Maintaining interest rates for FTP

From the Interest Rates tab of the FTP page, you can add new yield curves, such as base funding and adjustment curves; add or update rates for the yield curves; add and configure key rates; and add and configure prepayment rates and categories used in the Funds Transfer Pricing (FTP) process.

This tab includes the following sub-tabs: 

NOTE: Interest index maintenance will be available in a future release.

Yield Curve Maintenance sub-tab

From the Yield Curve Maintenance sub-tab, you can add and edit FTP yield curves for base funding and adjustments. You can also assign a yield curve as the primary, or default, yield curve to be used unless a different yield curve is specifically selected.

TIP: For more information about yield curves, see About yield curves.

Adding a yield curve

To add a new yield curve:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Yield Curve Maintenance.

  3. Under Manage FTP Yield Curves, click Open.

    NOTE: The Manage Yield Curves page opens in a separate browser tab.

  4. On the Manage Yield Curves page, click Add New Yield Curve.

  5. In the Add New Yield Curve dialog, complete the following settings:

    Column Description
    Yield Curve Name Enter a name for the new curve.
    Primary Curve

    • To assign the new yield curve to be the primary, or default, yield curve, select True.

    • Otherwise, select False.

    Auto Fill Days

    • To fill in rates automatically from the Yield Curve Interpolation utility for any dates for which no rates are entered manually, select True.

    • Otherwise, select False.

    Interpolation

    Select Linear, Market Rate, or Imported from the drop-down list.

    NOTE: The default method for FTP is linear interpolation, and the Yield Curve Interpolation utility requires linear interpolation. For more information about interpolation methods, see About interpolating yield curves.

  6. To save your selections, click OK.

Adding a market rate curve

To add a new market rate curve:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Yield Curve Maintenance.

  3. Under Manage FTP Yield Curves, click Open.

    NOTE: The Manage Yield Curves page opens in a separate browser tab.

  4. On the Manage Yield Curves page, click Add New Market Rate Curve.

  5. In the Add Market Rate Curve dialog, enter a name for the new curve in the field provided, then click OK.

Editing yield curve settings

To edit settings for existing yield curves: 

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Yield Curve Maintenance.

  3. Under Manage FTP Yield Curves, click Open.

    NOTE: The Manage Yield Curves page opens in a separate browser tab.

  4. For each yield curve listed in the Name column, complete the following settings:

    Column Description
    Auto Fill Days

    • To fill in rates automatically from the Yield Curve Interpolation utility for any dates for which no rates are entered manually, select True.

    • Otherwise, select False.

    Interpolation

    Select Linear, Market Rate, or Imported from the drop-down list.

    NOTE: The default method for FTP is linear interpolation, and the Yield Curve Interpolation utility requires linear interpolation. For more information about interpolation methods, see About interpolating yield curves.

  5. To save all changes, click Save.

Yield Curve Rates sub-tab

From this sub-tab, you can enter yield curve rates on a schedule (daily or weekly) or as needed. If data values change, they should be updated prior to processing of FTP for the month.

To add or edit yield curve rates for FTP:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Yield Curve Rates.

  3. Under Add or Edit Yield Curve Rates, click Open.

    NOTE: The Upload Yield Curve Data Web page opens in a separate browser tab.

  4. On the Upload Yield Curve Data Web page, edit rate settings as needed by entering text in the blue fields. All other fields are read-only.

    • To edit rate settings in a spreadsheet, click the Open the spreadsheet to edit or upload rates link, then edit fields in the Grid Data dialog, then click OK to close the dialog.
    • To save all changes to settings, click Save.
    • To run the yield curve interpolation process, click Run Interpolation, then click OK in the confirmation dialog.

    TIP: For more information about the interpolation process, see About interpolating yield curves.

Key Rates sub-tab

From this sub-tab, you can add new key rates, edit existing rates, and calculate monthly rates.

TIP: Before you can add or edit key rates, yield curve settings and rates must be saved on the Upload Yield Curve Data Web page. If you want to review the key rate values prior to processing FTP, yield curve rates must be loaded and interpolated first.

NOTE: The Calculate Key Rates utility retrieves 10 years of daily historical rates when available in the yield curve. It will roll forward rates to fill in missing days due to weekends and holidays but will not back fill if the earliest available rates are less than 10 years old. This can impact the accuracy of your calculated rate. The utility also retrieves rates from about a week before the first day of the 10-year historical period in case the first day falls on a weekend or holiday (this varies a couple of days due to leap years.)

Adding a key rate

To add new key rates for FTP:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Key Rates.

  3. Under Maintain Key Rates, click Open.

    NOTE: The Calculate Key Rates page opens in a separate browser tab. The left section of the page contains a table listing currently configured yield curves, and the center section contains a table listing currently configured key rates.

    Click image to view full size

  4. On the Calculate Key Rates page, click Edit Key Rates.

    TIP: In the Edit Key Rates dialog, blue fields are editable. All other fields are read-only.

    Click image to view full size

  5. In the upper section of the Edit Key Rates dialog, complete the following settings:

    Row Description
    Select a yield curve From the first empty column or the column you are editing, click the drop-down and select the desired yield curve.
    Select the yield curve column

    From the drop-down for the column, select a yield curve rate point.

    TIP: Not all yield curve points can be selected. The points that you can select are limited to commonly quoted market rate terms.
    Enter the number of months used to calculate average rates Enter the number of months to use for averaging historical daily rates. Numbers must be whole numbers from 1 through 120.

  6. In the lower section of the Edit Key Rates dialog, complete the following settings:

    Column Description
    FOR CALCULATED KEY RATES ENTER WEIGHTS IN THE CELLS BELOW (multiple columns) Enter weight values to be used in calculating the key rate for the time interval indicated for each column.
    Enter a Key rate or Spread Enter the spread to be added to the value calculated from yield curve averages.

  7. When done editing the table, click Apply.

    NOTE: To close the dialog without saving changes, click Close.

Editing key rate settings

To edit existing key rates for FTP:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Key Rates.

  3. Under Maintain Key Rates, click Open.

    NOTE: The Calculate Key Rates page opens in a separate browser tab. The left section of the page contains a table listing currently configured yield curves, and the center section contains a table listing currently configured key rates.

    Click image to view full size

  4. On the Calculate Key Rates page, in the Configured Key Rates table, in the Key Rates column, enter or update percentages for each rate as needed.

    TIP: Only blue fields are editable. All other fields are read-only.

  5. To save all changes, click Apply.

Prepayment Rates sub-tab

From this sub-tab, you can add, edit, or delete prepayment rates for FTP.

Prepayment rates are dated records that contain the effective rates for the associated type of prepayment. If prepayment rates are used to calculate FTP, you can enter them in the Manage FTPPrepaymentRates utility along with their effective starting dates. The rates and their effective starting dates are saved to the FTPPrepaymentRates table.

TIP: Prepayments are used only with the Cash Flow A transfer price methodology. The Cash Flow FTP method is a type of matched-term method; it matches each instrument’s principal cash flow to the rate from the appropriate term on the transfer pricing yield curve, weighted by the number of months of the cash flow. This method is commonly applied to fixed and adjustable rate amortizing instruments. This method is used for loans that pay back principal and interest every month. or Spread Evenly A variant of the Cash Flow method. Rather than calculating an instrument’s contractual cash flow, Spread Evenly uses the same principal weight each period (calculated as beginning balance / number of payments) to calculate the FTP rate. For instruments with no payment frequency, monthly payments are assumed. calculation methods. For more information, see About FTP calculation methods.

Adding a prepayment rate

To add prepayment rates for FTP:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Prepayment Rates.

  3. Under Add or Edit Prepayment Rates, click Open.

  4. On the Manage FTP Prepayment Rates page, click Add Rows.

  5. In the Add Rows dialog, enter the number of rows to add, then click OK. Or, select the number of rates to add using the arrows in the entry field.

  6. In the table row for each rate, complete the following settings:

    Column Description
    DateID This field is read-only.
    PrepaymentName Click the ellipsis (...) button and select the desired prepayment name from the drop-down list.
    StartDate Enter the rate start date using the format mm/dd/yyyy.
    PrepaymentRate Enter the prepayment rate as a whole number representing the percentage rate (for example, 12 for 12%).

  7. Click Save to save your selections.

Editing prepayment rate settings

To edit settings for an existing prepayment rate:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Prepayment Rates.

  3. Under Add or Edit Prepayment Rates, click Open.

  4. In the table row for each rate, complete the following settings:

    Column Description
    DateID This field is read-only.
    PrepaymentName Click the ellipsis (...) button and select the desired prepayment name from the drop-down list.
    StartDate Enter the rate start date using the format d/m/yyyy.
    PrepaymentRate Enter the prepayment rate as a whole number representing the percentage rate (for example, 12 for 12%).

  5. Click Save to save your selections.

Deleting a prepayment rate

To delete a prepayment rate:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Prepayment Rates.

  3. Under Add or Edit Prepayment Rates, click Open.

  4. In the table on the Manage FTP Prepayment Rates page:

    1. Click the row number on the left to select the entire row.

    2. Click Delete Row.

  5. In the confirmation dialog, click OK.

    NOTE: You cannot undo a deletion using the undo buttons () at the top of the FTPPrepaymentRates table after you click OK in the confirmation dialog.

Prepayment Categories sub-tab

From this sub-tab, you can add a prepayment name for a prepayment loan category stored in the FTPPrepaymentName table. You can also edit a prepayment name or delete a prepayment name that is not in use and that has no historical records.

TIP: You can change a prepayment’s type but not the name itself. To change the name, delete the prepayment name and create a new one (this assumes there are no records attached to the name).

Prepayment names are user-defined and link instrument records to the specific prepayment schedules used to calculate the FTP rate. You can add as many prepayment names as needed to accelerate the runoff of various types of records for their FTP rate calculations. Prepayment records are saved with their effective starting date and can be added as frequently as needed.

NOTE: Prepayment rates are applied by the Cash Flow engine based on the instrument record’s origination date.

The FTPCalcSheet looks up the Prepayment type from the Prepayment sheet based on the Prepayment name mapped to the instrument records in the FTP Rate Rules utility.

Adding a prepayment name

To add a prepayment name for FTP:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Prepayment Categories.

  3. Under Add or Edit Prepayment Categories, click Open.

  4. On the Manage FTP Prepayment Name page, click Add Rows.

  5. In the Add Rows dialog, enter the number of categories to add, then click OK. Or, use the arrows to select the number of categories to add.

  6. In the table row for each category, complete the following settings:

    Column Description
    Prepayment Name

    Enter the name.

    Type

    Select one of the following:

    • CPR – Constant prepayment rate. The Prepay Speed is an annual rate.
    • PSA – Public Securities Administration. A multiplier that is applied against the PSA factor column to generate the monthly Prepay Speed.
    • SMM – Single monthly mortality. The Prepay Speed is a monthly rate.

  7. Click Save to save your selections.

Editing a prepayment name

To edit the payment rate type for a prepayment name:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Prepayment Categories.

  3. Under Add or Edit Prepayment Categories, click Open.

  4. In the table on the Manage FTP Prepayment Name page, for the desired prepayment name, click in the Type column to display the ellipsis (...) button, then click the button.

  5. In the Select Type dialog, select the prepayment rate type The rate at which a prepayment loan is paid. Three types are supported: SMM - Single monthly mortality. The Prepay Speed is a monthly rate. CPR - Constant prepayment rate. The Prepay Speed is an annual rate, not annualized. PSA - Public Securities Administration. A multiplier that is applied against the PSA factor column to generate the monthly Prepay Speed. from the drop-down list, then click OK.

  6. In the button row, click Save.

  7. In the confirmation dialog, click OK.

Deleting a prepayment name

NOTE: If you try to delete a prepayment name that is mapped to an FTP pricing rule or has been used and has historical records, you will receive an error message.

To delete a prepayment name:

  1. From the Command Center, click FTP.

  2. Click Interest Rates, then click Prepayment Categories.

  3. Under Add or Edit Prepayment Categories, click Open.

  4. In the table on the Manage FTP Prepayment Name page:

    1. Click the row number on the left to select the entire row.

    2. In the button row, click Delete Row.

  5. In the confirmation dialog, click OK.

    NOTE: You cannot undo a deletion using the undo buttons () at the top of the FTPPrepaymentRates table after you click OK in the confirmation dialog.