2019/10/28 - Account Administration - Market Indexes Added: Constant Maturity Treasury Rates, Sterling Overnight Index Average and Swap CHF

4 market indexes are now available in Fairways Debt:

  • Constant maturity treasury rate (taux de l'échéance constante or TEC) 5 years and 10 years (TEC5 and TEC10)
  • Sterling Overnight Index Average (SONIA)
  • Swiss franc swap 10 years (CHFSWAP10Y)
Default Characteristics TEC5 TEC10 SONIA CHFSWAP10Y
Frequency Monthly Daily Annually
Adjustment Unadjusted Unadjusted Unadjusted
Day Count Convention Act/Act Act/365 Act/360
Currency EUR GBP CHF


Note: Contact your consultant to enable them (link only available to Finance Active).

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