ISWGNA Task Force on FISIM AEG New York, April 2012. Contact: [email protected] Background . Task Force created in late 2010. Partly in relation to 2008 SNA research agenda:
Loans matched to deposits
Assuming no credit-default risk
Matched-maturity approach = single reference rate approach
Loans = deposits but not matched
(assuming margin rate is the same for all maturities) Matched-maturity (MM) approach is unchanged.
But FISIM higher with single reference (SR) rate approach.
Liquidity transformation services?
Interestingly, if range of instruments is extended MM and SR move closer