Abstract

VALENCIA-SERPEL, Karina; CRUZ-ARANDA, Fernando  and  ORTIZ-ARANGO, Francisco. Fund Transfer Pricing in banks of Mexico from February 2012 to May 2021. Rev. mex. econ. finanz [online]. 2023, vol.18, n.2, e736.  Epub May 13, 2024. ISSN 2448-6795.  https://doi.org/10.21919/remef.v18i2.736.

Objective: The submitted work estimates the Funds Transfer Prices (FTP) of seven banks in Mexico. Methodology: A bond is used that reproduces the bank's cash flows, which allows estimating the term structure. The bond is valued utilizing the Nelson-Siegel model. Then, the rates of your loan portfolio and deposits are estimated to calculate the FTP. Likewise, we calculate each bank's spread of the TIIE-28 and the CETE-28 rate to establish their patterns between February 2012 and May 2021. Results: The results obtained show a discrepancy of less than 0.0006. Recommendations: The FTP methodology improves by using the most available data. Limitations and implications: To get better results, more information is required from all the bank's lines of business, making it difficult and delaying the application of the model. Originality: It shows a positive relationship between the application of the FTP methodology and profitability. Conclusions: Using the FTP methodology is possible to create value by optimizing the bank's net interest margins.

Keywords : Fund Transfer Pricing; bonds; banks.