom kamatnog rizika kao
i hedžing operacijama.
Obeležja procesa
Većina softvera današnjice u procesu
koriste imaginarni entitet koga možemo naći
pod nazivom funding centar ili money market
centar. Uvođenje imaginarnog entiteta u proces
je važno iz dva razloga: prvi, da obezbedi
konzistentnost sa zvaničnim finansijskim
izveštajima i drugi da eliminiše efekat kamatnog
rizika iz ostvarenih kamatnih margina profitnih
centara a koji je van njihove kontrole.
Nastanak
62
63
Evolution
The term and its definition
In the mid-1970s, in the United States of
America, the entire mortgage lending market
was characteristic for the fixed interest rate
housing loans. Loans with variable interest
rate have not as yet been introduced as banking
products. Deregulation was also being prepared
for the interest rates in the field of legislature,
while the first financial derivatives have not
as yet been applied in practice. At the largest
bank in America of that time, Bank of America,
the available for decision-making support
system was inadequate and useless in strategic
decisions making. The development of the funds
transfer pricing, as a new system appropriate for
the newly emerging environment, was entrusted
to a young yet brilliant manager, Mack Terry.
Fundamental principle that was developed
at the Financial Analysis and Planning
Department started from the assumption that
a three-year loan should be charged with a
fixed interest rate for a three-year maturity
period. A 30-year housing loan would bear a
financial cost equal to the fixed interest rate for
a 30-year period. Application of the average,
or a mean interest rate, as cost of financing
had some significant drawbacks, especially
during periods of growth of the interest rates.
If this method had been introduced earlier, it
would have shown that the profitability of the
housing loans was either a zero or a negative
value. Mack Terry and his team noticed that the
interest rate risk was not hedged, i.e. that no
financial transaction reducing or eliminating
this risk was implemented, and that the bank
suffered substantial losses because of that. At
that point, it was decided that the interest rate
risk shall be centralised within the framework
of the funding centre (explained in more detail
further in this paper), through which all the
bank’s activities have been recorded. Finally,
the implementation of this system required
education of a broader circle of employees.
The general pricing policy was now based on
determining the spread above the marginal
financing cost. Credit interest margin (either
individually selected or the one prevailing in
the entire sector), depends on the spread limit
achieved between the interest rate charged on
the client, and the marginal cost of financing.
Funds transfer pricing is a quantitative
accounting technique used in financial
institutions for measurement and assessment
of the net interest margin (spread) for products,
business lines, clients, market segments or
performance by employees in profit centres
of a bank. Funds transfer pricing technique
method breaks down total profit assigning it
to its sources.
The essence of this concept is to develop,
within a bank, an internal market through
which the transfer of funds is being carried out.
This requires the presence of three main groups.
The first group consists of sectors generating
funds (deposit sectors), the second is the
treasury sector as the internal market, and the
third one, the credit sectors placeing the funds.
Deposit sectors, through the internal market,
conduct “sales” of funds to the crediting sector.
Application of the FTP method is reflected in
the calculation of value of the transferred funds,
which usually stands for the rates at which the
bank can borrow or lend funds on the external
market. For sectors which are engaged in the
placement of funds, their balance sheet will
consists of the assets - placements, on the one
side, and liabilities - funds “borrowed” from the
treasury, on the other side. Their profit and loss
statement will consists of the interest margin
achieved as a positive difference between
interest income (real cash flows) and costs of
financing (FTP cash flows) at which the funds
were borrowed.
Deposit sectors will “lend” raised funds to
the Treasury at a determined FTP rate. Their
profit and loss statement will be the positive
difference between a higher rate at which the
funds were transferred to the Treasury (FTP
cash flows) and the clients deposit rate (real
cash flows).
Treasury will also make profit on the
difference between the deposit and the credit
FTP rate. The level of difference is dependent on
the difference in maturity between deposits and
credits, characteristics of deposits and credits,
the level of the interest rate risk, and also on the
hedging operations.
nije
polazna
osnova.
Do potrebnih rezultata,
dolazimo primenom jedne
Implementacija FTP sprovedena u sistemu
Implementacija FTP nije sprovedena
od dva FTP metoda: metod
Krajnji rezultat ne možemo smatrati za
Krajnji rezultat možemo smatrati validnim
skupova (engl. pool funding)
istinski uspeh kreditnog sektora iz razloga
iz razloga što su troškovi finansiranja
ili metodom ročne ravnoteže.
što troškovi finansiranja nisu alocirani i
alocirani, kamatna margina je izračunata i
poznata je samo prihodovna strana.
stopa predstavlja poslovni uspeh kreditne
U periodu nastanka, FTP
aktivnosti banke
Bilans uspeha
metodologija se bazirala na
Bilans uspeha
Iznos kredita 100.000
pretpostavci da je određen
Iznos kredita 100.000
Prihod od kamate 9.000
skup kredita finansiran
Prihod od kamate 9.000
ROA 9%
ROA 9%
Troškovi finansiranja ?
tačno određenim skupom
Troškovi finansiranja 6.000
COF ?
depozita. Ovaj metod je
COF 6%
Kamatna margina ?
jednostavan, ali ni izbliza
Kamatna margina 3.000
Kamatni spred ?
Kamatni spred 3%
Prihod od naknada 500
približne korisnosti koju
Prihod od naknada 500
Stopa 0,5%
ima metod ročne ravnoteže.
Stopa 0,5%
Ukupni prihodi 9.500
Metod skupova ima svoje
Ukupni prihodi 3.500
Stopa 9,5%
Troškovi rezervisanja -1.000
varijacije koje zavise od
Troškovi rezervisanja -1.000
Stopa rezervisanja -1,0%
Stopa rezervisanja -1.0%
broja formiranih skupova
Neto prihod 2.500
Neto prihod 8.500
pa razlikujemo jednobrojni
Neto spred 2,5%
Neto spred 8,5%
ili prost metod skupova,
višebrojni metod i multipool
Merenje profitabilnosti kod banaka je u
metod. Na samom početku primene ideje
većoj meri složeniji proces od finansijske
o FTP-u, banke su obično koristile prost ili
analize preduzeća. Tim pre što banka nema
jednobrojni metod skupova koji se bazira na
mogućnost da tačno definiše i „upari“ svoje
primeni samo jedne FTP stope. Banka sve
izvore posmatra kao celinu i shodno tome
izvore sa svakim od plasmana i da na taj način
formira samo jednu cenu. Ona predstavlja
izvrši transfer njihovih troškova. Početni modeli
arbitrarnu cenu (obično se uzima fed funds
FTP-a, za alokaciju troškova pasive koristili
rate). Po toj stopi su svi depoziti investirani
su ideju tzv povezivanja pojedinačnog izvora
odnosno svi krediti finansirani. Prost metod
finansiranja sa tačno određenom pozicijom na
aktivnoj strani Bilansa stanja. U teoriji ovakav
skupova je najjednostavniji za implementaciju
pristup nazivamo "balance sheet matching".1
u sistem banke i najlakši za razumeti. Funding
Sama priroda bankarskog poslovanja je
centar se ne uvodi, jer zbrajanjem rezultata
u koliziji sa navedenim pristupom. Da bi
kreditnog i depozitnog sektora dobija se
opstale u tržišnoj utakmici, banke su razvijale
ukupno ostvaren rezultat banke. Međutim kao
nedostatak ostaje to što u svojoj primeni on ne
nove i modifikovale karakteristike postojećih
proizvoda koji se zajedno ogledaju u većem
eliminiše efekat kamatnog rizika iz rezultata
pojedinačnih sektora banke. Prednost kod
broju varijanti. Oročenim depozitima može biti
višebrojnog metoda skupova je u tome što
uvedena opcija povlačenja depozita na poziv,
mesečna rata stambenog kredita može biti za
banke bilans stanja dele na dva skupa. Jedan
jedan mesec ili se može uplatiti više mesečnih
skup čine pozicije aktive, a drugi skup čine
rata unapred. Koje će se od opcija i iskoristiti,
pozicije pasive. Praktičan način da se dođe do
u mnogome zavisi od tržišnih okolnosti.
FTP stope jeste izračunati ponderisan prosek
Svakako da u vreme niskih kamatnih stopa,
aktuelnih kamatnih stopa koje nose pozicije
većina stambenih kredita će se otplaćivati
aktive i pasive. U tom slučaju mariginalni
ubrzanom metodom. To sve ukazuje da je
trošak finansiranja za kredite predstavljaće
ponderisan prosek pasivnih kamata na
ročnost izvora i plasman teško utvrdiva. Stoga
depozite, dok marginalna stopa investiranja
možemo slobodno zaključiti da „uparivanje“,
1
Belinda B. Early (2008): Banker’s Guide to Funds Tranfer Pricing, Alex eSolutions, INC, Texas
Tabela 1. Bilans uspeha kreditnog sektora bez i sa primenom FTP
metodologije
64
The main features of the process
65
stands in collision with the said approach. In
order to prevail in the market competition,
Most of the software available today for
banks have been developing new and modified
this process are using an imaginary entity
characteristics of the existing products, which
that we can find under the name of either a
are all together reflected in a larger number
funding centre, or a money market centre.
of variants. Time deposits may contain an
Introduction of an imaginary entity into the
introduced option of a call deposit, monthly
process is important for two reasons: firstly, to
interest rate on a housing loan may apply to one
provide consistency with the official financial
month, or several monthly rates may be paid
reports, and secondly, to eliminate the effect of
in advance. Which one of the options will be
the interest rate risk from the achieved interest
used greatly depends on the market situation.
margins of the profit centres which is outside
Of course, at the time of low interest rates
of their control.
certainly the majority of housing loans will
be repaid at an accelerated
Table1. Profit and Loss Statement of the Credit Department with
method. All of this indicates
and without the application of the FTP methodology
that the maturity of source
and placement is hard to
FTP implementation conducted in the
FTP implementation not conducted
define. Thus we may feel free
system
The final result cannot be considered a true
The final result may be considered valid,
to conclude that “matching”
success of the lending department, because
because the costs of finance have been
the costs of finance have not been allocated
allocated, interest margin has been calculated,
is not the point of departure.
and we are only familiar with the income
and the rate represents the business success
To arrive at the necessary
side.
of the bank's lending activity.
results, we need to apply
Income statement
Income statement
one of the two FTP methods:
Loan amount 100.000
Loan amount 100.000
Interest revenue 9.000
Interest revenue 9.000
the method of pool funding,
ROA 9%
ROA 9%
or the method of matched
Cost of finance ?
Cost of finance 6.000
maturity.
COF ?
COF 6%
Interest margin ?
Interest margin 3.000
In the period of its
Interest spread ?
Interest spread 3%
creation, FTP methodology
Income from fees 500
Income from fees 500
was based on the assumption
Rate 0,5%
Rate 0,5%
Total revenues 9.500
Total revenues 3.500
that a certain set of loans
Rate 9,5%
Costs of provisioning -1.000
is financed by a precisely
Costs of provisioning -1.000
Rate of provisioning -1,0%
determined set of deposits.
Rate of provisioning -1.0%
Net income 2.500
Net income 8.500
Net spread 2,5%
This method is simple,
Net spread 8,5%
but it is not even near the
usefulness that the method
Measuring profitability in banks is a more
of matched maturity provides. Method of pools
complex process than the financial analysis
has its variations which depend on the number
of a company. This even more so as the bank
of formed pools, so we can differentiate a singlehas no opportunity of precisely defining and
digit or a method of single pools, multi-digit
“matching” its sources with every placement
method and multi-pool method. At the very
and in that way perform transfer of their costs.
beginning of the FTP idea application, banks
The original FTP models, for allocation of
were usually using a single-pool or a singleliabilities costs, have applied the idea of the
digit method which is based on the application
so-called linking of an individual source of
of only one FTP rate. Bank is assessing all the
sources as an entity and thereupon is forming
financing with a particular item on the assets
side of the balance sheet. In theory, such an
only one price. This price represents the
arbitrary price (usually taken as a fed funds
approach is called “balance sheet matching”.1
The nature itself of the banking business
rate). It is at this rate that all the deposits are
1
Belinda B. Early (2008): Banker’s Guide to Funds Tranfer Pricing, Alex eSolutions, INC, Texas
Metod ročne ravnoteže
Većina banaka današnjice koristi metod
ročne ravnoteže (MMTP - Matched Maturity
Transfer Pricing). Prvi put je primenjen od
strane Bank of America. Metodologija se
zasniva na primeni krive prinosa koja će
opredeliti visinu FTP stope umesto formiranju
skupova. FTP stopa zavisi i od originalnog
datuma nastanka transakcije i prirode kamatne
stope. Kod kredita i depozita sa varijabilnom
kamatnom stopom, kao kriterijum izbora FTP
stope uzima se period za koji je klijentska
kamatna stopa nepromenjena. U situacijama
kad se kamatna stopa usklađuje veći broj puta
sa aktuelnom tržišnom stopom odnosno ona
varira u toku životnog veka, kriterijum izbora
FTP stope jeste vremenski interval ponovne
promene kamatne stope sa promenom tržišne
ili re-pricing period.
Na primer, ako u bilansu banke postoji
kredit koji je pre godinu dana odobren po
fiksnoj kamatnoj stopi na rok od 3 godine, FTP
stopa koja se dodeljuje nalazi se na krivi prinosa
prethodne godine. Kao kriva prinosa koristi se
kriva zaduženja na eksternom tržištu ili svop
kriva prinosa. Na toj krivi prinosa izabraće se
stopa koja odgovara za period od 3 godine.
Tim izborom FTP stopa odgovaraće i periodu
nastanka kredita i njegovoj ročnosti.
Kao primer, uzmimo depozit sa rokom
od 1 godine investiran u trogodišnji kredit
sa fiksnom kamatnom stopom. Ako su obe
transakcije nastale u istom vremenskom
periodu koristiće se jedna kriva prinosa na kojoj
se nalaze dodeljene FTP stope. Kod primene
metoda ročne ravnoteže, jednom izabrana FTP
stopa u momentu nastanka transakcije ostaje
nepromenjena tokom životnog veka proizvoda.
Kamatna margina kredita biće konstantna do
momenta njegovog isteka. Na taj način rizik
od promene kamatnih stopa biće izolovan
iz rezultata kreditnog sektora koji se nalazi
u okviru funding centra. Kod proizvoda sa
varijabilnom kamatnom stopom, FTP stopa biće
konstantna do momenta promene klijentske
kamatne stope odnosno usklađivanja sa
važećom tržišnom kamatnom stopom. Na taj
način, spred kreditnog sektora ostaće takođe
konstantan za vreme trajanja kredita.
Složenost metoda je značajno veća od metoda
skupova i zahteva veće angažovanje resursa
prilikom primene i održavanja. Međutim,
kvalitet dobijenih informacija zavređuje svaki
dodan ulog.
U okviru MMTP metodologije većina
banke za FTP krivu prinosa biraju svop krivu
prinosa. Svop kamatne stope kao jedno od
prvih bankarskih proizvoda savremenog
tržišnog bankarstva je aranžman između dve
strane koje imaju komplementarne potrebe da
razmene kamatne obaveze na obostranu korist.
Putem ovakvog aranžmana može se postojeća
aktiva ili pasiva pretvoriti u aktivu ili pasivu
sa drugačijom strukturom kamantih stopa
(npr. promenljiva u fiksnu, LIBOR u stopu za
komercijalne papire itd.). Korišćenjem svopa
kamatnih stopa, banka želi da neutrališe gubitke
koji mogu nastati realizacijom kamatnog rizika.
biće dobijena kao ponderisan prosek aktivnih
kamatnih stopa kredita odobrenih klijentima.
Prednost kod ove metode je u tome što ne
koristi arbitrarnu stopu kao što je to slučaj sa
prostim metodom već je FTP stopa bazirana
na realnim tržišnim kamatnim stopama, ali
glavni i osnovni nedostatak je i dalje prisustvo
kamatnog rizika u rezultatima pojedinačnih
sektora banke. Multipool metod ide korak
dalje, pa u obzir uzima kriterijum ročnosti i
prirodu kamatne stope (fiksna ili varijabilna).
Skupovi se formiraju preme tome da li je rok
dospeća do godinu dana (kratkoročni skup)
ili dugoročni. Može se formirati i srednjoročni
skup (za period od jedne do tri godine). Banka
može formirati onoliko skupova za koliko
nađe da je svrsishodno. Prednost mulitpool
metoda je ublažavanje efekta kamatnog rizika
na rezultate poslovnih sektora banke. Za
FTP stope se uzimaju aktuelne stope važeće
na finansijskim tržišima (to mogu biti stope
formirane na londonskom međunarodnom
bankarskom trižištu) te će se za finansiranje
kratkoročnih skupova koristiti tromesečni
euribor, za srednjoročni jednogodišnji euribor,
a za dugoročni skup petogodišnji. Nedostatak
ovog metoda je što ne uzima u obzir originalni
datum kada je depozit primljen ili datum
puštanja kredita već kreditima dodeljuje
trenutno važeće stope, pa je tako kamatni rizik
i dalje prisutan prilikom kalkulacije rezultata
poslovnih sektora.
66
67
being invested, i.e. that all the credits are being
financed. Single-pool method is the simplest for
the implementation in the bank’s system and
the easiest to understand. Funding centre is not
being introduced because by summing up of
results achieved by the crediting and deposit
units, the total achieved result of the bank is
obtained. However, the drawback here remains
that in its application, it does not eliminate the
effect of the interest rate risk from the results of
individual sectors of the banks. The advantage
of the multi-digit pool method is the fact that
banks are dividing their balance sheet into two
pools. One pool consists of the assets positions,
and the second pool consists of liabilities
positions. Practical way of arriving at the FTP
rate is to calculate the weighted average of actual
interest rates on items of assets and liabilities. In
that case, marginal cost of financing for credits
shall represent the weighted average of passive
interest on deposits, while the marginal rate
of investment will be obtained as a weighted
average of the active interest rates on credits
extended to clients. The advantage of this
method is that it does not use the arbitrary rate,
as is the case with the single method, but the
FTP rate is based on real market interest rates,
although the main and basic shortcoming here
still remains the presence of the interest rate
risk in results of individual sectors of the bank.
Multi-pool method goes a step further, and takes
into consideration the criterion of maturity and
the nature of the interest rate (fixed or variable).
Pools are being formed depending on whether
maturity is up to one year (short-term pool),
or a long-term one. A medium-term pool can
also be formed (for a period from one to three
years). Bank may form as many pools as it
deems feasible. The advantage of the multi-pool
method is the mitigation of the interest rate risk
effect on results of the business units of a bank.
FTP rates are taken from the actual rates in force
on financial markets (these may be rates formed
on the London International Banking Market).
Thus for financing of a short-term pool, a threemonth Euribor will be used, for the mediumterm pool, a one-year Euribor will apply, and
for the long-term pool, a five-year Euribor will
be used. The drawback of this method is that
it does not take into consideration the original
date when the deposit was received or the date
when the credit was disbursed, but is applying
on credits the currently valid rates, so that the
interest rate risk will remains present during
calculation of results of the business sectors.
Matched maturity transfer pricing
Most of the banks today are using the
method of Matched Maturity Transfer Pricing
- MMTP. This was the method first applied by
the Bank of America. Methodology is based on
the yield curve that shall determine the level
of the FTP rate instead of forming the pools.
The FTP rate depends on both the original date
of transaction and the nature of the interest
rate. In case of credits and deposits with the
variable interest rate, as a criterion for selection
of the FTP rate is taken the period for which
the client’s interest rate remains unchanged. In
the situations when the interest rate is adjusted
many times to the actual market rate in force,
i.e. when it varies during the life cycle of the
transaction, criterion for the selection of the
FTP rate is the time interval until the new
adjustment in the interest rate is made with the
changed market rate, i.e. the re-pricing period.
For example, if in the balance sheet of a
bank there is a credit which has been approved
one year ago at a fixed interest rate for a 3 year
period, FTP rate allocated to this facility will be
located in the yield curve of the previous year.
As a yield curve the yield of borrowing on the
external market is being used, or the swap yield
curve. Rate will be selected on that yield curve
which corresponds to the period of 3 years. In
making such a choice, FTP rate will correspond
also to the period of establishment of this credit
facility and its maturity.
Let us take the case of a deposit with 1 year
maturity, invested in a three-year credit with
a fixed interest rate. If both transactions were
conducted in the same time period, one yield
curve will be used containing the chosen FTP
rates. In the application of the matched maturity
method, once the FTP rate is selected at the
moment of creation of the transaction, it shall
remain unchanged throughout the life cycle
of the product. Interest margin of the credit
facility will remain constant until its maturity
has expired. In this way, the risk of the interest
rate change will be isolated from the results of
funding centru po stopi od 4% koja se
nalazi na svop krivi prinosa za period od 5
godina što daje spred od 1% koji se pripisuje
depozitima.
U navedenom primeru
Grafik 1. Eliminacija kamatnog rizika primenom metode ročne
izloženost kamatnom riziku
ravnoteže
ne postoji, jer ročnost kredita
odgovara ročnosti depozita
kojim je finansiran.
Glavna prednost MMTP
metodologije,
uočava
se
ako promenimo jednu od
pretpostavki u datom primeru.
•Pretpostavimo da se kredit
odobren na 5 godina po fiksnoj
kamatnoj
stopi
finansira
depozitom oročenim na godinu
dana po stopi od 1,5%. U tom
slučaju, FTP stopa po kojoj funding centar
Ukoliko
pogledamo
krive
prinosa
predstavljene slikom 2. razlika između krive
„pozajmljuje“ sredstva iznosi 2,5%. Spred
prinosa na nerizična ulaganja i svop krive
koji pripada depozitnom sektoru jednak je
1%
prinosa jeste svop spred. Svop spred predstavlja
• Spred koji pripada kreditnom sektoru i FTP
tekuću cenu, trošak, po kojoj se plasman sa
stopa su nepromenjeni.
fiksnom kamatnom stopom konvertuje u
• Razliku od 4% po kojoj funding centar
plasman sa varijabilnom kamatnom stopom.
Drugim rečima, svop spred predstavlja cenu
„kreditira“ sektor kredita i 2,5% po kojoj
„pozajmljuje“ od depozitnog sektora jeste
za eliminaciju kamatnog rizika.
Uzmimo za primer autokredit na 5 godina.
spred koji zadržava funding centar. To je
Odobren je po fiksnoj stopi od 5%.
cena za preuzet kamatni rizik koji se javlja
• Kriva prinosa zajmotražioca biće na visini y
usled finansiranja petogodišnjeg kredita
ose u zavisnosti od visine kreditnog rizika
depozitom sa rokom od 1 godine.
zajmotražioca odnosno premije na kreditni
• Na funding centru ostaje da li će dalje
rizik.
sprovesti hedžing transakciju u cilju zaštite
• Cena koštanja predstavlja krivu prinosa
od kamatnog rizika ili će preuzeti rizik
na sebe ukoliko ocenjuje da će kretanje
zaduživanja banke na eksternom tržištu za
veće iznose koja takođe može biti uzeta kao
kamatnih stopa biti povoljno u narednom
periodu.
FTP kriva prinosa. Kriva prinosa zaduživanja
na eksternom tržištu predstavlja svop krivu
prinosa uvećanju za kreditni rizik banke.
Izbor FTP stope
• Za period od 5 godina, trošak finansiranja
Izbor krive prinosa predstavlja kritičan
iznosi 4,5%, što daje kamatnu maržu u visini
momenat FTP procesa. Ovo se naglašava iz
od 0,5% i predstavlja razliku između rizika
razloga što profitabilnost celokupne aktive
banke i rizika zajmotražioca. Spred od 0,5%
i pasive zavisi od izbora stopa koje će se
biće nepromenjen u toku životnog veka
kredita čime će profitabilnost kreditnog
dodeljivati sa izabrane krive prinosa.
Principi od kojih se polazi prilikom izbora
sektora ostati izolovana od promena tržišnih
krive prinosa u okviru FTP procesa su sledeći:
kamatnih stopa.
• Oportunitetnost: Kriva prinosa treba
• Sa druge strane ako se odobren plaman
da odražava oportunitetni trošak aktive
finansira prikupljenim depozitom sa
(sredstava) ili korisnost ukupne pasive
rokom oročenja od 5 godina po stopi od
3%, depozitni sektor sredstva pozajmljuje
(izvora sredstava).
Razlog tome leži u činjenici da varijabilnost
tržišnih kamatnih stopa potencira problem
rizika kamatnih stopa, što uslovljava povećanu
nestabilnost u poslovanju banke.
68
the crediting department of a bank, which is
operating within the funding centre. In case of
products with the variable interest rate, FTP rate
will be constant up to the moment of change in
the client’s interest rate, i.e. up to the moment
of its adjustment to the actual market interest
rate that is currently in force. In this way, credit
sector spread shall also remain constant for the
duration of the credit.
The complexity of this method is significantly
higher than in the case of pool method and
requires higher engagement of resources both
for application and for maintenance. The quality
of information obtained, however, justifies all
additional investments.
Within the MMTP methodology, majority
of banks apply as the FTP yield curve the swap
yield curve. Interest rate swap, being one of the
first banking products to appear in the modern
market banking, is an arrangement between
the two parties having complementary needs
to swap interest liabilities at their mutual
advantage. Through such an arrangement it
is possible for the current asset or liability to
be transformed into an asset or liability with
a different interest rate structure (for example,
variable interest rate into a fixed one, LIBOR
into a commercial papers rate, etc.). When using
the interest rate swap, bank wishes to neutralise
losses that may arise through the presence of
the interest risk. The reason for this lies in the
fact that the variability of the market interest
rates is boosting the problem of interest rate
risks, which in turn causes a higher instability
in the banks operations.
69
curve on the risk-free investments and the swap
yield curve is the swap spread. Swap spread is
the current price, cost at which the placement
with the fixed interest rate is being converted
into a placement with the variable interest rate.
In other words, swap spread is the price for
elimination of the interest rate risk.
Let us look at the case of a car-purchase
5-year loan, granted at a fixed interest rate of 5%.
• Yield curve of the loan beneficiary will be
at the height of the y axis, depending on the
height of the loan beneficiary credit risk, i.e.
of the credit risk premium.
• Cost price represents the yield curve of the
bank’s borrowing on the external market for
higher amounts, which can also be taken
as the FTP yield curve. External market
borrowing yield curve represent the swap
yield curve increased for the credit risk of
the bank.
• Cost of financing, for a 5-year period,
amounts to 4.5%, which yields the interest
margin of 0.5% and represents the difference
between the risk of the bank and the risk
of the loan beneficiary. Spread of 0.5% will
remain unchanged during the life cycle of
the loan, thus keeping the profitability of
the crediting department isolated from the
changes in the market interest rates.
• On the other hand, if the approved
placement is to be financed through raised
deposits with the maturity period of 5 years
per 3% rate, the deposit sector shall lend
money to the funding centre at a rate of 4%
which is present on the swap yield curve for
a period of 5 years, thus giving
Graph 1. Elimination of the interest rate risk by applying the
a spread of 1% which is credited
matched maturity method
to the deposits.
In the above example
Loan revenues
exposure
to the interest rate risk
Cost price
Swap revenues curve
is absent, as the loan maturity
Risk-free investments
revenue curve
Deposit revenues
is matched with the deposit
curve
maturity providing for its
funding.
The main advantage of the
MMTP methodology becomes
plainly obvious if we are to
Time
change one of the assumptions
given in the above case.
• Let us assume that the loan approved for
When we look at the yield curves presented
in Figure 2, the difference between the yield
a 5-year maturity at a fixed interest rate is
2
kredit koji je odobren na 2 godine, ali čija
kamatna stopa zavisi od 3mesečnog USD
Libora koji je uzet kao bazna kamatna stopa.
U tim slučajevima klijentska kamatna stopa ili
ROA, formira se kao zbir bazne kamatne stope i
određenog nivoa marže ili spreda. Ako uzmemo
da je 3m USD Libor 1,57% i spred 2%, klijentska
kamatna stopa u momentu odobravanja kredita
iznosiće 3,57%
Pretpostavimo da FTP stopa na svop krivi
prinosa za rok od 3 meseca iznosi 2%, (bazna
stopa uvećana za trošak svop transakcije +
0,43%), dobićemo kamatni spred od 1,57% koji
pripada kreditnom sektoru.
Klijentska kamatna stopa do perioda isteka
od 2 godine, kvartalno će se usaglašavati sa
nivoom 3mesečnog USD Libora. Za naredni
kvartal uzeće se nova vrednost 3m USD Libora.
Uzmimo da je došlo do pada, te sad iznosi
1,45%, klijenstska kamatna stopa za naredna 3
meseca iznosiće 3,45%
FTP stopa će se takođe promeniti na kraju
kvartala i iznosiće 1,88% (1,45% + 0,43%) i ostaće
na tom nivou za naredna 3 meseca. Nakon
usaglašavanja klijentske i FTP stope, kamatni
spred kreditnog sektora ostaće nepromenjen u
iznosu od 1,57% sve do isteka 2 godine.
Navedeni model za određivanja FTP stope kod
plasmana sa fiksnom i varijabilnom kamatnom
stopom, može se koristiti samo kod proizvoda
koji su tipski, ne zavise od pregovaračke moći
klijenta. Polazna pretpostavka modela jeste da
se plasmani finansiraju putem izvora sa istom
karakteristikom tipa kamatne stope. Model
takođe ne uzima u obzir gotovinske tokove koji
se mogu pojaviti u zavisnosti od karakteristika
ugovora tj. ugrađenih opcija, ignorišići prilive/
odlive gotovine pre roka dospeća. Naveden
model koristimo kod kredita sa otplatom
kamate u momentu vraćanja kredita i oročenih
depozita sa fiksnom kamatnom stopom, sa
kamatom koja se plaća po dospeću depozita.
Većina kredita otplaćuje se određenom
učestalošću, prema amortizacionom planu.
Tok gotovine koji nastaje po tom osnovu
predstavlja naredni faktor koji se mora uzeti u
obzir prilikom određivanja FTP stope. Funding
Danas postoji više sajtova na internetu koji su specijalizovani za davanje finansijskih informacija, među njima i o najvažnijim
kamatnim stopama. Jedan od njih je www.bloomberg.com
• Egzaktnost: Kamatne stope moraju biti
precizno definisane vrednosti za banku.
• Praktičnost: Kamatne stope ne treba da
predstavljaju procenat do kojeg je teško doći.
Iz razloga praktičnosti, u upotrebi su stope
koje se objavljuju na dnevnom nivou, kako
bi se smanjila moguća odstupanja prilikom
ekstrapolacije istih.2
• Motivacioni efekat je takođe bitan. Stope
treba da odražavaju realni rizik plasmana
koji se finansiraju. Ukoliko su postavljene
suviše visoko, to demotivaciono deluje na
poslovne sektore prodaje, jer je njihova
profitabilnost time direktno ugrožena.
• Fer i transparentne: Kao što ćemo videti u
nastavku rada, veoma je važno da menadžeri
centara razumeju šta predstavlja i kako se
gradi FTP stopa. Ne sme postojati nikave
mistike u radu celokupnog procesa.
Veliki uticaj na izbor FTP stope ima i sama
karakteristika proizvoda (tip kamate, ročnost,
gotovinskih tok, uključene opcije itd). Na
osnovu toga možemo diferencirati nekoliko
modela za formiranje FTP stope u zavisnosti
od karakteristika proizvoda.
Rok dospeća plasmana i tip kamatne
stope - Za proizvode sa fiksnom kamatnom
stopom, na krivi prinosa za određenu valutu,
koja odgovara ročnosti proizvoda (6 meseci,
2 ili 5 godina) bira se euribor/libor na dan
nastanka finansijske transakcije. FTP stopa će
biti utvrđena u momentu nastanka proizvoda
i ostaće nepromenjena sve do isteka roka
dospeća. Za proizvode sa varijabilnom
kamatnom stopom, FTP stopa se utvrđuje u
momentu nastanka proizvoda, ali će biti važeća
za vremenski interval do sledeće promene cene
definisane konkretnim ugovorom sa klijentom
banke. FTP stopa će se promeniti uvek kada se
i klijentska stopa promeni, čime se eliminiše
iz neto rezultata proizvoda, nastanak dobitka
ili gubitka koji može javiti realizacijom
kamatnog rizika. Kamatna margina proizvoda
ostaje nepromenjena od momenta nastanka
transakcije, samim tim profitabilnost proizvoda
će ostati nepromenjena bez obzira na buduća
kretanja kamatnih stopa. Uzmimo za primer
70
financed by a time deposit with one-year
maturity and at an interest rate of 1.5%. In
this case, the FTP rate, at which the funding
centre is “lending” funds, shall amount to
2.5%. Spread which belongs to the deposit
sector is equal to 1%.
• Spread which belongs to the crediting sector,
and the FTP rate, both remain unchanged.
• The difference of 4%, at which the funding
centre is “crediting” the crediting sector,
and 2.5% at which it is “borrowing” funds
from the deposit sector, is the spread that is
kept by the funding centre. This is the price
for assuming the interest rate risk, which
appears because a five-year loan is being
financed by a one-year maturity deposit.
• It is up to the funding centre to decide
whether it shall conduct further hedging
transactions for protection from the interest
rate risk, or whether it shall assume the risk
if assessing that the interest rate movements
will be favourable in the forthcoming period.
Selecton of the FTP rate
71
Selection of the yield curve is the critical
moment in the FTP process. This is being
emphasised because profitability of the total
assets and liabilities will depend on the chosen
rates that shall be assigned from the selected
yield curve.
Principles taken as a starting point in the
selection of the yield curve within the FTP
process are the following:
• Opportunity cost: Yield curve should reflect
the opportunity cost of assets (funds), or the
benefit of total liabilities (source of funding).
• Exact interest: Interest rates must be
precisely specified and defined values for
the bank.
• Practicality: Interest rates should not be set
at a percentage that is hard to achieve. For
reasons of practicality, the rates that are in
common use are the rates published on a
daily basis, in order to reduce any possible
discrepancies during the extrapolation of
the rates.2
2
• Motivation effect is also a significant
one. Rates should reflect the real risk of
placements that are being financed. If
they are set too high, this may have a demotivation effect on sales sectors of the
bank, as their profitability may be directly
jeopardised.
• Fair and transparent: As we shall see
further in this paper, it is very important
for the managers of centres to understand
what actually the FTP rate is and how it is
constructed. There must be no mystification
in the functioning of the entire process.
Great impact on the selection of the FTP rate
is exercised by the characteristics of the product
itself (type of the interest rate, maturity, cash
flows, embodied options, etc.). On the basis
thereof we can differentiate between several
models for the formation of the FTP rate
depending on the product characteristics.
Maturity of placement and the interest rate
type - For products with the fixed interest rate,
on the yield curve for a certain currency which
corresponds to the product maturity (6 months,
2 or 5 years), Euribor/Libor is selected on the
day of occurrence of the financial transaction.
FTP rate shall be determined at the moment
of materialization of the product and shall
remain unchanged throughout the period until
its maturity. For products with the variable
interest rate, the FTP rate shall be determined
at the moment of materialization of the product,
but it shall apply for the time interval up to the
next change in price, as defined in the concrete
contract agreement with the bank’s client. FTP
rate shall be changed always when the client’s
rate is changed, thus eliminating from the net
product result the appearance of profit or loss
resulting from the realisation of the interest
rate risk. Interest margin of the product shall
remain unchanged from the moment of creation
of the transaction, and thus the profitability
of the product itself shall remain unchanged
regardless of the future movements in the
interest rates. Let us take an example of a 2-year
credit, but with an interest rate based on the
3-month USD Libor, which has been taken as
At present, there are a number of websites on the internet specialised in offering financial information, among them also
about the most important interest rates. One of them is the www.bloomberg.com.
uticaj promene kamatnih stopa na krajnji
centar ne usklađuje samo ročnost instrumenata
već i njihove gotovinske tokove. Na taj način se
rezultat poslovnih sektora. Na taj način uspeh
postiže veći stepen zaštite u poslovanju banke,
u poslovima kreditranja i prikupljanja depozita
iz razloga što se gotovinski prilivi i odlivi
moći će se pratiti tokom vremenskih intervala,
upoređivati proizvodi, sektori itd.
dešavaju u vremenskim intervalima različitim
od roka dospeća proizvoda.
Uzmimo za primer potrošački kredit sa
fiksnom kamatnom stopom, koji predstavlja
Depoziti po viđenju, kreditne kartice,
jedan od najmasovnijih proizvoda kod
minusi po tekućim računima itd. predstavljaju
stanovništva. Rok dospeća je 2 godine.
proizvode koji nemaju fiksan i unapred poznat
Potrošački kredit se finansira iz oročenih
rok dospeća. Predstavljaju pravi izazov za
Asset Liability Managament i za Fund transfer
depozita na šest meseci. Za taj period kamata
koja se plaća poveriocima je takođe fiksna.
pricing. Izazov leži u činjenici da je reč o
proizvodima koji su na raspolaganju
Tabela 2. Uticaj kamatnog rizika na profitabilnost
klijentu po pozivu i kod kojih ne postoji
proizvoda
nikakva prethodno definisana ročnost.
Statistika i empirijski podaci ukazuju da Scenario A momenat nastanka kredita i depozita
Potrošački kredit
12%
banka može računati na određeni deo tih
Oročen depozit
8%
sredstava. Nezavisno što se novcem može
Spred
4%
?
?
?
raspolagati po pozivu, postoji određeno Scenario B rast tržišnih kamatnih stopa za 1 procentni poen
jezgro koje ostaje na računima na duži
Potrošački kredit
12%
Oročen depozit
8%
9%
9%
9%
vremenski period (klijenti ih drže radi
Spred
4%
3%
3%
3%
obavljanja platnog prometa i za potrebe
likvidnosti), sa kojim iznosom banka može
računati.
Menadžeri poslovnih sektora, ne dele
uvek mišljenje da se uticaj kamatnog rizika
Na osnovu statisitčkih podataka, 40% iznosa
treba eliminisati iz njihovog rezultata.
kod ove vrste proizvoda se smatra visoko
Međutim, postoji nekoliko argumenata zašto
fluktuirajućim dok preostali iznos se može
smatrati da ima rok od 1 godine. Za kalkulaciju
je bolje da upravljanje kamantim rizikom bude
FTP stope ovih proizvoda, koristi se mesečni
centralizovano, u okviru sektora sredstava i isto
prosek važećih kamatnih stopa na tržištu.
tako eliminisano iz rezultata poslovnih jedinica.
Uobičajeno je da se koristi prosek 3m euribora.
• Kamatni rizik koji nastaje u jednom
delu poslovne aktivnosti banke, može
(Zbir dnevnih kamatnih stopa / brojem dana
se neutralisati poslovnim aktivnostima
u mesecu). Svakog meseca proizvodima se
nastalim u drugim aktivnostima banke.
dodeljuje nova FTP stopa, koja predstavlja
Centralizacijom se postiže i uočava bolji
prosek tekućeg meseca.
Za proizvode kod kojih se cena forimira na
pregled nad svim aktivnostima i sagledava
osnovu pregovaračke moći vodi se posebna FTP
neto izloženost banke kamatnom riziku, a
politika. Polaganje velikih depozita na račune
sama zaštita od izloženosti postiže se mnogo
banke ili učestvovanje u sindiciranom kreditu
efikasnije.
• Mišljenje menadžera prodajnih sektora o
svakako su proizvodi kod kojih se odstupa
od opštih pravila FTP politike. FTP stopa je
ne eliminisanju kamatnog rizika iz njihovih
poslovnih aktivnosti, zastupljeno iz razloga
direktno data od strane sektora sredstava. Stopa
po kojoj će sektor istupiti zavisi od tržišnih
nedovoljno ostvarenog profita koji se želi
uslova i uslova u kojima se banka trenutno
u uslovima pada kamatnih stopa dodatno
nalazi.
uvećati (smanjenje mariginalnog troška
finansiranja). U periodima rasta kamatnih
Kamatni rizik
stopa, mišljenje o decentralizaciji je veoma
ili nimalo zastupljeno.
• Minimizirati kamatni rizik nije nimalo lako.
Kako ukupna profitabilnost banke u velikoj
meri zavisi od kretanja kamatnih stopa, iz
Sektor sredstava ispred sebe ima mnogo veći
redovne poslovne aktivnosti se želi izvući
broj opcija od menadžera poslovnih sektora.
72
73
the base interest rate. In such cases, the client’s
interest rate, or the Return on Assets - ROA is
being formed as the sum of the base interest rate
and a certain level of margin or spread. If we are
to assume that the 3-month USD Libor is 1.57%
and the spread is 2%, the client’s interest rate
at the moment of credit approval will amount
to 3.57%.
Let us assume that the FTP rate on the swap
yield curve for a 3-month period is 2%, (base rate
increased for the swap transaction cost + 0.43%),
we shall obtain the interest spread of 1.57%
which belongs to the crediting department.
Client’s borrowing interest rate, until the
period of the 2-year maturity shall expire, will
be quarterly adjusted to the level of a 3-month
USD Libor. For the forthcoming quarterly
period, a new value will be applied for a
3-month USD Libor. Let us assume that it fell,
and that it now amounts to 1.45%, the client’s
borrowing interest rate for the next 3 months
shall amount to 3.45%.
FTP rate will also be changing at the end of
the quarter and shall amount to 1.88% (1.45%
+ 0.43%) and shall remain on that level for the
next three months. After the adjustment of the
client’s and the FTP rates, interest spread of
the crediting sector shall remain unchanged in
the amount 1.57% for as long as the period of 2
years has not expired.
The above described model for determining
the FTP rate for placements with the fixed and
the variable interest rates may be used only in
products which are typical, and which do not
depend on the negotiating power of the client.
Starting point for this model is the fact that the
placements are being finances from sources
with the same characteristics regarding the
type of the interest rate. The model also does
not take into consideration the cash flows which
may appear depending on the contractual
characteristics, i.e. of the contract embodied
options, ignoring cash inflows and outflows
before maturity. We are applying the said
model to credits with the interest repayment at
the time of credit reimbursement, and in cases
of time deposits with the fixed interest rate,
with the interest paid at deposit maturity.
Majority of credit facilities are being repaid
at a certain frequency, according to the loan
discharge schedule. Cash flows created on that
basis represent the next factor that must be taken
into consideration in determining the FTP rate.
Funding centre is not matching only maturity
of instruments, but also their cash flows. In this
manner, what is achieved is a higher degree of
protection in the business operations of banks,
because the cash inflows and outflows are
happening in time intervals which are different
from the maturity of products.
Sight deposits, credit cards, current account
overdrafts, etc., are products that do not have a
fixed and in advance known maturity. They are
a true challenge for the Assets and Liabilities
Management, and also for the Funds Transfer
Pricing. The challenge is in the fact that they
are products which are available to clients at
call and where there is no previously defined
maturity at all. Statistical and empirical data
show that a bank may count on a certain part
of these funds. Irrespective of the fact that the
money may be available at call, there still is a
certain core which remains on the accounts for
a longer period of time (clients are keeping such
funds in order to cover payment transactions
and for their liquidity needs), and the bank can
count on such amounts.
On the basis of statistical data, 40% of the
amounts of such type of products are considered
highly fluctuating, while the remaining amount
may be deemed to be of the 1- year maturity.
For calculating the FTP rate of such products,
a monthly average is being used of the market
interest rates in force. It is customary to use the
average of a 3-month Euribor (the sum of daily
interest rates / number of days in the month).
Every month, products are allocated a new FTP
rate, which is the average of the current month.
For products where the price is formed on
the basis of the negotiating power, special FTP
policy is conducted. When large-scale deposits
are made on bank accounts, or when there is
participation in the syndicated credits, they are
certainly deemed to be products where there
is exemption from the general rules of the FTP
policies. In such cases, FTP rate is directly set
by the Treasury. The rate at which a sector will
venture depends on the market conditions and
the current circumstances prevailing in the
bank.
Sektor sredstava - Treasury
negativan. Sektor sredstava može da otvorenu
poziciju zatvori izlaskom na međubankarsko
tržište ili da pristupi ofanzivno tj. da postojeću
neusklađenost iskoristi za ostvarivanje većeg
profita na bazi predviđenog kretanja kamatnih
stopa. I u jednom i u drugom slučaju, efekti
kamatnog rizika biće isključeni iz rezultata
tradicionalnih aktivnosti.
Za kreditni i depozitni sektor, kamatni rizik
je eliminisan dodeljivanjem odgovarajuće FTP
stope koja ostaje fiksna u toku životnog veka
proizvoda ili do momenta ponovne promene
cene. Na taj način margina proizvoda ostaje
nepromenjena sve do isteka proizvoda.
U okviru FTP procesa, osniva se poseban
- imaginarni entitet centar konsolidacije kroz
koji se evidentiraju sve transakcije unutar FTP
procesa. Često se za centar konsolidacije koristi
naziv funding centar mada se može naći i pod
imenom treasury centar ili offset centar. Prva
funkcija jeste kontrolne prirode. Naime rezultati
FTP tokova zajedno sa realnim tokovima daju
kamatne margine poslovnih sektora. Krajnji
rezultat banke, ne sme biti veštački uvećan,
odnosno umanjen za kalkulativne kategorije.
Kroz funding centar vrši se netiranje svih FTP
prihoda i rashoda tako da je ukupan zbir FTP
transakcija svih poslovnih sektora jednak nuli.
Druga, više puta pomenuta, jeste eliminisanje
kamatnog rizika iz rezultata poslovnih jedinica,
i zaštita njihove profitabinosti od kretanja u
kamatnim stopama.
FTP sistem omogućava da se efekti
promene tržišnih kamatnih stopa transferišu
od bazičnih aktivnosti ka sektoru sredstava.
Na taj način postiže se da rezultati bazičnih
aktivnosti budu neutralni na promene stopa i
jasno se mogu sagledati i kvantifikovati efekti
donetih poslovnih odluka. Sektor sredstava
u čijoj nadležnosti spada finansiranje kredita,
može tražiti izvor iste ročnosti i re-pricinga ili
prihvatiti re-pricing rizik. Ako je izvor kredita
identičan plasmanu, kamatni rizik ne postoji.
Ako Treasury odluči da prihvati re-pricing
rizik, tako što će se finansirati plasman npr. sa
rokom od 5 godina, jednogodišnjim izvorom,
preuzima na sebe rizik. Njemu pripada razlika
između depozitne FTP stope i po kojoj zadužuje
kredite. Tako na
primer, ako je FTP
Tabela 3. Rezultat kreditnog sektora u uslovima rastućih kamatnih stopa
stopa za kredite
Bilans uspeha Banke
= Bilans uspeha kreditnog sektora + Bilans uspeha funding centra
na petogodišnji
Kredit ....................................100.000
Kredit ....................................100.000
Pozajmljena
Pozajmljenasredstva
sredstva...........100.000
........100.000
plasman 10%, a
Stopa prinosa ...............................9%
Stopa prinosa ...............................9%
Stopa
Stopa prinosa
prinosa...............................8%
.............................8%
za jednogodišnji
Pozajmljenasredstva
sredstva.........100.000
.......100.000
Pozajmljena
Kratkoročni izvor fin. ..........100.000
depozit
8%,
Trošakfinansiranja.......................8%
finansiranja...................8%
Trošak
Pasivna kamatna stopa ............3,5%
T r e a s u r y
Prihodi od kamata ....................9.000
Prihodi od kamata ...................8.000
z a d r ž a v a
Rashodi od kamata ..................8.000
razliku od 2%.
Neto rezultat ............................1.000
Neto rezultat ............................4.500
Neto rezultat ............................5.500
Svakako
da
Rast kamatnih stopa od 100 bps
sektor sredstava
Bilans uspeha Banke
= Bilans uspeha kreditnog sektora + Bilans uspeha funding centra
anticipira
Kredit ....................................100.000
Kredit ....................................100.000
Pozajmljena
buduće kretanje
Pozajmljenasredstva
sredstva...........100.000
........100.000
Stopa prinosa ...............................9%
Stopa prinosa ...............................9%
Stopa
Stopa prinosa
prinosa...............................8%
.............................8%
kamatnih stopa.
Pozajmljenasredstva
sredstva.........100.000
.......100.000
Pozajmljena
Ukoliko dođe do
Trošakfinansiranja.......................8%
finansiranja...................8%
Trošak
rasta, spred od
Prihodi od kamata ...................8.000
2% će se smanjiti
ili
preći
u
Neto rezultat ............................4.500
Neto rezultat ............................1.000
• Menadžeri kao i zaposleni u kreditnodepozitnim sektorima, ne treba da budu
dodatno opterećeni i upravljanjem kamatnim
rizikom prilikom ugovaranja i obavljanja
njihovih aktivnosti. Njihov zadatak je što
veće privlačenje broja deponenata po što
povoljnijim uslovima i što rentabilnije
plasiranja kredita.
• Veća ekspertiza zaposlenih u okviru
treasury-ja.
• Centralizovano upravljanje kamatnim
rizikom je ekonomičnije od decentralizovnog
pristupa.
Neto rezultat ............................3.500
74
Interest rate risk
The total profitability of a bank being
heavily dependent on the movement in the
interest rates, the tendency is to eliminate from
the regular business activities the impact of
the changes in the interest rates on the final
result of the business sectors. In this way, the
success achieved in the crediting activities and
deposit operations may be monitored over time
intervals, products may be compared, sectors
as well, etc.
Let us take as an example the consumer loan
with a fixed interest rate, which is one of the
most massively deployed products in the retail
banking. Maturity term is 2 years. Consumer
loan is financed from the time deposits with
a 6-month maturity. For this maturity period,
interest paid to creditors is also fixed.
Table 2. Interest rate risk impact on profitability of
products
Scenario A: time of occurrence of the loan and deposit
Consumer loan
12%
Time deposit
8%
Spread
4%
?
?
?
Scenario B: growth of market interest rates by 1 percentage point
Consumer loan
12%
Time deposit
8%
9%
9%
9%
Spread
4%
3%
3%
3%
prevails for the reason of insufficiently
achieved profit which is desired in the
situation of decline in the interest rates to
be additionally augmented (reduction in the
marginal costs of financing). In the periods
of growth in the interest rates, the views on
decentralisation are seldom voiced, or are
not present at all.
• Minimisation of the interest rate risk is not
an easy task in the least. Treasury is faced
with a much larger number of options than
are the managers of the individual business
units.
• Both managers and the staff employed in the
crediting and deposit sectors should not be
additionally burdened with managing of the
interest rate risk in contracting deals and
conducting their other activities. Their task
is to attract as large a number of depositors
at the most favourable terms possible, and
to approve and grant credit facilities at the
most profitable terms and conditions.
• Higher expert skills and knowledge
of staff employed within the Treasury
department is present.
• Centralised management of the interest
rate risk is more cost effective than the
decentralised approach.
Treasury
75
Business sectors managers do not always
share the opinion that the interest rate risk
impact should be eliminated from their
result. There are several arguments, however,
supporting the stance that it is better to have the
interest rate risk managed at a centralised level,
within the Treasury, and have it eliminated
from the results of the business units.
• Interest rate risk, when occurring in one
segment of the business activity of a bank,
may be neutralised through business
activities in other operational units of that
same bank. Centralisation achieves and
offers a better overview of all the activities
and assesses net bank exposure to the
interest rate risk, while the protection itself
from exposure is achieved in a much more
efficient way.
• Opinion of the sales department managers
supporting non-elimination of the interest
rate risk from their business activities
The FTP system allows for the effects
of change in the market interest rates to be
transferred from basic activities towards the
Treasury. In this way, results of the basic
activities remain neutral to the changes of rates
and can clearly be assessed and quantified as the
effects of the business decisions made. Treasury,
which is in charge of credit financing, may look
for funding sources of the same maturity and repricing, or feel free to accept the re-pricing risk.
If the source of credit funding is identical with
the placement, the interest rate risk is absent. If
the Treasury, however, should decide to accept
the re-pricing risk by financing placement, for
example of a 5-year maturity with a 1-year
financial source, it is taking upon itself this risk.
Treasury is entitled to the difference between
the deposit FTP rate, and the rate at which it
is charging crediting facilities. For example,
if the FTP rate for the 5-year credit granted is
kupuje isti iznos sredstava sa rokom od tri
meseca. Ukoliko je predviđanje sektora tačno,
funding centar povećaće rezultat banke jednak
spredu HJ. Ukoliko je spred koji se ostvaruje
finansiranjem sa rokom dospeća od 3 meseca
(JK) jednak spredu izvora sa rokom dospeća
od godinu dana (HI), povećanje neto prihoda
od aktivnosti funding centra je jednak spredu
IK. Ukupno ostvoren rezultat banke GK može
biti podeljen na: rezultat ostvaren
od kreditnih aktivnosti GH, rezultat
Grafik 2. Segregacija kamatne margine primenom FTP
metoda ročne ravnoteže
ostvaren od depozitnih aktivnosti HI i
IK rezultat ostvaren od strane funding
centra - efekat kamatnog rizika.
Sektor preuzima na sebe rizik
kamatne stope. Ukoliko ima agresivan
pristup, treasury ce uz pomoć svojih
alata nastojati da ne samo neutrališe
efekte rizika već i da ostvari određen
profit.
I dok primena metode ročne
ravnoteže u okviru FTP procesa
izoluje efekat kamatnog rizika iz
kamatne margine poslovnih sektora,
Pretpostavimo da se banka sastoji od tri
neki rizici ipak ostaju. Tu mislimo na pojavu
sektora, jedan (kreditni sektor) koji u svom
baznog i opcionog rizika. Bazni rizik nastaje
kao posledica različitog kretanja repernih
portfoliu ima samo jedan kredit sa rokom od
godinu dana, drugi (depozitni sektor) sa jednim
kamatnih stopa. Ako posmatramo sliku 6. bazni
depozitom u svom portfoliju od godinu dana
rizik se javlja zbog različitog kretanja bilo krive
ročnosti i funding centar koji se nalazi u okviru
prinosa kredita AB ili depozita CD sa jedne
strane i FTP krive prinosa EF sa druge. Ako
treasury-ja odgovornom za primenu ALM
se FTP kriva zasniva na krivi prinosa zapisa
strategije.3
Trezora, a poslovni sektor odobri kredit po
Takođe, polazimo od pretpostavke da i
kreditni i depozitni sektor generišu isti iznos
varijabilnoj stopi jednakoj euribor + margina,
volumena.
rizik koji se javlja u toku životnog veka kredita
biće jednak različitom kretanju kamatnih stopa
Depozitni sektor prikupljena sredstva
„pozajmljuje” funding centru, primajući
zapisa trezora i euribora. Uzmimo za primer
za to spred u rasponu HI. Kreditni sektor
da smo prošlog januara odobrili kredit po stopi
„pozajmljuje“ sredstva od funding centra,
6m eurbor + 1%, euribor je iznosio 2,4%, dok je
ostvarujući pritom spred u rasponu GH.
stopa zapisa Trezora 0,9%. Spred koji pripada
kreditnom sektoru posle odbitka mariginalnog
Treasury sektor, procenjujući uslove na tržištu
veruje da će krive prinosa biti stabilne, te da
troška finansiranja iznosi 1,5% (euribor + 1%
je za banku isplativije da plasmane finansira
minus 0,9%). Stopa je varijabilna na period
iz jeftinijih izvora sa rokom dospeća od 3
od 6 meseci. U julu iste godine kamatna stopa
meseca. Da bi to ostvario, sektor sredstava
kredita menja se u skladu sa trenutno važećom
izlazi na eksterno tržište i prodaje sredstva
stopom za 6m euribor. 6m euribor se povećao za
prikupljena od strane depozitnog sektora i
10bps dok se stopa na zapise trezora povećala
3
Teorijska koncepcija oformljena i primenjena 80-tih godina u razvijenim tržišnim privredama. Radi se o simultanom
upravljanju aktivom i pasivom banaka (Asset and Liability Management - ALM)
Prihod kreditnog sektora je ostao isti,
nezavisno od promene stopa na tržištu. Ono
što je najvažnije jeste da absorpciju promena
u kamatnim stopama tokom vremena
snosi funding centar. Scenario je isti i kod
depozitnog sektora. Promene kamatnih stopa
tokom vremena neće uticati na profitabilnost
depozitnog sektora. On će ostati isti. Rizik
promene stopa na tržištu snosi funding centar.
76
10%, and for a 1-year deposit is 8%, Treasury
keeps the difference of 2%. Treasury is certainly
anticipating future trends in the interest rates.
If there should be growth in the interest rates,
a spread of 2% is reduced or may even enter
the negative sphere. Treasury may close an
open position by venturing on the interbank
market, or by venturing aggressively, i.e.
by using the existing mismatching position
for gaining higher profit on the basis of the
anticipated movement in the interest rates. In
both the former and the latter case, the effects
of the interest rate risk will be excluded from
the results of traditional activities.
For the crediting and deposit sectors of
the bank, interest risk is eliminated by the
assignment of a corresponding FTP rate
which remains fixed during the life cycle of
the product, or until the moment of the new
re-pricing. In this way, the product margin
remains unchanged until the expiry of the lifecycle of the product.
Within the FTP process, a special - imaginary
entity called centre for consolidation is being
established, through which all the transactions
within the FTP process are being recorded.
Funding centre is often used as the name for
this centre for consolidation, although it may
also be found under the name of a Treasury
Centre, or the Offset Centre. The first function
of this centre is of a control nature. Namely, the
results of the FTP flows, together with the real
cash flows, are yielding interest margins of the
business sectors. Final result of the bank may
not be artificially magnified, i.e. diminished
for the calculative categories. Through the
funding centre, netting is being done of all the
FTP revenues and expenditures, so that the total
sum of the FTP transactions of all the business
sectors of the bank equals zero. The second
function of the FTP process, mentioned on
many occasions, is to eliminate the interest rate
risk from the result of the business units, and to
protect their profitability from the movements
of the interest rates.
Table 3. Result of the crediting sector in the situation of the growing interest
rates
Lending Department's income statement
+ Funding Centre's income statement
Loan ......................................100.000
Rate of return ...............................9%
Loan ......................................100.000
Rate of return ...............................9%
Pozajmljena
sredstva
...........100.000
Borrowed funds
.................100.000
Stopa
prinosa
...............................8%
Cost of
finance............................8%
Short-term source of fin. .....100.000
Passive interest rate .................3.5%
Borrowed funds
.................100.000
Pozajmljena
sredstva
.........100.000
Cost offinansiranja.......................8%
finance............................8%
Trošak
Interest revenue .......................9.000
Interest expenditures ..............3.500
Net result ..................................5.500
Net result ..................................1.000
Net result ..................................4.500
Lending Department's income statement
+ Funding Centre's income statement
Loan ......................................100.000
Rate of return ...............................9%
Loan ......................................100.000
Rate of return ...............................9%
Pozajmljena
sredstva
...........100.000
Borrowed funds
.................100.000
Stopa
prinosa
...............................8%
Cost of
finance............................8%
Borrowed funds
.................100.000
Pozajmljena
sredstva
.........100.000
Cost offinansiranja.......................8%
finance............................8%
Trošak
Net result ..................................4.500
Net result ..................................1.000
Net result ..................................3.500
Bank's income statement
=
Growth of interest rates by 100 bps
Bank's income statement
77
=
FTP kod nekamatonosnih pozicija Bilansa
stanja
Prilikom implementacije FTP-a u sistem
banke, fokus je usmeren prevashodno na
kamatonosne pozicije stanja koje generišu
profit banke. To je i razumljivo jer te pozicije
odslikavaju jezgro bankarske aktivnosti. Druge
pozicije (kapital, zgrade)
ne generišu direktno
prihod za banku ili
Valuta
rashod, pa posmatrajući
AVR
tako, njihove stope su
Nematerijalna
jednake 0. Međutim
ulaganja
svakako da postoji
Osnovna sredstva
Ostala aktiva
oportunitetni prihod
Podtotal A
ili rashod vezan za ove
PVR
pozicije. Obeležje FTP-a
Ostale obaveze
jeste da on obuhvata
Kapital
Podtotal B
banku
kao
celinu,
Raspoloživ kapital
a ne samo pojedine
za investiranje
delove aktive ili pasive.
FTP stopa
Uključivanjem i ovih
FTP prinos na
kapital
pozicija
zaokružava
FTP trošak za
se rezultat dobijen
funding centar
4
primenom FTP-a.
U nekamatonosne pozicije spadaju:
• Kapital
• Ostale obaveze
• Pasivna vremenska razgraničenja (PVR)
• Gotovina i obavezna rezerva
• Osnovna sredstva i nematerijalna ulaganja
• Ostala aktiva
• Aktivna vremenska razgraničenja (AVR)
Isto kao i kod kreditnih i depozitnih pozicija,
funding centar predstavlja suprotnu stranu u
ogledalu prilikom kalkulacije FTP prihoda /
rashoda nekamatonosnih pozicija.
Pri izboru FTP stope koje će biti dodeljene
navedenim pozicijama većina banaka se
rukovodi stopama koje su dodeljene za
proizvode kreditnog i depozitnog sektora.
Da bi se postupak pojednostavio, polazi
se od pretpostavke da kapital zajedno sa
ostalim obavezama i pasivnim vremenskim
razgraničenjima služi za finansiranje osnovnih
sredstava,4 nematerijalnih ulaganja, ostale
aktive i aktivnih vremenskih razgraničenja. FTP
stopa po kojoj funding centar „pozajmljuje“
sredstva od kapitala definišu se internom
politikom banke, premda većina banaka koriste
iste stope koje su važile za depozitni sektor. U
narednoj ilustraciji jasnije ćemo prikazati mesto
nekamatonosnih pozicija u FTP procesa.
Tabela 4. Kapital i kapitalne pozicije u okviru FTP
RSD
EUR
100
40
CHF
Ostali
10
Total
10
200.000
2.000.000
500
2.200.600
50
20
10.000.000
10.000.070
160
200.000
400
440
60
20
100
110
0
0
20
30
0
0
80
0
0
2.000.000
1.020
2.201.180
110
40
10.000.000
10.000.150
9.800.530
-320
-110
-30
9.800.100
16.5%
2.5%
0.5%
1.5%
134.757
-0.67
-0.049
-0.04
134.756
-134.757
0.67
0.049
0.04
-134.756
Osnovna sredstva i nematerijalna ulaganja uzimaju se po odbitku ispravke vrednosti. Za FTP stopu za dinare uzeta je
važeća referentna kamatna stopa (2w REPO) za mesec mart 09
za 50bps, čime se kamatna margina kreditnog
sektora smanjuje na 1,1%. Dodatni prihod
ili gubitak, uvećavaće / smanjivaće rezultat
kreditnog ili depozitnog sektora realizacijom
ovog rizika.
Mnogo ozbiljniji rizik koji se javlja je
opcioni rizik. On proističe iz implicitnog
izbora za klijente koji su sadržani u bankarskim
proizvodima. Dakle rezultat su ponašanja
klijenata koji vrše poređenje između prinosa i
troškova koji se javljaju ukoliko se prihvati data
opcija koju sadrži dati bankarski proizvod. U
zavisnosti od uslova na tržištu, klijenti se
opredeljuju ili odbacuju datu opciju. Opcioni
rizik najviše je izražen kod stambenih kredita,
kada u uslovima smanjenja kamatnih stopa,
krediti se prevremeno otplaćuju putem
refinansiranja kod druge finansijske ustanove.
Većina FTP sistema, uvećava marginalni
trošak finansiranja za visinu opcionog rizika
pokušavajući na taj način dodatni trošak prevali
na klijente.
78
Revenues of the crediting sector have
remained the same, irrespective of the changes
in rates on the market. What is the most
important element here is the fact that the
absorption of the changes in the interest rates,
over time, is done by the funding centre. The
scenario is the same in the deposit sector. The
changes in the interest rates over time will
not have an impact on the profitability of the
deposit sector. It shall remain the same. The risk
of change in the interest rates on the market is
borne by the funding centre.
In order to do that, Treasury ventures on the
external market and sells funds collected by the
deposit sector and buys the same amount of
funds with the 3 months maturity. If the forecast
of the Treasury was correct, funding centre will
increase bank result equal to the spread HJ. If
the spread achieved from financing with the
maturity of 3 months (JK) is equal to the spread
with the financing source of a one year maturity
(HI), increase in net income from activities of
the funding centre is equal to the spread IK.
The total achieved result of the bank GK may
be divided as follows: result achieved
Graph 2. Segregation of the interest margin through the
from crediting activities GH, result
application of the FTP matched maturity method
achieved from deposit activities HI,
and IK result achieved by the funding
centre - the effect of interest rate risk.
Sector takes upon itself the interest
Interest
rate risk. If it is to adopt an aggressive
rate
approach, Treasury, with the aid of its
tools, will strive not only to neutralise
Interest risk effect
the risk effects, but also to achieve
AB: Loan revenues curve
CD: Collected deposits revenues curve
certain profit.
EF: External market borrowing
revenues curve
While the application of the
Maturity
Three months
One year
matched maturity method within the
FTP process is isolating the effect of
the interest rate risk from the interest
Let us assume that a bank consists of three
margin of the business units (sectors), some
sectors, one of them (crediting sector) has in its
of the risk shall still remain. We have in mind
portfolio only one credit with a 1-year maturity,
here the appearance of the basic or optional
the second one (deposit sector) has one deposit
risk. Basic risk is created as a consequence of
in its portfolio with a 1-year maturity, and the
different movements in the benchmark interest
funding sector, which is located within the
rates. If we are to look at Figure 6, basic risk
Treasury, is responsible for the application of
appears because of different movements either
3
of the yield curve of credit AB, or deposit CD,
the ALM strategy.
on the one hand, and the FTP yield curve EF,
In addition, let us start with the assumption
that both the crediting and the deposit sectors
on the other. If the FTP curve is based on the
are generating the same volume amount.
Treasury Bills yield curve, and the business
Deposit sector “lends” raised funds to the
sector is to approve credit at a variable interest
funding centre, receiving in return a spread in
rate equal to Euribor + margin, risk that appears
the range HI. Crediting sector “borrows” funds
during the life cycle of the credit shall be equal
to the different movements of the interest rates
from the funding centre, acquiring in this a
on the Treasury Bills and Euribor. Let us take,
spread of a GH range. Treasury sector, assessing
market conditions, believes that the yield curves
for example, the case that we have approved
will remain stable, and that it is more profitable
a credit last January at the rate of 6 months
Euribor + 1%, where Euribor was 2.4%, and
for the bank to finance placements from cheaper
the rate on Treasury Bills was 0.9%. Spread
sources with the maturity term of 3 months.
Lending Department's spread
Deposit Department's spread
79
3
Theoretical concept formed and applied in the 1980s in the developed market economies. It is a simultaneous management
of both assets and liabilities of banks (Assets and Liabilities Management - ALM).
Implementacija FTP u menadžment
informacioni sistem banke (MIS)
Načela implementacije
Uvođenje FTP metodologije u informacioni
sistem banke jeste dug i složen proces. U
praksi se neretko dešavalo da se prilikom
implementacije sam proces uvođenja otme
kontroli, da izaziva razne nesuglasice između
nadležnih lica, da su rezultati proistekli iz
primene FTP-a siromašni i nedovoljni za
opsežnije upravljanje, da su nerazumljivi te
da stvaraju konfuziju u vidu razumevanja
izvora profitabilnosti, da zahteva visoke
troškove implementacije i održavanja. Da bi se
navedene neželjene situacije izbegle potrebno
je poštovati određena načela uspostavljena na
samom početku implementacije. Ne postoji
jasno definisan ispravan pristup uvođenja
FTP-a, svaka banka nastojaće da ga modelira
i prilagodi prema svojim karakteristikama
poslovanja. Ali pod zajedničkim načelima
možemo podvesti sledeće:
• Jednostavnost
Najvažnije i prvo načelo koje treba slediti
prilikom uvođenja FTP sistema jeste da bude
što jednostavnije. Drugim rečima, treba da
nastojimo da FTP sistem obuhvata samo
elemente koji su nam potrebni. FTP sistem je
sam po sebi složen i kompleksan koji vrlo lako
može preći u rogobatni i nefunkcionalni sistem.
Uvođenje svake nove varijable, višestruko
umnožava kompleksnost sistema, ugrožavajući
normalno i nesmetano funkcionisanje i
razumljivost podataka. Verovatnoća nastanka
greške povećava se kao i smanjenje mogućnosti
za njeno otklanjanje. Takođe proširivanje
sistema otvara prostor za razne debate.
Razmena mišljena stavova je svakako dobra,
ali diskutovati samo radi diskusije odvlači
vreme menadžerima od vođenja posla i stvara
kontraproduktivan efekat. Stoga FTP sistem ne
treba proširivati više od onoga šta je potrebno.
• Transparentnost
FTP sistem mora biti transparentan.
Tajnovitost stvara dodatne probleme u
funkiconisanju.
Nedovoljna
upućenost
sektorskih menadžera umanjuje kredibilitet
tih rezultata, jer niko ne želi biti kritikovan,
čak ni indirektno na osnovu nečega što je
nerazumljivo. Ovo je razlog zašto se traži
aktivna uloga sektorskih menadžera prilikom
uspostavljanja FTP modela u sistem banke.
• Poštovanje zadatih ciljeva
Kada se postavi pitanje daljeg razvoja
sistema, uvek treba imati na umu šta se time
želi postići i da li se time novonastale potrebe
rešene. FTP sistem treba da olakša proces
donošenja odluka a ne da ih zakomplikuje. Ne
sme se dozvoliti da sistem postane tehnički
elegantan a da tom prilikom zahtevi ostanu
neispunjeni.
• Zaštita profitnih sektora od rizika van
opsega njihove kontrole
Fund transfer pricing zasniva se na tome da
uspešnost profitnih centara bude određena na
bazi njihovih aktivnosti kojima mogu upravljati.
Promene u kretanjima tržišnih kamatnih stopa,
troškovi marketinških kamapanja ili troškovi
suda na nivou korporativnog sektora ne treba
da opterete profit svih profitnih centara. FTP
treba da eliminiše kamatni rizik iz rezultata
kreditnih i depozitnih centara iz razloga što
menadžeri ovih sektora nemaju kontrolu nad
karakteristikama kao i kretanjem kamatnih
stopa drugih centara. Zadatak kreditnog
službenika jeste da ugovori unosan posao. On
Na ovom primeru uočavamo da kapital
raspoloživ za finansiranje postoji samo kod
lokalne valute, što je i razumljivo jer prema
domaćim propisima kapital mora obezbediti
stabilnost i sigurnost poslovanja banke pa
situacija u kojoj imamo da je podtotal A veći
od podtotala B gotovo je nemoguća. Višak
sredstava „pozajmljuje“ se funding centru
kao izvor finansiranja, te se za FTP stopu
koristi depo stopa ili stopa po kojoj se sredstva
pozajmljuju od depozitnog sektora.
U situaciji da je podtotal A veći od podtotala
B, ukupan FTP prinos kapitala se smanjuje.
Smanjivanje dolazi zbog nedostatka izvora
u određenoj valuti, te se za taj iznos sredstva
pozajmljuju od funding centra, odnosno funding
centar mora naći sredstva za finansiranje datih
pozicija. FTP stopa u tom slučaju odgovara stopi
po kojoj se banka može zadužiti na eksternom
tržištu tj. mariginalni trošak finansiranja banke.
80
which belongs to the crediting sector, after
deduction of the marginal cost of financing,
amounted to 1.5% (Euribor + 1% minus 0.0%).
Rate is variable for a period of 6 months. In the
month of July that same year, interest rate on
the credit is being changed in accordance with
the currently valid interest rate for 6 months
Euribor. Thus the 6 months Euribor increased
for 10 basis points, while the rate on Treasury
Bills increased for 50 basis points, making the
interest margin of the crediting sector fall to
1.1%. Additional income or loss will increase/
decrease the result of the crediting or deposit
sector through the occurrence of this risk.
A much more serious risk that appears is
the optional risk. It derives from the implicit
choices offered to clients of the contents
embodied in the banking products. The result,
therefore, is the behaviour of clients making
comparison between yield and cost appearing
if a certain given option is accepted, that is
embodied in the respective banking product.
Depending on the market conditions, clients
accept or reject the given option. Optional risk
is mostly manifested in housing loans, when in
the circumstances of fall in the interest rates,
credits are being prepaid through re-financing
provided by another financial institution. The
majority of the FTP systems are increasing the
marginal cost of financing for the amount of
optional risk, trying in this way to charge the
additional costs on clients.
81
FTP in Non-interest bearing Balance Sheet
Items
During the implementation of the FTP in the
bank’s system, the focus is primarily aimed at
the interest-bearing balance sheet items that are
generating bank’s profit. This is understandable
as these items are reflecting the core of the
banking activities. Other items (capital,
buildings …) are not directly generating either
revenues or expenditures for the bank, and in
this light, their rates are equal to 0. But certainly
there does exist here, however, an opportunity
income or cost linked with these items. The
feature of the FTP is that it encompasses the
4
bank as an entity, and not only certain part of
the assets or liabilities. By inclusion of these
items as well, the result obtained by the FTP
application is being rounded up.
Non-interest bearing balance sheet items are
the following:
• Capital
• Other liabilities
• Accruals
• Cash and required reserves
• Fixed assets and intangible assets
• Other assets
• Prepayments and deferred expenditures
The same as in the case of credit and
deposit items, funding centre represents the
opposite side reflected in the mirror during the
calculation of the FTP income / expenditures of
the non-interest bearing positions.
In the selection of the FTP rates to be
allocated to the said items, most banks are
guided by the rates allocated to products from
the crediting and deposit sectors.
In order to simplify the procedure, the
assumption is made that the capital, together
with other obligations and accruals, serves for
financing of the fixed assets,4 intangible assets,
other assets and prepayments and deferred
expenditures. FTP rate at which the funding
centre is “lending” funds from capital are
defined by the internal bank policy, although
most of the banks are using the same rates
that applied to the deposit sector. In the next
illustration we shall more clearly present the
place of non-interest bearing items in the FTP
process.
This is an example where we observe that
the capital available for financing exists only in
the local currency, which is understandable as
according to the domestic regulations capital
must provide for stability and security of the
bank’s business operations, so that the situation
in which we have an A subtotal larger than the B
subtotal is almost impossible. Surplus funds are
“lent” to the funding centre to serve as source of
financing, and as the FTP rate is used the depo
rate or the rate at which funds are borrowed
from the deposit sector.
Fixed assets and intangible assets are taken after the deduction of adjusted value. For the FTP rate for dinars the current
valid reference interest rate is taken (2 w REPO) for the month of March 2009.
• Sprečiti zloupotrebu sistema
Priroda posla nameće linijskim menadžerima
da budu lukavi, snalažljiviji od ostalih ukoliko
žele pobediti u tržišnoj utakimici i nametnuti
svoje uslove klijentima. Iz tog razloga treba
umanjiti potencijalnu opasnost da dođe do
„nadigravanja“ sistema. Pod tim pre svega
mislimo na određene propuste koji se mogu
javiti u samom sistemu, što je i izvesno
ako poštujemo pravilo jednostavnosti. Ako
godišnji bonus i povećanje plate menadžerima
uslovimo rezultatima proisteklim primenom
FTP metodologije zasigurno je da će se nastojati
pobediti sistem. Bolji je način FTP predstaviti
kao jedan od parametara koji će se uzimati u
obzir prilikom određivanja bonus nagrada,
a i ujedno biti svestan o njegovim vrlinama i
manama.
• Biti spreman na neočekivano
Veliki broj promenljivih utiče na otežano
anticipiranje krajnjih efekata za svaku
sprovedenu promenu unutar sistema.
Opreznost prilikom rada je ovim dodatno
uvećana.
Efekti uvodjenja FTP u menadžment
informacioni sistem (MIS)
Politika cena. Kada su poznati izvori zarade,
kada znamo u kojoj meri svaki proizvod, region,
linije prodaje doprinose najviše a koji najmanje
ukupnom rezultatu; nedvosmisleno se pruža
mogućnost za unapređenje profitabilnosti
banke kroz promene u cenovnoj politici. Nakon
što se za svaki kredit izračuna marginalni trošak
u vidu FTP stope, oduzimanjem od izlazne
stope (stopa po kojoj su sredstva plasirana
krajnjem korisniku - klijentska stopa) dobijamo
kamatnu maržu. Izračunata visina kamatne
marže stavlja se u odnos sa kamatnim maržama
ostalih vrsta kredita čime dobijamo informaciju
koji od ukupne palete kredita zarađuje najviše.
Zbog dejstva konkurencije, obavezno se prati
nivo klijentske stope u odnosu na okuženje.
Uzimajući u obzir navedena dva faktora,
(interni faktor, odnosno cenu koštanja i eksterni,
preovlađujući nivo klijentske stope na tržištu),
može se doći do zaključaka da je cena kredita
utvrđena na suviše visokom ili suviše niskom
nivou.
Sektorska komparacija. Uz pomoć FTP-a,
omogućeno je raščlanjavanje bilansa uspeha na
segmente poslovanja. Ovo predstavlja idealnu
alatku za međusobnu komparaciju uspeha
pojedinačnih sektora banke. Kada znamo sa
koje strane dolazi najviše prihoda i koji deo
poslovanja najviše doprinosi rastu vrednosti
banke, imamo osnovu za optimalnu alokaciju
ograničenih resursa. U suprotnom, možemo
biti u situaciji u kojoj je visina kapitala, pažnja i
energija menadžmenta, informatička podrška,
marketinške kampanje, većim delom alocirani
na manje profitabilne segmente poslovanja. To
se nužno mora izmeniti. Bez FTP-a, ne bismo
bili u prilici da razmišljamo o adekvatnoj
alokaciji resursa ili njihovoj realokaciji.
Izvori profita. Svaku finansijsku transakciju,
kao što je prikupljen depozit, stambeni kredit
ili korporativni kredit, možemo posmatrati
kao poseban entitet. Banka je svakako
zainteresovana da zna koji proizvod u datom
sektoru jeste vodeći a koje treba postepeno
gasiti. Takođe je banka zainteresovana da zna
iz kojih filijala dolazi najveći broj kredita ili
koji je to najpogodniji kanal prodaje. Banka
ostvaren prihod posmatra sa više aspekata, FTP
omogućava kvantifikovanje profitabilnosti na
načine na koje to banka želi. Na slici 8. dat je
pregled moguće analize rezultata.
Aktuelne vs planirane performanse. Banka
je velika organizacija koja svoje poslovanje
vodi prema prethodno usvojenom godišnjem
budžetu. Pored komparacije različitih izvora
profita, banka takođe želi porediti aktuelne
rezultate sa budžetiranim. Na taj način dolazi
se do saznanja o razlozima odstupanja od
planiranog rezultata, koji može biti eksternog
karaktera ili internog karaktera.
ne predviđa na kom će nivou biti kamate stope
u narednom periodu. Ako je posao sklopljen
sa klijentom visokog rejtinga, po atraktivnoj
stopi i u narednom periodu dođe do porasta
bazne stope za 100bps, njegov prihod ne sme
biti umanjen za to. On je svoj posao obavio i
to odlično. Sektor sredstava ima za zadatak da
upravlja kamatnim rizikom. Ako nije preduzeo
nikakve mere u vezi zaštite od kamatnog rizika,
posledice treba i da snosi. U slučaju da je došlo
do smanjenja kamatnih stopa na tržištu, profit
koji bi nastao po tom osnovu nalazio bi se u
okviru sektora sredstava.
82
Table 4. Capital and capital items within the FTP
Currency
Deferred costs and
accrued revenues
Non-material
investments
Main funds
Other assets
Subtotal A
Accrued costs and
deferred revenues
Other liabilities
Capital
Subtotal B
Capital available
for investment
FTP rate
FTP return on
equity
FTP cost for
funding centre
RSD
EUR
100
CHF
40
10
Total
160
200.000
2.000.000
500
2.200.600
400
440
100
110
20
30
2.000.000
1.020
2.201.180
50
60
0
0
110
20
10.000.000
10.000.070
20
0
0
80
0
0
40
10.000.000
10.000.150
9.800.530
-320
-110
-30
9.800.100
16.5%
2.5%
0.5%
1.5%
134.757
-0.67
-0.049
-0.04
134.756
-134.757
0.67
0.049
0.04
-134.756
FTP implementation in the bank’s
Management Information System
(MIS)
10
200.000
In the situation when the A subtotal exceeds
the B subtotal, the total FTP capital yield is
decreasing. This decrease derives from the
absence of source in a given currency, and for
that amount funds are being borrowed from the
funding centre, i.e. the funding centre must find
the funds for financing of the given positions.
The FTP rate in that case shall correspond to
the rate at which the bank may borrow funds
on external market, i.e. to the marginal cost of
bank financing.
83
OTHER
Implementation principles
Introduction of the FTP methodology into
the bank’s information system is a long and
complex process. In practice, what happens not
infrequently is that during the implementation,
the process of introduction itself runs out of
control, thus causing various disagreements
between competent officers arguing that the
results obtained from the FTP application
are poor and insufficient for comprehensive
management, that they are unintelligible and
that they create confusion in perceiving the
sources of profitability, and that it demands
high costs of implementation and maintenance.
In order to avoid such undesired situations,
it is necessary to respect certain principles
established
at
the
very beginning of the
implementation. There
is no clearly defined
correct procedure for
the introduction of the
FTP, and every bank
will strive to model
it after and adjust it
to its own particular
characteristics
of
business operations.
But under the common
and joint principles we
can certainly list the
following:
•
Simplicity
The
first
and
foremost principle to
be followed during the introduction of the FTP
system is to make it as simple as possible. In
other words, we should strive for the FTP system
to cover only those elements that we need.
An FTP system is in itself a very complicated
and a complex one, which can easily turn into
an overly robust and dysfunctional system.
Introduction of every new variable is having
a multi-fold effect of multiplying the system’s
complexity, endangering its normal and smooth
functioning and legibility of data. Probability
of error thus increases, but also possibility for
its elimination and correction decreases. The
expansion of the system also opens up the space
for various debates. The exchange of opinion is
certainly welcome, but to have discussions for
their own sake alone is a waste of time dragging
managers away from their business duties and
creating a counter-productive effect. Thus the
FTP system should not be expanded beyond the
framework required.
• Transparency
An FTP system must be transparent. Any
secrecy would add additional problems in
its functioning. Insufficient knowledge of the
sectors managers may lower the credibility
of results obtained, as no one would wish to
be criticized, not even indirectly on the basis
of something that is ambiguous. This is the
reason why an active role of sector managers
IZVOR
Proizvod
Sektor
Klijent
Tržišni segment
Filijala
Kanal prodaje
Region
PRIMER
Štedni depozit vs transakcioni
depozit, autokredit vs keš kredit
Sektor stanovništva vs sektor za
preduzeća
Nektar vs Hello
Sektor za mala i srednja preduzeća
vs sektor za velika preduzeća
Filijale u centralnoj zoni vs filijale
na Novom Beogradu
Eksterni agenti vs filijale
Niš vs Novi Sad
Zaključak
Nastao kao posledica zaštite od kamatnog
rizika, Fund Transfer Pricing danas predstavlja
jednu od najvećih promena koje su se desile
u oblasti upravljanja aktivom i pasivom.
Upravljanje kamatnim rizikom zavisiće od
usvojene ALM strategije. Defanzivna strategija,
rezervisana je za menadžment koji ima za cilj da
neutrališe (smanji) podložnost svojih bilansnih
pozicija na promene kamatnih stopa. U slučaju
ofanzivne strategije, menadžment banke će
anticipirati povećanja ili smanjenja kamatnih
stopa i na osnovu toga povećavati ili smanjvati
bilansni gep radi ostvarivaja većeg profita.
FTP se danas kao glavni alat koristi
u svim važnim segmentima poslovanja
podrazumevajući pritom:
• Cenovnu politiku
• Upravljanje kamatnim rizikom
• Analizu ostvarenog rezultata svih profitnih
centara
• Alokaciju resursa i
• Proces budžetiranja.
Banka, FTP sistem može razviti sama,
interno ili kupovinom ili iznajmljivanjem
softvera od postojećih kuća specijalizovanih
za implementaciju FTP sistema. Neke od
najpoznatijih softverske kuće današnjice su: IPS
Sendero (Atlanta), BankWare (Boston) i druge.
Tabela 5. Izvori profitabilnosti
84
is required during the introduction of the FTP
model into the bank’s system.
• Respect for set objectives
When the question is raised of the further
system development, one should always bear
in mind what is the aim and objectives set to
be achieved and whether it would resolve the
newly perceived needs. The FTP system should
facilitate the process of decision-making, it
should not complicate it. It must not be allowed
for the system to become merely a technically
elegant and sophisticated facility, without
fulfilling the set requirements.
85
• Protection of profit sectors from risks
beyond the scope of their control
Funds transfer pricing is based on measuring
success of profit centre performances on the
basis of their activities that they can manage.
Changes in movement of the market interest
rates, costs of marketing campaigns, or costs of
judicial litigation on the level of the corporate
sector should not bear a burden on profit
of all the profit making centres. FTP should
eliminate interest rate risk from the results
of crediting and deposit centres because the
managers of these sectors do not have control
over characteristics of and movements in the
interest rates of the other centres. The task of the
crediting unit officer is to contract a profitable
deal. It is not his job to forecast interest rates
level for the forthcoming period. If the deal is
contracted with the client of a high rating, at an
attractive rate, and if in the forthcoming period
there should be a growth in the base rate of 100
basis points, his income must not be reduce
because of this. He had done his job and had
done it with excellence. The Treasury has the
task to manage the interest rate risk. If it fails to
undertake any measure for protection from the
interest risk, the consequences should be borne
by Treasury itself. In case there was a decline
in the interest rates on the market, profit made
on that basis would be located in the Treasury.
• Misuse of the system must be prevented
The nature of business imposes on line
managers the necessity to be cunning, and more
resourceful than others if they wish to win in
the market game and impose their own terms
and conditions on the clients. For this reason,
it is necessary to reduce the potential danger of
trying to “outplay” the system What we have
in mind here are certain deficiencies that may
appear in the system itself, which is certain if
we are to respect the rule of simplicity. If an
annual bonus and salary-raise for managers is
conditioned by the results coming out of the
application of the FTP methodology, it is sure
that there will be attempts to beat the system.
A better way is to present the FTP as one of the
parameters which shall be taken into account
when determining the bonus rewards, and at
the same time remain aware of its virtues and
shortcomings.
• Expect the unexpected
A large number of variables are impacting
a difficult anticipation of final effects for every
conducted change within the system. Caution
during work, with this in mind, is even further
recommended.
The effects of introduction of the FTP in the
management information system (MIS)
Pricing policy - When the earning sources
are known, when we know to what extent every
product, region, or line of sale, are contributing
the most, and which ones the least, to the total
result, undoubtedly an opportunity is given
for the promotion of the bank’s profitability
through the changes in the pricing policy.
After calculating marginal cost for every credit
facility in the form of an FTP rate, by deduction
from the output rate (rate at which the funds
are placed to the credit ultimate beneficiary the client rate) we obtain the interest margin.
Calculated interest margin is placed in ratio
with the interest margins of other types of credit
facilities so that we can obtain the information
about that credit which, from the total range of
credit facilities, has the highest earning. As the
competitive race is on and the competition forces
strong, it is necessary to monitor carefully the
level of the client rate in comparison with the
situation present in the business environment.
By taking into consideration of the said two
factors (internal factor i.e. the cost price, and
the external one - the prevailing level of the
client rate on the market), we can arrive at the
conclusion whether the credit price is set either
Literatura / References
1. Belinda B. Early (2008): Banker’s Guide to
Funds Tranfer Pricing, Alex eSolutions, INC,
Texas
2. Hampton, J. John (2001): Financial decision
making, Prentice - Hall International
Editions, London
3. Mishkin, S. Frederic (2006): Monetarna
ekonomija, bankarstvo i finansijska tržišta,
Data status, Beograd
4. Vasiljević Branko (2002): Osnovi finansijskog
tržišta, Zavet, Beograd
Časopisi, working papers / Magazines,
Working papers
1. Dragoslav Vuković, (2005) Bankarski
proizvodi, Udruženje banaka Srbije
2. Steve Turner, (2008) Fund transfer Pricing:
Cracking the Code on Deposit Valuation,
Novantas White Paper Series.
3. Ralph C. Kimball, (1997) Innovations in
Performance Measurement in Banking, The
New England Economic Review.
86
on a too high, or on a too low a level.
Comparison of business units (sectors)
- With the aid of the FTP, it is possible to
break down the profit and loss statement
into business segments. This is an ideal tool
for mutual comparison between successes of
individual business units of the bank. Once
we know from which side the highest amount
of revenues are arriving, and which part of
business is contributing the most to the growth
in the bank’s value, we obtain the basis for an
optimum allocation of the limited resources.
Conversely, we may find ourselves in a situation
where the amount of capital, focus and energy
of management, IT support, and marketing
campaigns, are mostly allocated to those less
profitable business segments. Such a situation
must be promptly rectified. Without the FTP
we would not be in the position to reflect on
an adequate allocation of resources, or on their
re-allocation.
Profit sources - Every financial transaction,
such as a raised deposit, housing loans or a
corporate credit facility, may be considered to
be a separate entity. Bank is certainly interested
in knowing which product, in any given
business unit, is the leading one, and which are
the products to be gradually extinguished. Bank
is also interested in knowing which one of its
branches is providing for the largest number of
credits, or which one of the sales channels is the
most suitable one. Bank is assessing revenues
made from several aspects. FTP allows for
quantification of profitability in the manner
in which the bank wishes to proceed. Figure 8
offers a survey of possible analysis of results.
Table 5. Sources of Profitability
SOURCE
Product
Sector
Client
Market segment
87
Branch
Sales channel
Region
EXAMPLE
Savings deposit vs transaction
deposit; car loan vs cash loan
Retail sector vs corporate sector
Nektar vs Hello
SMEs sector vs large enterprises
sector
Branches in the central zone vs
branches in New Belgrade
External agents vs branches
Niš vs Novi Sad
Actual vs. planned performances - Bank
is a large organisation which is conducting its
business according to a previously adopted
annual budget. In addition to the comparison
between different profit sources, bank also
wishes to compare actual results with the
budgetary ones. In this way, an insight is gained
into the reasons for deviation from the planned
result, which may be of external or of internal
character.
Conclusion
Designed as a consequence of protection
from the interest rate risk, Funds Transfer
Pricing today represents one of the greatest
changes that have occurred in the field of assets
and liabilities management. Interest rate risk
management will depend on the adopted ALM
strategy. Defensive strategy is reserved for the
management aiming at neutralising (reducing)
the exposure of its balance sheet items to the
changes in the interest rates. In case of an
offensive strategy, bank management shall
anticipate raise or fall in the interest rates and
on the basis thereof shall increase or decrease
its balance sheep gap in order to achieve and
gain higher profit.
FTP today is being used, as the main tool, in
all the important business segments, covering
the following:
• Pricing policy
• Interest rate risk management
• Analysis of results achieved in all the profit
centres
• Allocation of resources, and
• Budgeting process
Bank can develop its own FTP system
internally or by purchasing or renting
software from the houses specialised in the
implementation of the FTP system. Some of
the best known software houses today are: IPS
Sendero (Atlanta), BankWare (Boston), and
others.

fund transfer pricing - Udruženje banaka Srbije

Transcription

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