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.
Warning: Following the cessation of IBOR rates globally, some indexes are no longer published. Date of cessation vary by marketplace and index. Please check for each currency and index. Be mindful that impossibility to retrieve the value of an index for a reset will cause wrong valuation or impossibility to value the concerned transactions.
| Transaction | Index | Currency |
|---|---|---|
| Loan | ||
| Standard |
|
|
| Derivative | ||
| Cap |
|
|
| Collar | ||
| Digital Cap Floor | ||
| Cross-currency swap |
|
|
| Floor |
|
|
|
Interest rate swap (standard) |
||
|
|
|
|
If the cap/floor rate option is set to "Fixing Floor at 0":
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swap (cancelable) |
|
|
| Swaption (standard) |
|
|
| Swaption (American) |
|
|
| 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.
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.
