@David Harper CFA FRM and friends,
I am curious as to whether anyone here has any experience with ALM, specifically as it relates to retail banking mortgage businesses. I am curious a to whether anyone could provide some thoughts on methodologies related to FTP (Funds Transfer Pricing), TLP (Term Liquidity Premiums), and Options Costs.
My digging around has identified a few primary approached, namely, bullet based funding, duration based funding, and "strip funding". What is especially interesting to me is the implementation of the strip funding methodology. Some banks appear to weight each individual cash flow by the period itself, so a mortgage's 360th payment, although presumably small, would be weighted by 360.
Anyone interested in a discussion?
I am curious as to whether anyone here has any experience with ALM, specifically as it relates to retail banking mortgage businesses. I am curious a to whether anyone could provide some thoughts on methodologies related to FTP (Funds Transfer Pricing), TLP (Term Liquidity Premiums), and Options Costs.
My digging around has identified a few primary approached, namely, bullet based funding, duration based funding, and "strip funding". What is especially interesting to me is the implementation of the strip funding methodology. Some banks appear to weight each individual cash flow by the period itself, so a mortgage's 360th payment, although presumably small, would be weighted by 360.
Anyone interested in a discussion?
