CAP 133
| Category: | Treasury & market data |
| Business Goal: | BG-005 — Build a profitable, stable deposit base; BG-007 — Capital and liquidity managed in real time |
| System Domain: | SD06 — Snowflake Analytics & Risk Platform |
| Satisfying Module: | MOD-086 Funds transfer pricing engine |
| ADR: | ADR-039 |
Description¶
Daily funds transfer pricing (FTP) rate grid across nine tenor buckets (ON, 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y), derived from prevailing swap/OIS curves plus a Treasury-configured liquidity premium. Net interest margin (NIM) attribution by product segment and business line, produced daily, is the primary source for management accounts and product profitability reporting.
TP rates are written back to SD01 Postgres (treasury.tp_rates) so SD05 credit decisioning and SD01 product rate configuration can reference them without an inline Snowflake dependency. A minimum seven-year audit trail of all TP grids is retained with curve source version and liquidity premium basis points.
What FTP enables¶
Without FTP, a fixed-rate mortgage and a demand deposit appear in the same P&L with no cost-of-funds attribution. FTP makes treasury the internal market: the loan book is "charged" the cost of the term funding it consumes; the deposit book receives the "benefit" of the cheap funding it supplies. Product managers can then set margins above or below TP to reach target NIM.
Consumers¶
| Consumer | What they use |
|---|---|
| SD01 product rate config | treasury.tp_rates (Postgres write-back) — base rate for margin grids |
| SD05 credit decisioning | treasury.tp_rates (Postgres) — cost-of-funds in affordability pricing |
| Management accounts / CFO reporting | ftp.nim_attribution Snowflake DT |
| MOD-080 (statutory financial reporting) | ftp.nim_attribution for segment P&L |