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 rates are available on the platform.
The following indexes are now available for vanilla, American and Bermudan swaptions but also for swaps (cancelable or extendable) in the Debt & Derivatives application:
- CHF: SARON
- EUR: EURIBOR, ESTER, Term ESTER and EONIA
- GBP: SONIA and Term SONIA
- SEK: STIBOR
- USD: LIBOR USD, SIFMA, SOFR, Term SOFR and Average SOFR
These indexes are already available in the Pricers application.
See also Mark-to-Market (MTM) Data for more information on the supported combinations of indexes and currencies.