In this Article
- What funding curves are available?
- What is the FHLB Composite curve?
- What are Synthetic Funding curves?
- How often does PrecisionLender update their funding curve information?
- How do I upload a custom funding curve?
What funding curves are available?
- US Treasury (Constant Maturity)
- 3 Month LIBOR Swap
- Source: 1 and 3 month duration - ICE LIBOR (1-Year)
- Disclaimer: “ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE IN RESPECT OF ANY USE OF ICE LIBOR.”
- Source: 1 -30 year durations - Tullet Prebon LIBOR Swaps
- Source: 1 and 3 month duration - ICE LIBOR (1-Year)
- Federal Home Loan Banks (FHLBs; Advance Rate and Standard Terms)
- Des Moines
- FHLB Composite Curve
- Custom Funding Curve
- Synthetic Funding Curves
- Term SOFR Funding Curve
Note: For interest rate calculation assumptions, all funding curves available in PrecisionLender use Actual/360 for rates under 13 months. For additional background on day count conventions, see Understanding Interest Calculations.
What is the FHLB Composite curve?
PrecisionLender has access to the cost of funds for three regional Federal Home Loan Banks (FHLBs). These are the FHLBs for Boston, Chicago, and Des Moines. If at least two of these provide a rate for a specific duration, PrecisionLender calculates an average rate and uses it in creating the FHLB Composite curve. Durations that do not have 2 rate data points are not included in the FHLB Composite curve, and PrecisionLender does a linear interpolation to generate the cost of funds rate for that duration, as it does for any other funding curve that does not have a stated rate for a specific duration. The FHLB Composite curve is meant to provide a good proxy for a bank's marginal, market opportunity cost of funds, and it is the funding curve that the majority of PrecisionLender customers choose to determine cost of funds (the Interest Expense within PrecisionLender). As with all of the funding curves supported in PrecisionLender (with the exception of custom funding curves which are updated on a customer established schedule) the FHLB Composite curve is updated every night.
What are Synthetic Funding Curves?
We average the rates for each standard funding curve that PrecisionLender has access to, and make the following synthetic funding curves available for each curve in PrecisionLender. The number of rates included in each average may be affected by bank, national, or international holidays.
- 7 Day Trailing Average
- A trailing average of the previous 7 calendar days, excluding weekends.
- 30 Day Trailing Average
- A trailing average of the previous 30 calendar days, excluding weekends.
- Weekly Average
- An average of the previous week, published on Sundays, containing rates from the business days in the previous Monday-Friday.
- Monthly Average
- An average of the previous month, published on the first of the month, containing rates from each business day in the previous month.
How often does PrecisionLender update their funding curve information?
- Treasury, FHLB, and FHLB Composite
- PrecisionLender updates these rates at roughly 4:00 AM UTC, Monday through Friday.
- When PrecisionLender updates funding curve information at night, we update it with the rates from the most recent business day.
- For FHLB-Boston, we receiving morning rates from the most recent business day.
- For example, when we receive funding curve information on Tuesday night, we will be receiving the rates from the business day on Tuesday; therefore, a lender looking at the funding curve during the business day on Wednesday will see the Tuesday rates.
- LIBOR and Libor Swap
- PrecisionLender updates LIBOR at roughly 4:00 AM UTC, Tuesday through Saturday.
- When PrecisionLender updates LIBOR information at night, we update it with rates from the previous business day.
- For example, when we receive funding curve information on Wednesday night, we will be receiving rates from the business day on Tuesday; therefore, a lender that uses LIBOR on Thursday will see the rates from Tuesday.
- Term SOFR
- Rates are published each morning and PrecisionLender will pull them at midnight that evening, so rates will be effectively one day behind.
- These schedules may be affected by bank, national, or international holidays.
- You can always check the date of your funding curve inside an Opportunity by clicking "Assumptions" then "Funding Curve".
- The funding curve for your opportunity is based on the pricing date, meaning that if you change the pricing date, you risk altering your funding curve assumptions.
- For more information see: The Assumptions Screen
How do I upload a custom funding curve?
If your bank has the ability to create custom funding curves, PrecisionLender has the ability to utilize your custom funding curve in the application. This requires uploading your funding curve to PrecisionLender on a regular basis. If that is something you are interested in, you can read more about that process in our support article about Creating and Editing Custom Funding Curves.