Fairways Debt allows you to price and simulate transaction schedules before booking the related transactions.
Fairways Debt offers 6 vanilla transaction types for pricing:
- Loan
- Swap
- Cap
- Floor
- Collar
- Swaption
As of June 30th, 2023, the worldwide standard for floating rates will be Risk-Free Rates (RFRs) due to the cessation of USD LIBOR. With this enhancement, you can now use RFR indexation to price and simulate schedules in the Pricers application.
To compute your schedule using the RFR indexation, follow these steps:
- Log in to your Fairways Debt account and select a customer account, if relevant.
- Navigate to Applications
> Pricers.
- Enter the characteristics of the transaction.
- In the Index field, select the RFR related to the transaction currency (or IBOR if still published) to compute your schedule.
The available indexes for each currency are as follows:
- EUR: EURIBOR, ESTER
- GBP: SONIA
- USD: LIBOR, SOFR
- CHF: SARON
Please note that:
- RFRs are only available for loans, swaps, caps and floors. RFRs for collars will be available at a later date. Other pricers are not supported.
- Any floor option applies to the compounded rate (floor option applied to daily rates is not supported).
- Fixing type and fixing offset are irrelevant for RFRs and are thus hidden.
- The compounded rate is calculated in compliance with market standards using a 5-day lag and no observation shift (except for SARON). These parameters cannot be edited in the Pricers application.
See the Pricers section for more details.