  Funding is a cost to trading desks that they see as an input. Current
FVA-related literature reflects this by also taking funding costs as an input,
usually constant, and always risk-neutral. However, this funding curve is the
output from a Treasury point of view. Treasury must consider
Regulatory-required liquidity buffers, and both risk-neutral (Q) and physical
measures (P). We describe the Treasury funding problem and optimize against
both measures, using the Regulatory requirement as a constraint. We develop
theoretically optimal strategies for Q and P, then demonstrate a combined
approach in four markets (USD, JPY, EUR, GBP). Since we deal with physical
measures we develop appropriate statistical tests, and demonstrate highly
significant (p<0.00001), out-of-sample, improvements on hedged funding with a
combined approach achieving 44% to 71% of a perfect information criterion. Thus
regulatory liquidity requirements change both the funding problem and funding
costs.
