Overview
As part of the July 22 Fairways Debt release, the forward rate calculation methodology will be updated for a number of interest rate indices. These changes align forward calculations more closely with market conventions and will result in differences on forward curve – up to 12 basis points at most – for the affected indices.
See Sections 1 and 2 below for the resulting impact on projected cash flows and valuations, which is typically smaller than the curve-point difference.
If your portfolio does not use any of the indices listed below, you are not impacted by this change and no action is required.
Effective Date and Scope
The updated methodology applies only to the indices listed in Sections 1 and 2 below.
Indices not listed in Sections 1 or 2 are unaffected by this change. Positions and portfolios that do not reference any of the listed indices will see no change to their forward rates or projections as a result of this release.
No action is required from customers. If you have previously extracted reports, cash flow projections, or valuations for the indices listed below, please be aware that outputs generated on or after July 22 may differ from those earlier extracts as a result of this methodology change – this is expected and does not indicate an error.
1. Swap Rate Indices
The following swap rate indices are impacted:
• EURSWAP (1Y to 30Y)
• NOKSWAP (1Y to 20Y)
• SEKSWAP (1Y to 20Y)
• CHFSWAP (10Y)
What will change?
The forward calculation will be updated to use the correct day count conventions for the fixed and floating legs of the underlying swap.
Expected impact
12 basis points (12 bps) is the maximum difference that could be observed on the forward curve compared with previous calculations. This is a ceiling on the curve-point difference, not the impact on downstream results: once reflected through projected interest cash flows and valuations, the resulting difference is typically much smaller, generally in the order of a few basis points.
2. IBOR-Derived and Euribor Average Indices
The following categories of indices are impacted (standard IBOR indices themselves are not impacted):
• IBOR-derived indices (e.g. EURVK, EURXM365)
• Euribor Average indices
What will change?
Forward calculations will be updated to align with the new forward calculation methodology and to correctly account for each index's standard fixing lag (typically 2 business days, per prevailing market convention for that index), which was not previously reflected.
Expected impact
Forward rates may differ by up to 5 basis points (5 bps) compared with previous calculations.
Customer Impact
Customers using the affected indices may notice differences in:
• Forward rates
• Projected floating-rate cash flows
• Valuations or analyses that rely on those forward rates
These changes reflect a more accurate implementation of the applicable market conventions.