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Stress testing / Liquidity and funding risk [55]

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Bullet points include: Apply fund transfer pricing to all external and internal liquidity-bearing transactions of a given contractual maturity Fund transfer price curve: reflects external refinancing cost, based on market rates, i.e. combined costing of all funding sources, not on internal standards Liquidity price risk then transferred to the liquidity steering units (e.g. the Asset and Liability Management team) who are then aware of total liquidity risk position and able to manage it Cash pooling then enables management of residual cash flows N.B. potentially increases group risk Requires internal market-making for liquidity, using transfer pricing

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