4.5.1.7 Funding Pricing Curves

The funding price and funding amount is captured for ABCP multi-seller funding curve, ABCP single seller funding curve, unsecured bank funding curve and unsecured holding company funding curve at a legal entity and tenor granularity. These values are directly reported as part of line items 20 and 21 in FR 2052b reporting template.

If multiple funding prices are available that are bucketed in a single time bucket, a weighted average of the funding price is calculated based on the funding amount. For instance unsecured bank funding curve information is provided as follows:

Tenor (in Days)	Funding Price (in %)	Funding Amount
40	4	100
60	5	150
90	6	250

In this case, all 3 tenors occur in the > 1 month <= 3 months bucket for FR 2052b reporting. In such a case, the weighted average of these prices must be reported.

Total funding amount = 100 + 150 +250 = 500

Weights are calculated as follows:

Funding Price	4	5	6
Weight	0.2 [=100/500]	0.3 [=150/500]	0.5 [=250/500]
Weighted Price	0.8 [=4*0.2]	1.5 [=5*0.3]	3 [=6*0.5]

Weighted average price = 0.8 + 1.5 + 3 = 5.3