1. User Guide
  2. Reports & Analytics
  3. Funds Transfer Pricing Cloud Service Reports & Analytics
  4. Operational Analysis
  5. Interest Rate Curves

7.1.4.3 Interest Rate Curves

Interest rate curves are fundamental to Treasury applications. In the context of Funds Transfer Pricing, interest rate curves are referred by all calculations.

The summary screen for interest rate curves displays all the existing interest rate curves with additional details.

Figure 7-70 Interest Rate Curves Summary screen


Interest Rate Curves Summary screen

Report Common Filters

You can use a series of Report Prompts to filter the Data according to Functional Key Attributes as follows:

  • Effective Date (Day): You can use this filter to select a specific Day for the underlying Time Dimension.
  • Tenor (Day): You can use this filter to select a Maturity Date for the underlying Time Dimension.
  • Currency: You can use this filter to select a specific Currency to be applied to the underlying dataset.
  • IRC: You can use the filter Interest Rates Curves to be applied to the underlying dataset.
  • IRC Structure Type: You can use the filter Interest Rates Curves Structure Type to be applied to the underlying dataset.
  • IRC Format: You can use the filter Interest Rates Curves Format to be applied to the underlying dataset.
  • Compound Basis: Indicates the compunding frequency used to calculate interest income.
  • Accrual Basis: The basis on which the interest accrual is calculated.
  • Interest Rate Term: You can use the filter Interest Rates Curves Term to be applied on the dataset filter based on the number of days, months, and/or years.
  • Interest Rate Term Multiplier: You can use the filter Interest Rates Curves Term Multiplier to be applied to as D (Day), M (Month) and Y (Year).

IRC

The initial report will present a comprehensive list of available IRCs (Individual Report Categories). Users can select one or more IRCs based on their specific reporting needs.

Figure 7-71 IRC Canvas


IRC Canvas

IRC Definition

The IRC Definition Report showcases essential information such as IRC, IRC structure type, format, compound basis, accrual basis, and currency. This report is also a versatile tool for data filtration to meet specific needs.

Figure 7-72 IRC Definition Canvas


IRC Definition Canvas

Interest Rates by Tenor

The "Interest Rates by Tenor Report" organizes interest rates based on their effective date and tenor.

Figure 7-73 Canvas IRC by Effective date


Canvas IRC by Effective date

The "Interest Rates by Tenor Report" categorizes interest rates based on IRCs according to their respective tenors.

Figure 7-74 Canvas IRC by Period and Currency


Canvas IRC by Period and Currency