Apply Advanced Indexation to a Transaction

Fairways Debt enables you to set advanced options when editing the indexation of the transaction.

 

Navigate to the Debt & Derivatives Application
  1. Log in to your Fairways Debt account and select a customer account, if relevant.
  2. Navigate to Applications Applications.png > Debt & Derivatives.

 

Navigate to the Indexation of the Transaction...
... via the Actual Portfolio
  1. Click the relevant transaction to open its profile.

Portfolio_EN.png

  1. Navigate to Life Cycle.
  2. Click Add Indexation Change.

LifeCycle_EN.png

 

... via the Draft Portfolio
  1. Click the relevant transaction to open its profile.

DraftPortfolio_EN.png

  1. Navigate to Overview.
  2. Click Edit in the panel where the indexation is located, in this example the Indexation panel.

IndexationPanel_EN.png

Note: You can also navigate to the indexation from the Life Cycle tab in this portfolio. Then click Add Indexation Change.

 

Apply Advanced Indexation to a Transaction
  1. Select Advanced to expand the area with the corresponding options.

Note: The Advanced option displays when a floating index is selected for the transaction.

  1. Complete the form with all relevant details.

Note: Fields marked with an asterisk * are mandatory.

Area

Description

Interest Rate Computation

Select or enter the data for the interest rate computation:

  • Method
  • Index (%)
  • Rounding Rule / Rounding Fraction / Rounding Method
  • Cap/Floor Rate Option

When the interest amount is calculated using either the compounded or the average method, the Daily Rate Calculation option is automatically displayed. You can then enter the following data:

  • Daily Spread
  • Daily Cap
  • Daily Floor
  • Daily Margin

Important:

The daily spread is applied to the daily rate before the daily cap rate and/or the daily floor rate.

The daily margin is applied to the daily rate after the daily cap rate and/or the daily floor rate.

Valuation approximation! These daily spreads/caps/floors/margins are only applied to past fixings (past flows and accrual ones). They are not used to calculate forward rates (no option value). However, they are applied to period forwards to avoid valuation gaps.

Fixing Date Rule

Note: This area displays depending on the method selected.

Set the options for the fixing date rule.

Note: When the interest amount is calculated using the spot method and the calendar day type is selected for the fixing date rule, the Interest Calculation Adjustment field is automatically displayed. If the fixing date calculated using the calendar day adjustment is a non-business day, this field is used to further adjust this date. For more information, see Adjust the Payment Date of a Transaction and Adjustment.

Fixing Date Rule (End)

Note: This area displays depending on the method selected.

Set the options for the end of the fixing date rule.

Reset Date Rule

Note: This area displays depending on the method selected.

Set the options for the reset date rule.

Fixing Calendars

Select the calendar(s) you wish to apply to the fixing.

      1. Click Apply.

AdvancedOptions_EN.png

The configuration of the advanced options is applied to the indexation of the transaction.

 

Related Documentation
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