Fund Transfer Pricing for Bank Deposits. The Case of Products with Undefined Maturity

The paper presents a pedagogical yet rigorous analysis of fund transfer pricing for deposits with undefined maturity. The objective is to identify the conditions needed to convert the case of deposits with undefined maturity into one with a single effective maturity. This in turn allows us to identify the many circumstances under which the practice of conversion into a single effective maturity is not warranted. Attention is called to the...