About key rates

Key rates are the source of FTP base rates and FTP adjustment rates using the Assigned Rate FTP calculation method and are applied on a monthly basis. Key rates can be either calculated using historical yield curve data or entered manually. You can generate key rates using the rolling average of a single yield curve rate, or the rolling averages of multiple yield curve rates. You can define and calculate as many key rates as needed.

FTP is distributed with seven key rates that are predefined as rolling daily averages of their monthly terms. For example, the Rolling 6 Mo key rate is the daily six-month average of rates from the six-month yield curve term ending on the Key Rate date. Key rates are always monthly rates rather than daily and are saved as of the last day of the month.

The key rates distributed with the system require setup in the FTP Key Rates Calculator. This utility selects the first yield curve name from the YieldCurveSettings table as the source for the key rate calculations. You can select a different yield curve name if needed.