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:
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
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