2024/02/23 - Fairways Debt - Movements on the Mark-to-Market Indicator for Loans and Interest Rate Swaps (IRS)

Recent valuation fixes may cause movements on the Mark-to-Market indicator for loans and interest rate swaps (IRS) using the indexes listed below. Please note that these fixes only apply to Mark-to-Market indicators and do not affect the calculation of interest payments and accruals, except for the TAG and TAM indexes.

  • AVG SOFR and Fed Funds: The valuation of the current interest period for transactions using the Average SOFR and Fed Funds indexes has been fixed.
  • SIFMA: Discounting was previously based on the LIBOR zero coupon curve, but market standards now require using the SOFR zero coupon curve.
  • TAG and TAM: The calculation of forward rates has been fixed. Indeed, EONIA forwards based on the zero coupon curve without shift were incorrectly used to calculate TAG-based forwards. The shifted ESTER curve is now being used correctly. Please note that this fix only applies to valuations after July 20, 2022.
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