Mark-to-Market (MTM or M2M) Data

Fairways Debt currently supports some combinations of currencies and indexes.

If your transaction market data does not display properly, first verify your transaction meets the requirements below.

Draft_Loan_EN.png

 

Transaction Index Currency
Loan
Standard
  • Fixed
  • Libor
  • AUD
  • CAD
  • CHF
  • CLP
  • CNS
  • CZK
  • DKK
  • EUR
  • GBP
  • JPY
  • NOK
  • SEK
  • USD
Derivative
Cap
  • Libor 
  • CHF
  • EUR
  • GBP
  • JPY
  • NOK
  • SEK
  • USD
Collar
Digital Cap Floor
Cross-currency swap
  • Fixed-Fixed
  • Fixed-Libor
  • Libor-Libor
  • EUR-CHF
  • EUR-GBP
  • EUR-JPY
  • EUR-NOK
  • EUR-SEK
  • USD-CAD
  • USD-CHF
  • USD-EUR
  • USD-GBP
  • USD-JPY
  • USD-NOK
  • USD-SEK
Floor
  • Fixed-Libor
  • Libor-Libor
  • CHF
  • EUR
  • GBP
  • JPY
  • NOK
  • SEK
  • USD

Interest rate swap (standard)

  • Fixed-Fixed
  • Fixed-Libor
  • Libor-Libor
  • AUD
  • CAD
  • CHF
  • CLP
  • CNS
  • CZK
  • DKK
  • EUR
  • GBP
  • JPY
  • NOK
  • SEK
  • USD

If the cap/floor rate option is set to "Fixing Floor at 0":

  • Fixed-Fixed
  • Fixed-Libor
  • Libor-Libor
  • CHF
  • DKK
  • EUR
  • GBP
  • JPY
  • NOK
  • SEK
  • USD
  • Fixed-Eonia
  • EUR
  • Fixed-Fedfunds
  • USD
  • Fixed-Sonia
  • GBP
  • Fixed-Saron
  • CHF
  • CMS-Fixed
  • CMS-Libor
  • EUR
  • USD
  • IPC FR xT - Fixed
  • IPC FR xT - Livret A
  • EUR
  • IPC EUR xT - Fixed
  • USD
  • LPI-Fixed
  • CHF
  • RPI-Fixed
  • GBP
  • SIFMA-CMS
  • SIFMA-Fixed
  • SIFMA-Libor 
  • USD

Interest rate swap (cancelable)

  • Fixed-Libor
  • Fixed-SIFMA
  • EUR
  • USD
Swaption (standard)
  • Libor
  • SIFMA 
  • EUR
  • CHF
  • GBP
  • USD
Swaption (American)
  • Libor
  • SIFMA
  • EUR
  • USD
Swaption (Bermudan)

 

Example

The MTM of my standard loan does not display. Its Bank of England index and its HKD currency are neither supported by Fairways Debt for the MTM computation.

Draft_Loan_Characteristic_EN.png

 

If my standard loan has different characteristics, e.g. a fixed index and a EUR currency, the MTM data displays as these are supported by Fairways Debt for the MTM computation.

Draft_Loan_Characteristic_MTM_EN.png

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