Following the introduction of the Risk-Free Rates (RFRs) in Fairways Debt in June 2023 to comply with the global standard implementation for floating interest rates, new term rates are now available on the platform.
These new term rates based on RFRs can be selected from the list of the available indexes when creating a transaction in the Debt & Derivatives application, or when pricing a loan or a swap in the Pricers application.
The available term rate indexes for each currency are as follows:
- EUR: Term ESTER 1W, Term ESTER 1M, Term ESTER 3M, Term ESTER 6M and Term ESTER 1Y
- GBP: Term SONIA 1M, Term SONIA 3M, Term SONIA 6M and Term SONIA 1Y
- USD: Term SOFR 1M, Term SOFR 3M, Term SOFR 6M and Term SOFR 1Y
- Contact your Finance Active consultant to enable the indexes.
- Term SOFR indexes will be available in the Pricers application at a later date.
- Valuation is currently only available for the loan and the interest rate swap (IRS). Valuation for the cap, floor and collar will be available at a later date.
See Risk-Free Rate (RFR) Calculation for more information on RFRs.
See Indexes for more information on term rate indexes.
See the Pricers section for more information on the pricing procedures.
See the Portfolio section for more information on the transaction creation procedures.